投资学第四讲投资组合与资产配置陈善昂.pptVIP

* CopyRight?ShanAngChen,Department Of Finance,Xiamen University * 6.积极投资组合A的B值 7.积极投资组合A调整后（对B）的头寸 8.在消极组合和在证券i中的最终权重 9.最佳投资组合P的B值及其风险溢价 10.最佳投资组合P的方差 11.最佳投资组合的夏普比率 * CopyRight?ShanAngChen,Department Of Finance,Xiamen University * 宏观预测数据 股票 α β σ(e) α/σ(e) 1 7% 1.6 45% 0.1556 2 -5% 1.0 32% -0.1563 3 3% 0.5 26% 0.1154 * CopyRight?ShanAngChen,Department Of Finance,Xiamen University * 被分析证券的参数表 算出市场组合的夏普指数 注：构建积极组合A的思路是：卖空股票2,增持股票1与股票3. * CopyRight?ShanAngChen,Department Of Finance,Xiamen University * 各股票在积极组合A中的权重 * CopyRight?ShanAngChen,Department Of Finance,Xiamen University * 通过计算,