博迪投资学第八版课件Chap007.pptVIP

CHAPTER 7 Optimal Risky Portfolios Capital Allocation and the Separation Property The separation property tells us that the portfolio choice problem may be separated into two independent tasks Determination of the optimal risky portfolio is purely technical Allocation of the complete portfolio to T-bills versus the risky portfolio depends on personal preference Figure 7.13 Capital Allocation Lines with Various Portfolios from the Efficient Set The Power of Diversification Remember: If we define the average variance and average covariance of the securities as: We can then express portfolio variance as: Table 7.4 Risk Reduction of Equally Weighted Portfolios in Correlated and Uncorrelated Universes Risk Pooling, Risk Sharing and Risk in the Long Run Consider the following: 1 ? p = .999 p = .001 Loss: payout = $100,000 No Loss: payout = 0 Risk Pooling and the Insurance Principle Consider the variance of the portfolio: It seems that selling more policies causes risk to fall Flaw is similar to the idea that long-term stock investment is less risky Risk Pooling and the Insurance Principle Continued When we combine n uncorrelated insurance policies each with an expected profit of $ , both expected total profit and SD grow in direct proportion to n: Risk Sharing What does explain the insurance business? Risk sharing or the distribution of a fixed amount of risk among many investors 7-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Diversification and Portfolio Risk Market risk Systematic or nondiversifiable Firm-specific risk Diversifiable or nonsystematic Figure 7.1 Portfolio Risk as a Function of the Number of Stocks in the Portfolio Figure 7.2 Portfolio Diversification Covariance and Correlation Portfolio risk depends on the correlation between the returns of the assets in the portfolio Covariance and the correlation coefficient provide a measure of the way returns two asse