5 风险与收益.ppt

2.4 多项资产的有效组合Efficient Frontier with Many Assets Suppose that the expected value and standard deviations of three asset returns are Asset E[ri] sd[ri] r1 .10 .04 r2 .08 .03 r3 .06 .04 At first glance, one would think that no one would ever hold asset 3, why? However, how an asset covaries with other assets is also a factor in determining whether or not to include an asset in a portfolio Also assume correlation and covariance matrices: Correlation Matrix Covariance Matrix r1 r2 r3 r1 r2 r3 . r1 1.0 0.6 0.4 r1 .00160 .00072 .00064 r2 0.6 1.0 0.5 r2 .00072 .00090 .00060 r3 0.4 0.5 1.0 r3 .00064 .00060 .00160 Efficient Frontier with Many Assets Recall that Lets look at the following portfolios, all of which have an expected return of 9%: 75% in asset 1, 0% in asset 2, 25% in asset 3 sd[rp] = 3.52136% 70% in asset 1, 10% in asset 2, 20% in asset 3 sd[rp] = 3.407% 60% in asset 1, 30% in asset 2, 10% in asset 3 sd[rp] = 3.23% 52% in asset 1, 46% in asset 2, 2% in asset 3 sd[rp] = 3.15% 50% in asset 1, 50% in asset 2, 0% in asset 3 sd[rp] = 3.13847% Efficient Frontier with Many Securities Efficient Portfolios -- portfolios with the smallest possible standard deviation for a given expected return For a reasonable investor, you’d want to only hold efficient portfolios 补：协方差的数学定义 对CAPM的简单理解 1.一支股票的风险可以分为可分散风险和不可分散风险。可分散风险是那些投资者通过投资组合可以对冲掉的风险。这种风险一般属于一个企业的，比较特殊的，而其他企业不常有的风险。 2.因为投资者可以容易地通过投资多种股票的方法（如购买股票基金）将可分散的风险去掉，他们只关注股票中不能分散的市场风险，只对承担市场风险要求回报。 3.一支股票的市场风险可以用β值来度量。 4.给定β值，一支股票的投资者要求的回报率＝无风险利率＋这支股票的β值×市场风险溢价。 本章作业 认真学习PPT！会自行计算课件中所有例子。 重要概念： 风险与收益的定义和度量 资产组合与风险的分散 MV组合与有效前沿组合 β系数 CAPM模型 证券市场线与资本市场线 4. 风险和收益的进一步讨论 证券市场线 预期通货膨胀率对预期收益率的影响 投资者对风险态度的变化对期望收益率的影响 4.1 证券市场线(SML) M SML 1 0.5 即使没有系统风险，投资者也要市场对货币的时间价值进行补偿 斜率：E(RM)-Rf 个股的期望收益率和个股的系统风险系数的关系，不同水平的系统风险的个股的预期收益率。 风险与收益 返回 通货膨胀预期的变化是