两基金分离定理和资产定价模型清华大学绝版金融工程.pptVIP

Orthogonal Characterization of the Mean-Variance Frontier Orthogonal Characterization of the Mean-Variance Frontier Understanding Risk in CAPM In CAPM, we can decompose an asset’s return into three pieces: * CHAPTER THREE: Portfolio Theory, Fund Separation and CAPM Markowitz Portfolio Selection There is no single portfolio that is best for everyone. The Life Cycle — different consumption preference Time Horizons — different terms preference Risk Tolerance — different risk aversion Limited Variety of Portfolio — Limited “finished products” in markets The Trade-Off Between Expected Return and Risk Expected Return Risk Weight Asset 1 Asset 2 Portfolio of two assets is correlation coefficient: Markowitz’s contribution 1: The measurement of return and risk Mini Case 1: Portfolio of the Riskless Asset and a Single Risky Asset Suppose , how to achieve a target expected return ? Is the portfolio efficient ? The Diversification Principle Mini Case 2: Portfolio of Two Risky Assets The Diversification Principle — The standard deviation of the combination is less than the combination of the standard deviations. Asset 1 Asset 2 Expected Return 0.14 0.08 Standard Deviation 0.20 0.15 Correlation Coefficient 0.6 R 0 100% 8% 0.15 C 10% 90% 8.6% 0.1479 Minimum Variance Portfolio 17% 83% 9.02% 0.1474 D 50% 50% 11% 0.1569 Symbol Proportion in Asset 1 Proportion in Asset 2 Portfolio Expected Return Portfolio Standard Deviation S 100% 0 14% 0.20 Hyperbola Frontier of Two Risky Assets Combination .2000 C 0 .1569 .1500 .1479 .0860 .0902 .1100 .1400 S D R .0800 Minimum Variance Portfolio The Optimal Combination of Two Risky Assets — Diversification Suppose