论公司金融实施的有效性.pdf

Fin-40002 Financial Markets Lecture 7 Professor Robin Bladen-Hovell Keele Management School 1 Housekeeping 2 What you will learn  Single index model 3 Drawbacks to Markowitz  Two drawbacks to Markowitz model  Amount of information required to fill covariance matrix  Lack of guidance for predicting risk premiums  Index models simplify the former and enhance latter  Are based on a decomposition of risk into systematic and firm-specific components 4  The data problem of the Markowitz model has already been described:  50 shares  50 estimates of expected return  50 estimates of variance  50(50-1)/2 = 1,225 covariances  1,325 total estimates Double n to 100 almost quadruples the number of estimates: for 3000 shares on NYSE need over 4.5 million estimates 5  Consistency of estimate difficult to judge. Suppose you estimate: Correlation matrix Standard Asset Deviation A B C A 20 1.00 0.90 0.90 B 20 0.90 1.00 0.00 C 20 0.90 0.00 1.00  Constructing a portfolio from A, B, C with 2 weights [-1, 1, 1] yields  200 p 6 Introducing