对外经济贸易大学投资学4课件.pptVIP

Lecture 4 Portfolio Theory ;Learning Objectives;Construct portfolios;The risk and expected return of a portfolio; ;;Two-Security Portfolio: Risk Continued;?D,E = Correlation coefficient of returns ;Range of values for ?1,2;Table 7.1 Descriptive Statistics for Two Mutual Funds; ?2p = w12?12;Table 7.2 Computation of Portfolio Variance From the Covariance Matrix;Table 7.3 Expected Return and Standard Deviation with Various Correlation Coefficients;Risk aversion;Why investors are risk-aversion?;Mean-variance utility function;Mean-variance efficient frontier;Mean-variance indifference curve;Individual investors’ indifference curve is tangent to mean-variance efficient frontier;Indifference Curves;Mean variance criterion;Asset allocation between one risky asset and one risk-free asset;A portfolio consists of risk-free asset and risky asset;Asset allocation with leverage;CAL with Higher Borrowing Rate;CAL with Higher Borrowing Rate;How does risk preference affect investor’s portfolio choice;Risk aversion and asset allocation;Capital Allocation--example;CAL with Risk Preferences;Risk Aversion and Allocation;Optimal risky portfolio;Combination line of two assets under various correlation;Power of diversification and the correlation of assets;Adding assets;Adding Assets;Asset allocation with two risky assets and one risk free asset;Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs;The Sharpe Ratio;Figure 7.7 The Opportunity Set of the Debt and Equity Funds with the Optimal CAL and the Optimal Risky Portfolio;Figure 7.8 Determination of the Optimal Overall Portfolio;Construct optimal portfolio with two risky asset and one risk-free asset;Figure 7.9 The Proportions of the Optimal Overall Portfolio;Figure 7.10 The Minimum-Variance Frontier of Risky Assets;Markowitz Portfolio Selection Model;Figure 7.11 The Efficient Frontier of Risky Assets with the Optimal CAL;Finding the efficient set;MVP for two risky assets;Figure 7.12 The E