资产组合理论要点.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 tra