投资学 8 Capital Allocation Between the Risky Asset and the Risk-Free Asset教学幻灯片.pptVIP

Optimal Risky Portfolios;Learning Objectives(continue1);Learning Objectives(continue2);Risk Reduction with Diversification;;rp = W1r1 + W2r2 W1 = Proportion of funds in Security 1 W2 = Proportion of funds in Security 2 r1 = Expected return on Security 1 r2 = Expected return on Security 2 ;?p2 = w12?12 + w22?22 + 2W1W2 Cov(r1r2);?1,2 = Correlation coefficient of returns ;Range of values for ?1,2;?2p = W12?12;rp = Weighted average of the n securities;E(rp) = W1r1 + W2r2;Two-Security Portfolios withDifferent Correlations;The relationship depends on 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.;1;W1;rp = .6733(.10) + .3267(.14) = .1131;W1;rp = .6087(.10) + .3913(.14) = .1157;The optimal combinations result in lowest level of risk for a given return. The optimal trade-off is described as the efficient frontier. These portfolios are dominant.;The Minimum-Variance Frontierof Risky Assets;The optimal combination becomes linear. A single combination of risky and riskless assets will dominate.;Alternative CALs;Portfolio Selection Risk Aversion;Efficient Frontier with Lending Borrowing