Lecture8 Portfolio Theory(公司金融讲义(北大,沈明高).pdf

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1、8-2PrinciplesofTopicsCoveredCorporate8.PortfolioTheoryFinance®PortfolioTheory®Riskvs.ReturnSeventhEditionRichardA.Brealey®EfficientFrontier/EfficientPortfoliosStewartC.Myers®PortfolioTheorywithLending®PortfolioTheorywithBorrowingSlidesby®PortfolioChoiceMatthewWill®T

2、heMarketPortfolioSlidesEditedbyMinggaoShenMcGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.Allrightsreserved8-3Motivation8-4MotivationWhyBuildingaPortfolio?®Firstcentralintuitioninfinance:®InvestmentinonesecurityallowsnocontroloverriskandreturnfeaturesMar

3、ketsareefficient.®Onecanonlybuy,watchperformanceandpossiblysell!!®Secondcentralintuitioninfinance:®Byinvestinginmanysecuritiesarisk-returnprofileThereisatrade-offbetweenriskandcanbecreatedtosuitmostinvestorsriskattitudes®Usually,bypoolingtogetheranumberofriskyreturn

4、.securitiesinoneportfoliotheoverallreturncanbemadelessvolatile(risky)®Theinvestorislesslikelytobeexposedtorapidlargelosses-theriskhasbeenreduced.McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGrawHill/IrwinCopyright©2003byTheMcGraw-Hi

5、llCompanies,Inc.Allrightsreserved8-5Motivation8-6MarkowitzPortfolioTheory®Assumptions:®CombiningstocksintoportfolioscanreduceÎInvestorswanttobuyandholdaportfoliostandarddeviation,belowthelevelobtainedofriskystocks.fromasimpleweightedaveragecalculation.ÎTheinvestorsl

6、ikehighexpectedreturns,®Correlationcoefficientsmakethispossible.don’tlikehighvariance(equivalently®Thevariousweightedcombinationsofstocksstandarddeviation)anddon’tcareaboutthatcreatethisstandarddeviationsconstituteotheraspectsofportfolioreturnthesetofefficientportfo

7、lios.distributions.McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.Allrightsreserved18-7MarkowitzPortfolioTheory8-8MarkowitzPortfolioTheoryPricechangesvs.NormaldistributionStand

8、ardDeviationVS.ExpectedReturnMicrosoft-Daily%change1990-2001InvestmentA0.1420180.12160.114120.08100.068%probability60.0440.02ProportionofD