大学课件 风险管理与金融创新.pptVIP

大学各学科PPT课件 持续更新 欢迎收藏 风险管理和金融创新 孙 立坚 2001.11.15 讲座内容 环境的巨大变化和风险管理的必要性 风险度量及其风险管理 全球市场监管的方法和动向 Crude Oil Gold 案例研究 项目收益的比较 风险的定量化 The Two-Asset Portfolio Suppose you hold two assets in your portfolio, IBM and John Deere. Let the fraction of IBM be w and the fraction of John Deere be (1-w) If w = 1, you hold only IBM, If w = 0, you hold on John Deere, If w = .5, you have an equally weighted or naively diversified portfolio. Two Asset Portfolio: Risk The standard deviation is not a linear combination of the individual asset standard deviations. Instead, it is the square root of variance giv