资产组合管理：均值方差框架与风险分散化分析.pptxVIP

Two-assetportfolio[]case1:perfectpositivecorrelation()case2:perfectnegativecorrelation(omitted)case3:RealisticCorrelationbetween-1and+1(omitted)PortfoliosofmanysecuritiesVariance-covariancematrix(:numbersofassets)KeyconclusionAsthenumberofassetsheldinaportfolioincreases,thevarianceofreturnontheportfolioesmoredependentonthecovariances.

100%15%50%65%AssetnumbersAverageriskofoneshare(%)515253540UnsystematicRisksystem