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时间:2020-08-02
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1、ModernPortfolioTheoryTheFactorModelsandTheArbitragePricingTheoryChapter8ByDingzhaoyongReturn-generatingProcessandFactorModelsReturn-generatingprocessIsastatisticalmodelthatdescribehowreturnonasecurityisproduced.ThetaskofidentifyingtheMarkowitzefficientset
2、canbegreatlysimplifiedbyintroducingthisprocess.Themarketmodelisakindofthisprocess,andtherearemanyothers.Return-generatingProcessandFactorModelsFactormodelsThesemodelsassumethatthereturnonasecurityissensitivetothemove-mentsofvariousfactorsorindices.Inattempt
3、ingtoaccuratelyestimateexpectedreturns,variances,andcovariancesforsecurities,multiple-factormodelsarepotentiallymoreusefulthanthemarketmodel.Return-generatingProcessandFactorModelsImplicitintheconstructionofafactormodelistheassumptionthatthereturnsontwosecu
4、ritieswillbecorrelatedonlythroughcommonreactionstooneormoreofthespecifiedinthemodel.Anyaspectofasecurity’sreturnunexplainedbythefactormodelisuncorrelatedwiththeuniqueelementsofreturnsonothersecurities.Return-generatingProcessandFactorModelsAfactormodelisapo
5、werfultoolforportfoliomanagement.Itcansupplytheinformationneededtocalculateexpectedreturns,variances,andcovariancesforeverysecurity,whicharethenecessaryconditionsfordeterminingthecurvedMarkowitzefficientset.Itcanalsobeusedtocharacterizeaportfolio’ssensitivit
6、ytomovementinthefactors.Return-generatingProcessandFactorModelsFactormodelssupplythenecessarylevelofabstractionincalculatingcovariances.Theproblemofcalculatingcovariancesamongsecuritiesrisesexponentiallyasthenumberofsecuritiesanalyzedincrease.Practically,ab
7、stractionisanessentialstepinidentifyingtheMarkowitzset.Return-generatingProcessandFactorModelsFactormodelsprovideinvestmentmanagerswithaframeworktoidentifyimportantfactorsintheeconomyandthemarketplaceandtoassesstheextenttowhichdifferentsecuritiesandportfoli
8、oswillrespondtochangesinthesefactors.Aprimarygoalofsecurityanalysisistodeterminethesefactorsandthesensitivitiesofsecurityreturntomovementsinthesefactors.One-FactorModelsTheone-factormodelsrefert
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