英国理工课件：（计算金融：单周期马科维茨模型）Computational Finance：Single Period Markowitz Model.pptVIP

Panos Parpas Topics Covered Notation and Terminology Random variables, mean, (co)variance, correlation Asset return, portfolio return and risk Portfolio Optimisation Optimal asset allocation, risk management Short sale, diversification Mean-Variance model, efficient frontier Terminology Random Variable y is a random variable, takes finite number of values, yj for j=1,2,…,m. a probability (associated with each event) represents the relative chance of an occurrence of yj.such that Expected Value (Mean value or mean) average value obtained by regarding probabilities as frequencies Variance measure of possible deviation from the mean Terminology Covariance of two random variables Correlation between two random variables Asset Returns Asset: investment instrument that can be bought and sold uncertain asset prices – the return is random uncertainty described in probabilistic terms Asset return: you purchase an asset today and sell it next year Total return on this investment is defined as Rate of return: Rate of return acts much like an interest rate Returns Portfolio Return Consider n risky assets to form a portfolio and invest among n assets Select an amount invested in the ith asset The amounts invested can be expressed as fractions of the total investment is fraction or weight of asset i in portfolio Let the total return of asset i be . The amount of money gained at the end of the period on asset i is The total return of the portfolio The rate of return of portfolio Portfolio Return Both the total return and the rate of return of the portfolio of assets are equal to the weighted sum of the corresponding individual asset returns, with the weight of an asset being its relative weight in the portfolio. Expected return of the portfolio is the weighted sum of the individual expected rates of return Example C