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Definition of Factor portfolio
A well-diversified portfolio constructed to have a beta of 1.0 on one factor and a beta of
the present value of a finite stream of cash flows for every beginning $1 of cash flow.
a generalization formula invented by Abrams that is the present value of regular but noncontiguous cash flows that have constant growth to perpetuity.
A strategy that uses available information and forecasting techniques to seek a
The pool factor implied by the scheduled amortization assuming no prepayemts.
Present value of $1 paid for each of t periods.
The entire portfolio, including risky and risk-free assets.
Rules set by the Chicago Board of Trade for determining the invoice price of each
Related: cash flow matching.
Present value of $1 received at a stated future date.
A portfolio that provides the greatest expected return for a given level of risk (i.e. standard
The difference between the return on the market portfolio and the
A financial institution that buys a firm's accounts receivables and collects the debt.
A statistical procedure that seeks to explain a certain phenomenon, such as the return on a
A way of decomposing the factors that influence a security's rate of return into common and
Sale of a firm's accounts receivable to a financial institution known as a factor.
A portfolio that an investor can construct given the assets available.
Feasible set of portfolios
The collection of all feasible portfolios.
A portfolio consisting of the long position in the stock and the short position in the call
A portfolio that includes risky assets purchased with funds borrowed.
A portfolio that includes risky assets purchased with funds borrowed.
A portfolio consisting of all assets available to investors, with each asset held -in
Markowitz efficient portfolio
Also called a mean-variance efficient portfolio, a portfolio that has the highest
Markowitz efficient set of portfolios
The collection of all efficient portfolios, graphically referred to as the
factoring arrangement that provides collection and insurance of accounts receivable.
Mean-variance efficient portfolio
Related: Markowitz efficient portfolio
The portfolio of risky assets with lowest variance.
Modern portfolio theory
Principles underlying the analysis and evaluation of rational portfolio choices
A version of the capital asset pricing model derived by Merton that includes extramarket
Net benefit to leverage factor
A linear approximation of a factor, T*, that enables one to operationalize the
A customized benchmark that includes all the securities from which a manager normally
factoring arrangement that provides collection, insurance, and finance for accounts receivable.
A special case of the arbitrage pricing theory that is derived from the one-factor model by
An efficient portfolio most preferred by an investor because its risk/reward characteristics
Passive portfolio strategy
A strategy that involves minimal expectational input, and instead relies on
A market index portfolio.
The outstanding principal balance divided by the original principal balance with the result
A collection of investments, real and/or financial.
A strategy using a leveraged portfolio in the underlying stock to create a synthetic put
Portfolio internal rate of return
The rate of return computed by first determining the cash flows for all the
Portfolio opportunity set
The expected return/standard deviation pairs of all portfolios that can be
Related: Investment management
Related: Investment manager
Portfolio separation theorem
An investor's choice of a risky investment portfolio is separate from his
Portfolio turnover rate
For an investment company, an annualized rate found by dividing the lesser of
Weighted sum of the covariance and variances of the assets in a portfolio.
Present value factor
factor used to calculate an estimate of the present value of an amount to be received in
A portfolio constructed to match an index or benchmark.
The pool factor as reported by the bond buyer for a given amortization period.
Single factor model
A model of security returns that acknowledges only one common factor.
Structured portfolio strategy
A strategy in which a portfolio is designed to achieve the performance of some
An indexing strategy that is linked to active management through the emphasis of a
Black's zero-beta version of the capital asset pricing model.
Weighted average portfolio yield
The weighted average of the yield of all the bonds in a portfolio.
Well diversified portfolio
A portfolio spread out over many securities in such a way that the weight in any
A portfolio constructed to represent the risk-free asset, that is, having a beta of zero.
A portfolio of zero net value established by buying and shorting component
The production resource that, as a result of scarce resources, limits the production of goods
A collection of securities and investments held by an investor
The percentage of a total portfolio represented by a single specific
critical success factors (CSF)
any item (such as quality, customer
The sale of accounts receivable to a third party, with the third party bearing
All the costs incurred during the manufacturing process, minus the
Present value of an annuity of $1 per period.
Present value of a $1 future payment.
portfolio of all assets in the economy. In practice a broad stock market index, such as the Standard & Poor's Composite, is used to represent the market.
Factor of Production
A resource used to produce a good or service. The main macroeconomic factors of production are capital and labor.
The discounting, or sale at a discount, of receivables on a nonrecourse, notification
An anticipated loss percentage included in the bill of material and
The expected loss of some proportion of an item during the
An agent who buys and sells goods on behalf of others for a commission.
Type of financial service whereby a firm sells or transfers title to its accounts receivable to a factoring company, which then acts as principal, not as agent.
Numbers found in compound interest and annuity tables. Usually called the FVIF or PVIF.
The total of all investment opportunities available to the investor.
Index Portfolio Rebalancing Service (IPRS)
Index portfolio Rebalancing Service (IPRS) is a comprehensive investment service that can help increase potential returns while reducing volatility. Several portfolios are available, each with its own strategic balance of Index Funds. IPRS maintains your personal asset allocation by monitoring and rebalancing your portfolio semi-annually.
A measure of selection risk (also known as residual risk) of a mutual fund in relation to the market. A
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