Chap007 Optimal Risky Portfolios 《投资学》第九版教材.pptVIP

CHAPTER 7;The Investment Decision;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;;Two-Security Portfolio: Risk;?D,E = Correlation coefficient of returns ;Range of values for ?1,2;Correlation Coefficients;Table 7.2 Computation of Portfolio Variance From the Covariance Matrix;Three-Asset Portfolio;Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions;Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions;The Minimum Variance Portfolio;Figure 7.5 Portfolio Expected Return as a Function of Standard Deviation ;The amount of possible risk reduction through diversification depends on the correlation. The risk reduction potential increases as the correlation approaches -1. If r = +1.0, no risk reduction is possible. If r = 0, σP may be less than the standard deviation of either component asset. If r = -1.0, a riskless hedge 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 ;Figure 7.11 The Efficient Frontier of Risky Assets with the Optimal CAL;Markowitz Portfolio Selection Model ;Capital Allocation and the Separation Property;Figure 7.13 Capital Allocation Lines with Various Portfolios from the Efficient Set;The Power of Diversification;The Power of Diversification;Table 7.4 Risk Reduction of Equally Weighted Portfolios in Correlated and Uncorrelated Universes;Optimal Portfolios and Nonnormal Returns;Risk Pooling and the Insurance Principle;Risk Sharing;Investment for the Long Run