现代资产组合理论和资本资产定价模型分析.pptVIP

Modern Portfolio TheoryThe Factor Models and The Arbitrage Pricing TheoryChapter 8By Ding zhaoyong第一页，共五十五页。 Return-generating Processand Factor ModelsReturn-generating processIs a statistical model that describe how return on a security is produced.The task of identifying the Markowitz efficient set can be greatly simplified by introducing this process.The market model is a kind of this process, and there are many others.第二页，共五十五页。 Return-generating Processand Factor ModelsFactor modelsThese models assume that the return on a security is sensitive to the move-ments of various factors or indices.In attempting to accurately estimate expected returns, variances, and covariances for securities, multiple-factor models are potentially more useful than the market model.第三页，共五十五页。 Return-generating Processand Factor ModelsImplicit in the construction of a factor model is the assumption that the returns on two securities will be correlated only through common reactions to one or more of the specified in the model. Any aspect of a security’s return unexplained by the factor model is uncorrelated with the unique elements of returns on other securities.第四页，共五十五页。 Return-generating Processand Factor ModelsA factor model is a powerful tool for portfolio management.It can supply the information needed to calculate expected returns, variances, and covariances for every security, which are the necessary conditions for determining the curved Markowitz efficient set.It can also be used to characterize a portfolio’s sensitivity to movement in the factors.第五页，共五十五页。 Return-generating Processand Factor ModelsFactor models supply the necessary level of abstraction in calculating covariances.The problem of calculating covariances among securities rises exponentially as the number of securities analyzed increase.Practically, abstraction is an essential step in identifying the Markowitz set. 第六页，共五十五页。 Return-generating Processand Factor ModelsFactor models provide investment manage