Lecture 6的.pptVIP

第6讲 投资组合概念的应用;重点！;6.1 投资组合的回报与风险;6.1.1 投资组合的回报衡量;投资组合的可能表现;;预期回报率;6.1.2 投资组合的风险度量;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;套用方差公式;;; 方差;6.1.3 相关系数;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;;6.2 多元化与风险分散;6.2.1 相关系数对风险分散的影响;标准差相等（特殊情况，利于理解）;标准差不等，下面以此为基础;;;;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;;6.2.2 风险分散的极限;;基金能够分散掉什么样的风险？;;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;6.3 有效前沿和投资组合选择;6.3.1有效前沿的含义;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;;;;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;现代金融学假定风险厌恶投资者 相同的预期收益率，风险越小，效用越高 相同的风险时，预期收益率越高，效用越高 效率前沿上面的所有的投资组合都满足高风险高回报 投资者的风险厌恶程度决定了她喜欢哪一个投资组合 不同的投资者会做出不同的选择，关键看其风险厌恶程度;6.3.2 资本市场、无风险资产与投资组合的选择;;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;;;6.4 资本资产定价模型与套利定价理论;6.4.1 β系数的含义;例子;CAPM的内涵 证券市场达到均衡时 有效分散风险之后资产预期收益率与其风险之间的关系 仅仅考虑系统性风险 不考虑可分散风险： 预期收益率由无风险利率和风险溢酬之和给出 风险溢酬来自系统性风险;由β及市场预期收益率和无风险收益率可计算风险溢酬;;Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd.;APT;;;;APT与CAPM之比较;四种最可能的风险影响因子