资源描述：
《investment optimal risky portfolios》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、FinalPDFtoprinterCHAPTERSEVENOptimalRiskyPortfolios7THEINVESTMENTDECISION canbeviewedexaminetheprocessofefficientdiversificationasatop-downprocess:(i)Capitalallocationfromthegroundup,startingwithaninvest-betweentheriskyportfolioandrisk-freementmenuofonlytworiskyassets,thenassets,(ii)as
2、setallocationintheriskyportfo-addingtherisk-freeasset,andfinally,incor-lioacrossbroadassetclasses(e.g.,U.S.stocks,poratingtheentireuniverseofavailableriskyinternationalstocks,andlong-termbonds),securities.Welearnhowdiversificationcanand(iii)securityselectionofindividualassetsreducerisk
3、withoutaffectingexpectedreturns.withineachassetclass.Thisaccomplished,were-examinethehierar-Capitalallocation,aswesawinChapter 6,chyofcapitalallocation,assetallocation,anddeterminestheinvestor’sexposuretorisk.securityselection.Finally,weofferinsightintoTheoptimalcapitalallocationisdete
4、rminedthepowerofdiversificationbydrawinganbyriskaversionaswellasexpectationsfortheanalogybetweenitandtheworkingsoftherisk–returntrade-offoftheoptimalriskyport-insuranceindustry.folio.Inprinciple,assetallocationandsecurityTheportfolioswediscussinthisandthefol-selectionaretechnicallyiden
5、tical;bothaimlowingchaptersareofashort-term-horizon—atidentifyingthatoptimalriskyportfolio,eveniftheoverallinvestmenthorizonislong,namely,thecombinationofriskyassetsthatportfoliocompositioncanberebalancedorprovidesthebestrisk–returntrade-off.Inupdatedalmostcontinuously.Fortheseshortpra
6、ctice,however,assetallocationandsecu-horizons,theassumptionofnormalityissuf-rityselectionaretypicallyseparatedintotwoficientlyaccuratetodescribeholding-periodsteps,inwhichthebroadoutlinesoftheport-returns,andwewillbeconcernedonlywithfolioareestablishedfirst(assetallocation),portfoliome
7、ansandvariances.whiledetailsconcerningspecificsecuritiesInAppendixA,wedemonstratehowcon-PARTIIarefilledinlater(securityselection).AfterwestructionoftheoptimalriskyportfoliocanshowhowtheoptimalriskyportfoliomaybeeasilybeaccomplishedwithExcel.Appendix Bconstructed,wewillconsiderthecost
