资产组合理论.pptVIP

* Mean-variance Portfolio Theory 资产组合理论 风险分散 资产组合最优选择 * 均值-方差标准 1.投资者对资产的评价 基于均值-方差标准） U E r - .005 A s 2 A measures the degree of risk aversion . Utility is enhanced by high expected returns and diminished by high risk The extent to which variance lowers utility depends on A. 投资者的效用函数仅仅包括两个自变量——均值和方差（或标准差） Continue Utility function provides a convenient benchmark for evaluating portfolios: a portfolio is desirable only if its certainty equivalent return exceeds that of the risk-free alternative. Utility and Indifference Curves Represent an investor’s willingness to trade-off return and risk. Example Exp Ret St Deviation U E r - .005As2 10 20.0 2 15 25.5 2 20 30.0 2 25 33.9 2 1.投资者对资产的评价 基于均值-方差标准） Indifference Curves risk aversion Expected Return Standard Deviation Increasing Utility Expected Return Standard Deviation Risk is irrelevant to the risk-neutral investor Increasing Utility Indifference Curves risk neutral Expected Return Standard Deviation Increasing Utility Indifference Curves risk lover * Construct portfolios 2.从资产组合的机会集到有效前沿 Portfolio Opportunity Set—two assets ? 1 13% %8 E r St. Dev 12% 20% ? .3 ? -1 ? -1 Portfolio Opportunity Set—n assets 收益rp 风险σp 可行集的两个重要性质 若至少有三种资产（非完全相关的且均值不同），则可行集合将是一个二维的实体区域。 可行区域是向左侧凸出的 因为任意两项资产构成的投资组合都位于两项资产连线的左侧。 * Mean-variance criterion 至少有一项不相等，则“A占优于B” * E r Efficient frontier Global minimum variance portfolio Minimum variance frontier Individual assets St. Dev. Efficient Frontier :only risky assets * Efficient Frontier:only risky assets E r ? * Efficient Frontier :with risk-free lending and borrowing E r CAL P P F P P ? When the possibility of lending and borrowing at the risk free rate is included, the efficient frontier becomes a straight line. * Utility Function U E r - .005 A s2 * Separation Property: The best risky portfolio is the same for all clients,regardless of risk aversion. Allocation of the complete portfolio to risk-free asse