Chap007最优风险资产组合.ppt

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1、CHAPTER7OptimalRiskyPortfolios最优风险资产组合7-2TheInvestmentDecision投资决策Top-downprocesswith3steps:自上而下Capitalallocationbetweentheriskyportfolioandrisk-freeasset首先分配份额：安全、风险资产间Assetallocationacrossbroadassetclasses各类资产间的配置Securityselectionofindividualassetswithine

2、achassetclass每类资产内部的证券选择7-3DiversificationandPortfolioRisk分散化与组合风险Marketrisk市场风险Systematicornondiversifiable系统风险也是不可分散风险Firm-specificrisk公司风险Diversifiableornonsystematic可分散风险、非系统性风险7-4Figure7.1PortfolioRiskasaFunctionoftheNumberofStocksinthePortfolio组合风险作为组

3、合内股票数量的函数7-5Figure7.2PortfolioDiversification组合分散化7-6PortfolioDiversification:Intuition组合分散化:直觉7-7CovarianceandCorrelation协方差与相关系数Portfolioriskdependsonthecorrelationbetweenthereturnsoftheassetsintheportfolio组合风险依赖于组合资产回报之间的相关系数Covarianceandthecorrelationco

4、efficientprovideameasureofthewayreturnsoftwoassetsvary协方差与相关系数可以提供资产间回报变化相互关联的方式7-8Two-SecurityPortfolio:Return二资产组合收益情况7-9=VarianceofSecurityD=VarianceofSecurityE=CovarianceofreturnsforSecurityDandSecurityETwo-SecurityPortfolio:Risk二资产组合风险情况7-10Two-Securit

5、yPortfolio:Risk风险情况Anotherwaytoexpressvarianceoftheportfolio:表达组合方差的另一种办法7-11D,E=Correlationcoefficientofreturns相关系数Cov(rD,rE)=DEDED=StandarddeviationofreturnsforSecurityD标准差DE=StandarddeviationofreturnsforSecurityE标准差ECovariance协方差7-12Rangeofvaluesfo

6、r1,2+1.0>r>-1.0Ifr=1.0,thesecuritiesareperfectlypositivelycorrelated完全正相关Ifr=-1.0,thesecuritiesareperfectlynegativelycorrelated完全负相关CorrelationCoefficients:PossibleValues相关系数的可能值7-13CorrelationCoefficients相关系数WhenρDE=1,thereisnodiversification如果相关系数为1就没有风险

7、分散效果WhenρDE=-1,aperfecthedgeispossible如果相关系数为-1，可以做出完全对冲效果7-14Table7.2ComputationofPortfolioVarianceFromtheCovarianceMatrix从协方差矩阵中算出组合方差7-15Three-AssetPortfolio三资产组合7-16Figure7.3PortfolioExpectedReturnasaFunctionofInvestmentProportions组合期望收益对投资比例的函数7-17Figu

8、re7.4PortfolioStandardDeviationasaFunctionofInvestmentProportions组合标准差对投资比例的函数7-18TheMinimumVariancePortfolio最小方差投资组合Theminimumvarianceportfolioistheportfoliocomposedoftheriskyassetsthathasthesmallests