[经济学]投资学课件第8章指数模型.pptVIP

指数模型与分散化 When n gets large, becomes negligible Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient βp in the Single-Factor Economy 指数模型的估计 横轴：市场指数超过无风险利率的超额收益率 纵轴：资产的超额收益 回归模型： 回归直线：证券特征线（SCL） 指数模型的估计(2) 指数模型的估计(3) CAPM与指数模型 CAPM 核心预言一：市场组合是均值方差有效的 困难 难以构造一个市场资产组合 难以检验市场组合的有效性 核心预言二：期望收益与beta的关系 困难：关于期望收益的，难以观察到 CAPM与指数模型 指数模型 已实现收益 CAPM与指数模型 指数模型 期望收益 CAPM：对于所有资产而言，alpha的期望值都为零 指数模型：对于历史样本来说，所有资产的alpha的平均值为零 Alpha 和证券分析 用指数模型构建最优风险投资组合 输入列表： Risk premium on the SP 500 portfolio Estimate of the SD of the SP 500 portfolio n sets of estimates of Beta coefficient Stock residual variances Alpha values 用指数模型构建最优风险投资组合(2) 将指数本身作为第n+1种资产 Maximize the Sharpe ratio Expected return, SD, and Sharpe ratio: 用指数模型构建最优风险投资组合(3) 最优风险投资组合是： Combination of: Active portfolio denoted by A （w*A） Market-index portfolio, the (n+1)th asset which we call the passive portfolio and denote by M （1-w*A） Modification of active portfolio position: When 用指数模型构建最优风险投资组合(4)The Information Ratio The Sharpe ratio of an optimally constructed risky portfolio will exceed that of the index portfolio (the passive strategy): 用指数模型构建最优风险投资组合(5) 单个证券在最优风险投资组合的权重： 最优active portfolio A的信息比率： 不用使用单个证券的β调整权重 用指数模型构建最优风险投资组合(6) Figure 8.5 Efficient Frontiers with the Index Model and Full-Covariance Matrix 指数模型与跟踪投资组合 跟踪投资组合T： 权重1.4的sp500，权重-0.4的短期国库券 跟踪投资组合的β为1.4，阿尔法为0 P多头，T空头，构建投资组合C 对冲基金 3.多因素模型 Why additional factors? Average investor has three sources of income Investment portfolio Employment Entrepreneurial wealth Market movements and economic cycles not perfectly correlated Correlation between economic cycles and bull/bear markets less than 0.4 Why additional factors? Simple Example Compare two stocks with same market sensitivity (β) One does well in recessions, the other poorly Most investors would prefer the first since it provides cushion to other sources of wealth A Two-factor Model Security i’s return is related to two factors, F1,t