量化交易课件3效用和行为金融.ppt

OptimalⅤ ersus naive Diversification: How Inefficient is the 1/N Portfolio strategy? Victor DeMiguel, Lorenzo Garlappi Raman Uppal, Review of Financial studies, 2007  允许卖空时,多种风险证券的有效边界 Excess returns: R,=r-rINON(u, 2) Mean-variance obiective function U(w)=up 2 P 2y2=O 02=12p tan gent mIn ∑1  计算题 已知无风险收益率为5%,两种风险资产的预期收 益率分别为10%,15%,方差一协方差矩阵如下 1/40 01/2 求无风险资产与两种风险资产所构成的最小方 差曲线的方程。  10% R。=5%,R 15% 01/2 5% 10% 02 40/5% 02八(10% tan gel 405% 02八10% 10% Emsm=(1/21/2 15%/125% 1/401/2 (1/21/2 01/2八1/2 75%=310 E=5%+√30/10 3/4  5、不允许卖空时,有效边界的确定 次规划 St.xR=R