lecture均额值方差分析.pptVIP

相关性与风险分散 * 小结 Markowitz投资组合的三个步骤 重要概念： 有效边界 最优资产配置线 最优风险资产组合 自由投资组合 分离定理 下一步 怎么计算？ * * * * Question: the slope of the indifference curve and degree of risk aversion. * * Illustrate the three cases algebraically. Do exercise 9 on page 237. * Use excel to illustrate these several figures (Table 7.3) An example: r(d)=8%. R(e)=13%. Sigma(d)=12%. Sigma(e)=20%. Cov(d,e)=72%. Rou=0.3. * Now the possible combinations of risk and return are given. The problem is to find the CAL that gives the highest reward to risk ratio. * Continue using the earlier Excel to play with the idea of looking for the o