1、投资学-前言汇.ppt

投资学——原理以及实务 蒋 冠 金融学博士云南大学投资与保险研究所 jiangguan@ 一、前言 二、教材的总结 三、投资学的主要问题 Investment Process Set investment policy Identification of the potential categories of financial assets for inclusion in the portfolio: investment objectives, amount of investable wealth, and tax status of the investor. Perform security analysis To identify which securities currently appear to be mispriced. Technical analysis (trend) Fundamental analysis (“intrinsic” value) Construct a portfolio Identifying those specific assets in which to invest, as well as determining the proportions of the investor’s wealth to put into each one.? selectivity, timing, and diversification. Revise the portfolio Evaluate the performance of the portfolio Short Sales Mechanism 1. Before the short sale 2. The short sale 3. After the short sale Incentives for Short Sale The Frameworks of Microstructure Pricing Model U.S. Interest Rates: 1800-1992 Yield Curves 2.2 Mean-Variance Portfolio Theory Risk Return with 2 Assets Efficient Portfolios Combining Riskfree Lending with Investing in a Risky Asset Efficient Frontier Graphical Derivation of Beta for Securities C and D Components of Risk Using the risk premium version of the single index model, We can write si2 = bi2 sm2 + s2(ei) Total risk = Systematic risk + Unique Risk 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 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