全套电子课件：金融学 第十套.ppt

* * * * Mode =104 Mode =106 Median=104 Mean =104 Median=111 Mean = 113 * * Mode = 122 Mode = 135 Median= 126 Mean = 128 Median= 165 Mean = 182 * * Mode =503 Mode =1,102 Median=650 Mean =739 Median=5,460 Mean =12,151 * * * * * Combining the Riskless Asset and a Single Risky Asset The expected return of the portfolio is the weighted average of the component returns mp = W1*m1 + W2*m2 mp = W1*m1 + (1- W1)*m2 * Combining the Riskless Asset and a Single Risky Asset The volatility of the portfolio is not quite as simple: sp = ((W1* s1)2 + 2W1* s1* W2* s2 + (W2* s2)2)1/2 * Combining the Riskless Asset and a Single Risky Asset We know something special about the portfolio, namely that security 2 is riskless, so s2 = 0, and sp becomes: sp = ((W1* s1)2 + 2W1* s1* W2* 0 + (W2* 0)2)1/2 sp = |W1| * s1 * Combining the Riskless Asset and a Single Risky Asset In summary sp = |W1| * s1, And: mp = W1*m1 + (1- W1)*rf , So: If W10, mp = [(rf -m1)/ s1]*sp + rf Else mp = [(m1-rf )/ s1]*sp + rf * * Long risky and short risk-free Long both risky and risk-free 100% Risky 100% Risk-less * Mutual Fund Average % Total Returns * To obtain a 20% Return You settle on a 20% return, and decide not to pursue on the computational issue Recall: mp = W1*m1 + (1- W1)*rf Your portfolio: s = 20%, m = 15%, rf = 5% So: W1 = (mp - rf)/(m1 - rf) = (0.20 - 0.05)/(0.15 - 0.05) = 150% * To obtain a 20% Return Assume that your manage a $50,000,000 portfolio A W1 of 1.5 or 150% means you invest (go long) $75,000,000, and borrow (short) $25,000,000 to finance the difference Borrowing at the risk-free rate is moot * To obtain a 20% Return How risky is this strategy? sp = |W1| * s1 = 1.5 * 0.20 = 0.30 The portfolio has a volatility of 30% * Portfolio of Two Risky Assets Recall from statistics, that two random variables, such as two security returns, may be combined to form a new random variable A reasonable assumption for returns on different securities is the linear model: * Equat