Chap风险厌恶与风险资产的配置.ppt

6-* Passive Strategies: The Capital Market Line被动策略：资本市场线 The passive strategy avoids any direct or indirect security analysis被动策略中投资者避免任何直接或者间接的证券分析 Supply and demand forces may make such a strategy a reasonable choice for many investors供给和需求的力量将使得这类策略对很多投资者来说是可行的 6-* A natural candidate for a passively held risky asset would be a well-diversified portfolio of common stocks such as the SP 500.被动投资策略中的一个合适的投资品是分散得很好的投资组合比如标普500 The capital market line (CML) is the capital allocation line formed from 1-month T-bills and a broad index of common stocks (e.g. the SP 500).资本配置线就是1月短期国库券和股票价值指数的搭配 Passive Strategies: The Capital Market Line被动策略：资本市场线 6-* The CML is given by a strategy that involves investment in two passive portfolios:两个被动的投资资产构成的策略 virtually risk-free short-term T-bills (or a money market fund) 安全资产 a fund of common stocks that mimics a broad market index.风险资产 Passive Strategies: The Capital Market Line被动策略：资本市场线 6-* From 1926 to 2009, the passive risky portfolio offered an average risk premium of 7.9% with a standard deviation of 20.8%, resulting in a reward-to-volatility ratio of .38.从1926年到2009年被动的风险组合提供了平均收益为7.9%标准差为20.8%的回报，收益风险比为0.38 为什么会有效？一是积极策略需要付出成本而被动策略不需要，二是有搭便车的效应； Passive Strategies: The Capital Market Line被动策略：资本市场线 INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 6 Risk Aversion and Capital Allocation to Risky Assets 风险厌恶与风险资产的配置 6-* Allocation to Risky Assets风险资产的配置 Investors will avoid risk unless there is a reward.投资者是风险趋避的除非风险会产生收益 The utility model gives the optimal allocation between a risky portfolio and a risk-free asset.效用模型认为最优的资产配置是风险组合和无风险资产的一个最优搭配 6-* Risk and Risk Aversion风险与风险趋避 Speculation投机 Taking considerable risk for a commensurate gain考虑风险补偿 Parties have heterogeneous expectations参与者有不同的期望，会对较高赢面的结果下较大的赌注，否则宁愿不做 6-* Risk and Risk Aversion风险与风险趋避 Gamble 赌博 Bet or wager on an uncertain o