Active Portfolio Management 资产组合PPT 金融系研究生课程课件方案策划.pptVIP

Active Portfolio Management--Passive is relative, Active is absolute;Overview;;2 Consensus Expected Returns: The CAPM;The CAPM (cont’d);Example: Core-Satellite approach’s active return and risk (Level III, Los33);3 Risk;3 Risk;3 Risk;4 Components of Expected return ;4 Components of Expected return ;Portfolio’s alpha ;5 Utility function of Active Manager;Expected utility components Expected utility objective. The root cause is our evenhanded treatment of benchmark and active risk. However, managers are much more adverse to the risk of deviation from the benchmark[Active Beta] than they are adverse to the risk of the benchmark. risk and return are splited into three parts: Intrinsic, This component arises from the risk and return of the benchmark. It is not under the manager’s control. λ is aversion to total risk. Timing, This is the contribution from timing the benchmark. It is governed by the manager’s active beta. Risk aversion λBT to the risk caused by benchmark timing. - Residual, This is due to the manager’s residual position. Here we have an aversion to the residual risk. ; - The last two parts of the objective measure the manager’s ability to add value: - The value added is a risk-adjusted expected return that ignores any contribution of the benchmark to risk and expected return. - The new objective function splits the value added into value added by benchmark timing and value added by stock selection. ;6 Ex-ant Ex-post : Alpha and Information Ratio;6 Ex-ant Ex-post : Alpha and Information Ratio;6 Ex-ant Ex-post : Alpha and Information Ratio;7. Portfolio Problem under Active Management;7. Portfolio Problem under Active Management ;7. Portfolio Problem under Active Management;7. Portfolio Problem under Active Management;8 The Fundamental Law of Active Management;8 The Fundamental Law of Active Management;8 The Fundamental Law of Active Manage