Chap027博迪，凯恩，马库斯《投资学》课件.ppt

CHAPTER 27 The Theory of Active Portfolio Management 27-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Overview Treynor-Black model Optimization using analysts’ forecasts of superior performance Adjusting model for tracking error Adjusting model for analyst forecast error Black-Litterman model Table 27.1 Construction and Properties of the Optimal Risky Portfolio Table 27.2 Stock Prices and Analysts’ Target Prices for June 1, 2006 Figure 27.1 Rates of Return on the SP 500 (GSPC) and the Six Stocks, June 2005 – May 2006 Table 27.3 The Optimal Risky Portfolio with the Analysts’ New Forecasts Table 27.4 The Optimal Risky Portfolio with Constraint on the Active Portfolio (WA 1) Figure 27.2 Reduced Efficiency when Benchmark is Lowered Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts (benchmark risk constrained to 3.85%) Adjusting Forecasts for the Precision of Alpha How accurate is your forecast How should you adjust your position to take account of forecast imprecision Must quantify the uncertainty by examining the forecasting record of previous forecasts by same forecaster The adjusted alpha: Figure 27.3 Histogram of the Alpha Forecast Figure 27.4 Organizational Chart for Portfolio Management Steps in the Black-Litterman Model Step 1: Estimate the covariance matrix from historical data Step 2: Determine a baseline forecast Step 3: Integrating the manager’s private views Step 4: Developing revised (posterior) expectations Step 5: Apply portfolio optimization Figure 27.5 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level (view is correct) Figure 27.6 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level (view is false) The BL Model as Icing on the TB Cake Suppose that you have two portfolios—one for the US and one for Europe The model would be run as two separate divisions Each division would compile values