第7章 优化风险投资组合.ppt

;Diversification and Portfolio Risk分散化和投资组合风险;Figure 7.1 Portfolio Risk as a Function of the Number of Stocks in the Portfolio投资组合风险是投资组合中股票数量的函数;Figure 7.2 Portfolio Diversification投资组合分散化;Two-Security Portfolio: Return两大风险资产的投资组合:收益;Covariance 协方差;Range of values for ?1,2 ;?2p = W12?12;Table 7.1 Descriptive Statistics for Two Mutual Funds两种共同资产的描述性统计;Table 7.2 Computation of Portfolio Variance from the Covariance Matrix通过协方差矩阵计算投资组合方差;Table 7.3 Expected Return and Standard Deviation with Various Correlation Coefficients不同相关系数下的期望收益和标准差;Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions投资组合的期望收益率是投资比率的函数;Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions投资组合标准差是投资比率的函数;Figure 7.5 Portfolio Expected Return as a function of Standard Deviation 投资组合期望收益是标准差的函数;The relationship depends on correlation coefficient. 关系取决于相关系数 -1.0 ? +1.0 The smaller the correlation, the greater the risk reduction potential. 系数越小,风险分散化效果越好 If r = +1.0, no risk reduction is possible. 相关系数等于+1, 则无分散风险的效果;Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs债务与股权基金可行集和两条可行的资本配置线;The Sharpe Ratio夏普比率;Figure 7.7 The Opportunity Set of the Debt and Equity Funds with the Optimal CAL and the Optimal Risky Portfolio最优资本配置线的债务和股权基金的可行集与最优风险投资组合;Figure 7.8 Determination of the Optimal Overall Portfolio最优全部投资组合的决策;Figure 7.9 The Proportions of the Optimal Overall Portfolio最优全部投资组合的比例;Markowitz Portfolio Selection Model马科维茨投资组合选择模型;Figure 7.10 The Minimum-Variance Frontier of Risky Assets风险资产的最小方差边界;Markowitz Portfolio Selection Model Continued续:马科维茨投资组合选择模型;Figure 7.11 The Efficient Frontier of Risky Assets with the Optimal CAL最优资本配置线的风险资产有效边界;Markowitz Portfolio Selection Model Continued续前;Figure 7.12 The Efficient Portfolio Set有效投资组合集;Capital Allocation and the Separation Property资本配置与资产分割;Figure 7.13 Capital Allocation Lines with Various Portfolios from the Efficient Set有效集中不同投资组合资