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Lecture Investments (6/e) - Chapter 15: The term structure of interest rates

In this chapter we explore the pattern of interest rates for different-term assets. We attempt to identify the factors that account for that pattern and determine what information may be derived from an analysis of the so-called term structure of interest rates, the structure of interest rates for discounting cash flows of different maturities.



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Lecture Investments (6/e) - Chapter 15: The term structure of interest rates Lecture Investments (6/e) - Chapter 15: The term structure of interest rates Investment environment, Lecture Investments, Active portfolio management, Capital markets, Term structure, Interest rates
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Historically speaking, the earliest asset pricing models made rel- atively simple predictions about what it means for a benchmark to be OE to a managed portfolio. The Capital Asset Pricing Model of Sharpe (CAPM, 1964) implies that all investors should hold a broadly diversified “market portfolio,” combined with safe assets or “cash,” according to the investor’s tastes for risk. It follows that an OE portfolio is a broadly diversified portfolio, combined with safe assets or cash, mixed to have the same market risk exposure, or “beta” coefficient as the fund. This is the logic of Jensen’s (1968) alpha, which remains one of the most widely used measures of risk- adjusted...


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