FRM Training Program: Modern Portfolio Theory & CAPM
Place:
UCG Office Frankfurt, Germany
Date:
12. February 2026 : 18:30 - 20:30
This session provides a comprehensive overview of Modern Portfolio Theory and the Capital Asset Pricing Model (CAPM).
Participants will learn to interpret the Markowitz efficient frontier, understand the derivation and assumptions of CAPM, and apply these concepts to calculate expected returns. The session also covers beta interpretation and various performance measures including Sharpe, Treynor, and Jensen indices.
Learning Objectives:
- Explain Modern Portfolio Theory and interpret the Markowitz efficient frontier.
- Analyze the derivation and components of the Capital Asset Pricing Model (CAPM).
- Describe the assumptions underlying the CAPM.
- Differentiate between the Capital Market Line and the Security Market Line.
- Apply the CAPM to calculate the expected return of an asset.
- Interpret beta and calculate it for individual assets and portfolios.
- Calculate and interpret performance measures, including the Sharpe, Treynor, and Jensen indices, as well as tracking error.