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大小:1.42 MB
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时间:2020-03-26
《投资学,9e,精要版,48772,48760,英文PPT Chap005.ppt》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、CHAPTER5OptimalRiskyPortfolios7-2TheInvestmentDecisionTop-downprocesswith3steps:Capitalallocationbetweentheriskyportfolioandrisk-freeassetAssetallocationacrossbroadassetclassesSecurityselectionofindividualassetswithineachassetclass7-3DiversificationandPortfolioRiskMarketriskS
2、ystematicornondiversifiableFirm-specificriskDiversifiableornonsystematic7-4Figure5.1PortfolioRiskasaFunctionoftheNumberofStocksinthePortfolio7-5Figure5.2PortfolioDiversification7-6CovarianceandCorrelationPortfolioriskdependsonthecorrelationbetweenthereturnsoftheassetsinthepor
3、tfolioCovarianceandthecorrelationcoefficientprovideameasureofthewayreturnsoftwoassetsvary7-7Two-SecurityPortfolio:Return7-8=VarianceofSecurityD=VarianceofSecurityE=CovarianceofreturnsforSecurityDandSecurityETwo-SecurityPortfolio:Risk7-9Two-SecurityPortfolio:RiskAnotherwaytoex
4、pressvarianceoftheportfolio:7-10D,E=CorrelationcoefficientofreturnsCov(rD,rE)=DEDED=StandarddeviationofreturnsforSecurityDE=StandarddeviationofreturnsforSecurityECovariance7-11Rangeofvaluesfor1,2+1.0>r>-1.0Ifr=1.0,thesecuritiesareperfectlypositivelycorrelatedIfr=-1.0,t
5、hesecuritiesareperfectlynegativelycorrelatedCorrelationCoefficients:PossibleValues7-12CorrelationCoefficientsWhenρDE=1,thereisnodiversificationWhenρDE=-1,aperfecthedgeispossible7-13Table5.2ComputationofPortfolioVarianceFromtheCovarianceMatrix7-14Three-AssetPortfolio7-15Figure
6、5.3PortfolioExpectedReturnasaFunctionofInvestmentProportions7-16Figure5.4PortfolioStandardDeviationasaFunctionofInvestmentProportions7-17TheMinimumVariancePortfolioTheminimumvarianceportfolioistheportfoliocomposedoftheriskyassetsthathasthesmalleststandarddeviation,theportfoli
7、owithleastrisk.Whencorrelationislessthan+1,theportfoliostandarddeviationmaybesmallerthanthatofeitheroftheindividualcomponentassets.Whencorrelationis-1,thestandarddeviationoftheminimumvarianceportfolioiszero.7-18Figure5.5PortfolioExpectedReturnasaFunctionofStandardDeviation7-1
8、9Theamountofpossibleriskreductionthroughdiversificationdependsonthec
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