investments and portfolio management index models

《investments and portfolio management index models》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、aChapter8:IndexModelsChapterOpenerPART  IIp.246THEMARKOWITZPROCEDURE introducedintheprecedingchaptersuffersfromtwodrawbacks.First,themodelrequiresahugenumberofestimatestofillthecovariancematrix.Second,themodeldoesnotprovideanyguidelinetotheforecastingofthese

2、curityriskpremiumsthatareessentialtoconstructtheefficientfrontierofriskyassets.Becausepastreturnsareunreliableguidestoexpectedfuturereturns,thisdrawbackcanbetelling.   Inthischapterweintroduceindexmodelsthatsimplifyestimationofthecovariancematrixandgreatlyen

3、hancetheanalysisofsecurityriskpremiums.Byallowingustoexplicitlydecomposeriskintosystematicandfirm-specificcomponents,thesemodelsalsoshedconsiderablelightonboththepowerandthelimitsofdiversification.Further,theyallowustomeasurethesecomponentsofriskforparticula

4、rsecuritiesandportfolios.   Webeginthechapterbydescribingasingle-factorsecuritymarketandshowhowitcanjustifyasingle-indexmodelofsecurityreturns.Onceitspropertiesareanalyzed,weproceedtoanextensiveexampleofestimationofthesingle-indexmodel.Wereviewthestatistical

5、propertiesoftheseestimatesandshowhowtheyrelatetothepracticalissuesfacingportfoliomanagers.   Despitethesimplificationtheyoffer,indexmodelsremaintruetotheconceptsoftheefficientfrontierandportfoliooptimization.Empirically,indexmodelsareasvalidastheassumptionof

6、normalityoftheratesofreturnonavailablesecurities.Totheextentthatshort-termreturnsarewellapproximatedbynormaldistributions,indexmodelscanbeusedtoselectoptimalportfoliosnearlyasaccuratelyastheMarkowitzalgorithm.Finally,weexamineoptimalriskyportfoliosconstructe

7、dusingtheindexmodel.Whiletheprinciplesarethesameasthoseemployedinthepreviouschapter,thepropertiesoftheportfolioareeasiertoderiveandinterpretinthiscontext.Weillustratehowtousetheindexmodelbyconstructinganoptimalriskyportfoliousingasmallsampleoffirms.Thisportf

8、olioiscomparedtothecorrespondingportfolioconstructedfromtheMarkowitzmodel.Weconcludewithadiscussionofseveralpracticalissuesthatarisewhenimplementingtheindexmodel.8.1ASingle-FactorSecurityMarketp