7Optimal Risky Portfolios必看课件资料.pdf

CHAPTER 7 Optimal Risky Portfolios Curriculum name: Investment 投资学 Curriculum teacher: Ying Dong 董莹 Major: Finance 金融学专业 INVESTMENTS |BODIE, KANE, MARCUS McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved. 7-2 The Investment Decision • Top-down process with 3 steps: 1. Capital allocation between the risky portfolio and risk-free asset 资本配置 2. Asset allocation across broad asset classes 风险资产类别配置 3. Security selection of individual assets within each asset class 证券选择 假设：在第7和第8章中所讨论的组合是一个短视野：即描述长期复利收益 的偏度不存在，正态分布足以描述持有期收益，只考虑均值和方差 INVESTMENTS |BODIE, KANE, MARCUS 7-3 Diversification and Portfolio Risk • Market risk – Systematic or non-diversifiable 市场风险，系统性风险， 不可分散风险 • Firm-specific risk – Diversifiable 保险原则 or nonsystematic 独特风险，公司特有风险 可分散风险 INVESTMENTS |BODIE, KANE, MARCUS 7-4 Figure 7.2 Portfolio Diversification 随机抽取股票等权重构成组合的平均标准差关于股票数量的函数 49.2% 19.2% INVESTMENTS |BODIE, KANE, MARCUS 7-5 Covariance and Correlation • Portfolio risk depends on the correlation between the returns of the assets in the portfolio 组合风险取决于风险资产回报的相关性 • Covariance and the correlation coefficient provide a measure of the returns