1、投资学-前言PPT.pptVIP

Diversification Unsystematic Risk: “Unsystematic risk is essentially eliminated by diversification, so a portfolio with many assets has almost no unsystematic risk.” Diversifiable risk / unique risk / asset-specific risk Systematic Risk: Systematic risk affects all assets and can not be diversified away. Nondiversifiable risk / market risk Total risk = Systematic risk + Unsystematic risk For a well-diversified portfolio, unsystematic risk is negligible, almost all risk is systematic Portfolio Diversification Portfolio Risk - Std. Dev. Number of Stocks in Portfolio Market Risk Company-specific risk Total risk Diversifiable risk Unsystematic risk Nondiversifiable or Systematic risk Systematic Risk Systematic risk can not be eliminated by diversification. Since unsystematic risk can be eliminated at no cost, there is no reward for bearing it. Systematic Risk Principle: “The expected return on an asset depends only on its systematic risk.” Measuring Systematic Risk: Beta or ? Beta measures how much systematic risk an asset has relative to an average asset.? aggressive stocks(?1); defensive stocks (?1) Higher betas indicate more systematic risk. Measuring the Tendency of Betas fundamental1 Blume Vasicek Contents performance Work for the same industry Average sensitivity of firm Depending on the size of the uncertainty Bias Non-symmetry Upward forecast underestimation Accuracy Property of firm moderate good Assumption The true betas on all stocks are one; Correcting historical betas to be closer to the mean Portfolio Selection Risk Aversion E(r) Efficient frontier of risky assets More risk-averse investor U’’’ U’’ U’ Q P S St. Dev Less risk-averse investor Optimal Allocation We have shown that different investors will choose different positions in the risky asset. In particular, the more risk averse investors will choose to hold less of the risky asset and more of the risk-free asset. How do we quantify this? We start from the utility function