2017年CFA一级_思维导图_Portfolio Management.pdf

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1、HPRArithmeticMeanReturnAverageReturnGeometricMeanReturnMoney-WeightedRateofReturnGrossReturnReturnMeasuresPretaxNominalReturnOthersAfter-taxNominalReturnRealReturnLeveragedReturnExpectedReturnSingleInvestmentExpectedReturn,VarianceVarianceofReturnઋ঑Portf

2、olioVarianceandCovarianceofReturnsۅૅR42PortfolioRiskandCovariance&CorrelationReturn:PartIҝગMinimumVarianceFrontierEfficientFrontierGlobalMinimum-VariancePortfolioEfficientFrontier(EF)Risk-AverseModernPortfolioTheoryConceptsRisk-NeutralRiskAversionRisk-Se

3、ekingUtilityFunctionUtilityTheoryIndifferenceCurveTwo-FundSeparationTheoremOptimalCAL:ЊEFबӤङCALCapitalAllocationLine(CAL)OptimalInvestorPortfolio:ޗٛڑ޼িЊ金程教育OptimalCALङӤࢵHomogenousExpectationsCMLЊMarkowitzEFङӤࢵMarketPortfolioԕխ۱߄ङRiskyAssetܷ١қߓ୍ুۨފࣤ=١ুՠङS

4、harpeRatioCapitalMarketLine(CML)ҸڔিЇ۱߄ङࢵङSharpeRatio=١ুՠङSharpeRatioCMLLendingPortfolioҦBorrowingPortfolioځऀ͹૏ф୆৥ͧPassiveInvestmentStrategyͨؔУSystematicRiskand੫୏SystematicRisk—DŽDŽङઋ঑ҸڔR43PortfolioRiskandNonsystematicRiskReturn:PartIIҝગҸڔފࣤ=MarketRiskPremi

5、um=E(Rm)-RfCAPMandSMLUndervaluedҦOvervaluedځऀ—ؔџMeasureofRiskSlopeDifferencesbetweenSMLandCMLPortfolioځऀManagementSharpeRatioFornotWell-DiversifiedPortfolioM-SquaredPerformanceEvaluationTreynorRatioIndicatorsForWell-DiversifiedPortfolioJensen'sAlphaѠѾ▲З૏

6、фୃ੽ђুՠङઅچߛरPortfolioPerspectivePlanningStepExecutionStepPortfolioManagementProcess金程教育FeedbackStepIndividuals金程教育R40PortfolioDBPlanManagement:AnBanksঝOverviewEndowments&FoundationsTypesofInvestorsandInsurancePooledInvestmentProductsMutualFundsͧऽଳঝӮލࣔګͨTi

7、meHorizonRiskToleranceࣔګLiquidityNeedsComponentsWillingnessRiskAbilityObjectivesDesiredReturnReturnRequiredReturnR44BasicsofPortfolioLiquidityRequirementPlanningandIPSTimeHorizonConstructionInvestmentConstraintsTaxConcernsLegalandRegulatoryFactorsUniqueC

8、ircumstancesStrategicAssetAllocationAssetAllocationTacticalAssetAllocation金程教育DefinitionRiskManagementFrameworkMarketRiskFinancialRisksCreditRiskIdentifyFinancialandLiquidityRiskNon-FinancialSourcesofRiskOperationalRiskNon