指数模型和套利定价理论清华大学绝版金融工程课件.pptVIP

* CHAPTER FOUR: Index Models and APT Problems of Markowitz Portfolio Selection There are some problems for Markowitz portfolio selection: Huge number of estimates of covariance between all pairs of available securities Vast computing capacity required to resolve an optimization quadratic programming for large portfolio CAPM is a single, static factor model 5.7% 1.1% 14.3% 6.4 4.4 19.2 7.9 4.4 23.4 7.0 4.6 15.6 5.1 6.1 9.2 2.9 3.1 13.0 Single-Index Models 1 2 3 4 5 6 ? Year ? Growth of GDP（ ） ? Inflation （ ） Difference of the realized return of Stock