Chap007 Optimal Risky Portfolios 博迪投资学教材.pptVIP

CHAPTER 7;Diversification and Portfolio Risk;Figure 7.1 Portfolio Risk as a Function of the Number of Stocks in the Portfolio;Figure 7.2 Portfolio Diversification;Covariance and Correlation;Two-Security Portfolio: Risk Continued;?D,E = Correlation coefficient of returns ;Range of values for ?1,2;Table 7.1 Descriptive Statistics for Two Mutual Funds; ?2p = w12?12;Table 7.2 Computation of Portfolio Variance From the Covariance Matrix;Table 7.3 Expected Return and Standard Deviation with Various Correlation Coefficients;Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions;Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions;Minimum Variance Portfolio as Depicted in Figure 7.4;Figure 7.5 Portfolio Expected Return as a Function of Standard Deviation ;The relationship depends on the correlation coefficient -1.0 ? +1.0 The smaller the correlation, the greater the risk reduction potential If r = +1.0, no risk reduction is possible;Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs;The Sharpe Ratio;Figure 7.7 The Opportunity Set of the Debt and Equity Funds with the Optimal CAL and the Optimal Risky Portfolio;Figure 7.8 Determination of the Optimal Overall Portfolio;Figure 7.9 The Proportions of the Optimal Overall Portfolio;Markowitz Portfolio Selection Model;Figure 7.10 The Minimum-Variance Frontier of Risky Assets;Markowitz Portfolio Selection Model Continued;Figure 7.11 The Efficient Frontier of Risky Assets with the Optimal CAL;Markowitz Portfolio Selection Model Continued;Figure 7.12 The Efficient Portfolio Set;Capital Allocation and the Separation Property;Figure 7.13 Capital Allocation Lines with Various Portfolios from the Efficient Set;The Power of Diversification;Table 7.4 Risk Reduction of Equally Weighted Portfolios in Correlated and Uncorrelated Universes;Risk Pooling, Risk Sharing and Risk in the Long Run;Risk Pooling and the Insurance Principle;Risk Pooling a