两基金分离定理和资产定价模型.pptxVIP

CHAPTER THREE: Portfolio Theory, Fund Separation and CAPMMarkowitz Portfolio Selection There is no single portfolio that is best for everyone. The Life Cycle — different consumption preference Time Horizons — different terms preference Risk Tolerance — different risk aversion Limited Variety of Portfolio — Limited “finished products” in markets Expected Return Risk WeightAsset 1Asset 2is correlation coefficient:The Trade-Off Between Expected Return and RiskMarkowitz’s contribution 1: The measurement of return and riskPortfolio of two assetsSuppose , how to achieve a target expected return ? Mini Case 1: Portfolio of the Riskless Asset and a Single Risky Asset Is the portfolio efficient ? Asset 1 Asset 2Expected Return 0.14 0.08Standard Deviation 0.20 0.15Correlation Coefficient 0.6 The Diversification PrincipleMini Case 2: Portfolio of Two Risky AssetsThe Diversification Principle — The standard deviation of the combination is less than the combination of the standard deviations.SymbolProportion in Asset 1Proportion in Asset 2Portfolio Expected ReturnPortfolio Standard DeviationR0100% 8% 0.15C 10% 90% 8.6%0.1479Minimum Variance Portfolio 17% 83%9.02%0.1474.1400S.1100D 50% 50% 11%0.1569DS100%0 14% 0.20.0902.0860CR.08000.2000.1479.1569.1500The Optimal Combination of Two Risky AssetsHyperbola Frontier of Two Risky Assets CombinationMinimum Variance PortfolioSuppose , ThenLet ,Let , — Diversification0Systematic ExposureMarkowitz’s contribution 2: Diversification.Expected return: :Covariance: :Mini Case 3: Portfolio of Many Risky Assets ?Resolving the quadratic programming, get the minimum variance frontierIndifference Curve of UtilityOptimal Portfolio of Risky Assets0 The Mean-Variance Frontier Efficient Frontier of Risky AssetsProposition!The var