第三章 现代资产组合理论.pdf

6-1 第三章 现代资产组合理论 不要把所有的鸡蛋放进一个篮子里 McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 6-2 风险概论 一、风险和不确定性 二、风险转移的方法 1.对冲 2.保险 3.分散投资：系统性风险和非系统性风险 McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 6-3 风险和收益 p = .6 W1 = 150 利润= 50 W = 100 1-p = .4 W2 = 80 利润= -20 E(W) = pW1 + (1-p)W2 = 6 (150) + .4(80) = 122 2 2 2  = p[W1 - E(W)] + (1-p) [W2 - E(W)] = .6 (150-122)2 + .4(80=122)2 = 1,176,000  McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 6-4 风险投资和无风险投资 p = .6 W1 = 150 Profit = 50 风险投资 100 1-p = .4 W = 80 Profit = -20 2 无风险国债 Profit = 5 风险报酬= 17 McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 6-5 风险厌恶和效用 投资者对风险的态度  风险厌恶  风险中性  风险爱好 效用:单个资产的收益用收益率期望值衡量，风 险用方差衡量。 效用函数 U = E ( r ) - .005 A 2 A 衡量投资者风险厌恶程度 McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 6-6 Utility Function U = E ( r ) - .005 A 2 其中 U = 效用 E ( r ) = 资产组合的预期收益率 A = 风险厌恶系数  = 方差 McGraw-Hill/Irwin