投资学,9e,精要版,48772,48760,英文PPT Chap005.ppt

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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:7-10D,E=CorrelationcoefficientofreturnsCov(rD,rE)=DEDED=StandarddeviationofreturnsforSecurityDE=StandarddeviationofreturnsforSecurityECovariance7-11Rangeofvaluesfor1,2+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