两基金分离定理和资产定价模型

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1、CHAPTERTHREE:PortfolioTheory,FundSeparationandCAPM1MarkowitzPortfolioSelectionThereisnosingleportfoliothatisbestforeveryone.TheLifeCycle—differentconsumptionpreferenceTimeHorizons—differenttermspreferenceRiskTolerance—differentriskaversionLimitedVarietyofPortfolio—Limited“finishedproducts”in

2、markets2TheTrade-OffBetweenExpectedReturnandRiskExpectedReturnRiskWeightAsset1Asset2Portfoliooftwoassetsiscorrelationcoefficient:Markowitz’scontribution1:Themeasurementofreturnandrisk3MiniCase1:PortfoliooftheRisklessAssetandaSingleRiskyAssetSuppose,howtoachieveatargetexpectedreturn?Istheport

3、folioefficient?4TheDiversificationPrincipleMiniCase2:PortfolioofTwoRiskyAssetsTheDiversificationPrinciple—Thestandarddeviationofthecombinationislessthanthecombinationofthestandarddeviations.Asset1Asset2ExpectedReturn0.140.08StandardDeviation0.200.15CorrelationCoefficient0.65R0100%8%0.15C10%9

4、0%8.6%0.1479MinimumVariancePortfolio17%83%9.02%0.1474D50%50%11%0.1569SymbolProportioninAsset1ProportioninAsset2PortfolioExpectedReturnPortfolioStandardDeviationS100%014%0.20HyperbolaFrontierofTwoRiskyAssetsCombination.2000C0.1569.1500.1479.0860.0902.1100.1400SDR.0800MinimumVariancePortfolioT

5、heOptimalCombinationofTwoRiskyAssets6—DiversificationSuppose,ThenLet,0Let,SystematicExposureMarkowitz’scontribution2:Diversification.7MiniCase3:PortfolioofManyRiskyAssetsExpectedreturn::Covariance::?Resolvingthequadraticprogramming,gettheminimumvariancefrontier8EfficientFrontierofRiskyAssets

6、TheMean-VarianceFrontier0IndifferenceCurveofUtilityOptimalPortfolioofRiskyAssets9Proposition!Thevarianceofadiversifiedportfolioisirrelevanttothevarianceofindividualassets.Itisrelevanttothecovariancebetweenthemandequalstheaverageofallthecovariance.10Systematicriskcannotbediversified11Proposit

7、ion!Onlyunsystematicriskscanbediversified.Systematicriskscannotbediversified.Theycanbehedgedandtransferredonly.Markowitz’scontribution3:Distinguishingsystematicandunsystematicrisks.12Proposition!Thereissystematicriskpremiumcontainedintheexpectedret