浙江工商大学 投资学 复习资料 投资组合理论 复习资料Word下载.docx
- 文档编号:21163629
- 上传时间:2023-01-28
- 格式:DOCX
- 页数:17
- 大小:160.63KB
浙江工商大学 投资学 复习资料 投资组合理论 复习资料Word下载.docx
《浙江工商大学 投资学 复习资料 投资组合理论 复习资料Word下载.docx》由会员分享,可在线阅读,更多相关《浙江工商大学 投资学 复习资料 投资组合理论 复习资料Word下载.docx(17页珍藏版)》请在冰豆网上搜索。
TheSharpe(Reward-to-Volatility)Measure
5.3THEHISTORICALRECORD
5.4INFLATIONANDREALRATESOFRETURN
1Realvs.NominalRates
Fishereffect:
Approximation
nominalrate=realrate+inflationpremium
R=r+iorr=R-i
Exampler=3%,i=6%
R=9%=3%+6%or3%=9%-6%
2.83%=(9%-6%)/(1.06)
5.5ASSETALLOCATIONACROSSRISKYANDRISK-FREEPORTFOLIOS
1AllocatingCapital
Possibletosplitinvestmentfundsbetweensafeandriskyassets
Riskfreeasset:
proxy;
T-bills
Riskyasset:
stock(oraportfolio)
2ExpectedReturnsforCombinations
E(rc)=yE(rp)+(1-y)rf
rc=completeorcombinedportfolio
Forexample,y=.75
E(rc)=.75(.15)+.25(.07)=13%
InvestmentOpportunitySetwithaRisk-FreeInvestment
VarianceonthePossibleCombinedPortfolios
Sinces=0c=yp
CHAPTER6EfficientDiversification有效分散化
6.1DIVERSIFICATIONANDPORTFOLIORISK
1MarketriskSystematicorNondiversifiable
Firm-specificriskDiversifiableornonsystematic
6.2ASSETALLOCATIONWITHTWORISKYASSETS
1CovarianceandCorrelation
Portfolioriskdependsonthecorrelationbetweenthereturnsoftheassetsintheportfolio
Covarianceandthecorrelationcoefficientprovideameasureofthereturnsontwoassetstovary
2Portfolioriskdependsonthecorrelationbetweenthereturnsoftheassetsintheportfolio
Covariance:
CorrelationCoefficient:
-1.0<
r<
1.0
TwoAssetPortfolioStDevStockandBond
InGeneral,Forann-SecurityPortfolio:
rp=Weightedaverageofthensecurities
sp2=(Considerallpair-wisecovariancemeasures)
ThreeRulesofTwo-Risky-AssetPortfolios
Varianceoftherateofreturnontheportfolio
ReturnsBond=6%Stock=10%
StandardDeviationBond=12%Stock=25%
WeightsBond=.5Stock=.5
CorrelationCoefficient(BondsandStock)=0
Return=8%=.5(6)+.5(10)
StandardDeviation=13.87%=[(.5)2(12)2+(.5)2(25)2+…2(.5)(.5)(12)(25)(0)]½
[192.25]½
=13.87
6.3InvestmentOpportunitySetforStocksandBonds
6.3THEOPTIMALRISKYPORTFOLIOWITHARISK-FREEASSET最优投资组合风险与无风险资产
ExtendingtoIncludeRisklessAsset
Theoptimalcombinationbecomeslinear
Asinglecombinationofriskyandrisklessassetswilldominate
DominantCALwithaRisk-FreeInvestment(F)
CAL(O)dominatesotherlines--ithasthebestrisk/returnorthelargestslope
Slope=
Regardlessofriskpreferences,combinationsofO&
Fdominate
6.4EFFICIENTDIVERSIFICATIONWITHMANYRISKYASSETS
ExtendingConceptstoAllSecurities
Theoptimalcombinationsresultinlowestlevelofriskforagivenreturn
Theoptimaltrade-offisdescribedastheefficientfrontier
Theseportfoliosaredominant
Figure6.9PortfoliosConstructedfromThreeStocksA,BandC
6.5ASINGLE-FACTORASSETMARKET
SingleFactorModel
βi=indexofasecurities’particularreturntothefactor
M=unanticipatedmovementcommonlyrelatedtosecurityreturns
Ei=unexpectedeventrelevantonlytothissecurity
Assumption:
abroadmarketindexliketheS&
P500isthecommonfactor
SpecificationofaSingle-IndexModelofSecurityReturns
UsetheS&
P500asamarketproxy
Excessreturncannowbestatedas:
Thisspecifiesthebothmarketandfirmrisk
ComponentsofRisk
Marketorsystematicrisk:
riskrelatedtothemacroeconomicfactorormarketindex
Unsystematicorfirmspecificrisk:
risknotrelatedtothemacrofactorormarketindex
Totalrisk=Systematic+Unsystematic
MeasuringComponentsofRisk
si2=bi2sm2+s2(ei)
si2=totalvariance
bi2sm2=systematicvariance
s2(ei)=unsystematicvariance
ExaminingPercentageofVariance
TotalRisk=SystematicRisk+UnsystematicRisk
SystematicRisk/TotalRisk=r2
ß
i2sm2/s2=r2
bi2sm2/bi2sm2+s2(ei)=r2
AdvantagesoftheSingleIndexModel
Reducesthenumberofinputsfordiversification
Easierforsecurityanalyststospecialize
6.6RISKOFLONG-TERMINVESTMENTS
AreStockReturnsLessRiskyintheLongRun?
Considera2-yearinvestment
Varianceofthe2-yearreturnisdoubleofthatoftheone-yearreturnandσishigherbyamultipleofthesquarerootof2
Generalizingtoaninvestmenthorizonofnyearsandthenannualizing:
TheFlyinthe‘TimeDiversification’Ointment
Annualizedstandarddeviationisonlyappropriateforshort-termportfolios
Variancegrowslinearlywiththenumberofyears
Standarddeviationgrowsinproportionto
Tocompareinvestmentsintwodifferenttimeperiods:
Riskofthetotal(endofhorizon)rateofreturn
Accountsformagnitudesandprobabilities
CHAPTER7CapitalAssetPricingandArbitragePricingTheory
7.1CapitalAssetPricingModel(CAPM)
Equilibriummodelthatunderliesallmodernfinancialtheory
Derivedusingprinciplesofdiversificationwithsimplifiedassumptions
Markowitz,Sharpe,LintnerandMossinareresearcherscreditedwithitsdevelopment
Assumptions
Individualinvestorsarepricetakers
Single-periodinvestmenthorizon
Investmentsarelimitedtotradedfinancialassets
Notaxesnortransactioncosts
Informationiscostlessandavailabletoallinvestors
Investorsarerationalmean-varianceoptimizers
Homogeneousexpectations
ResultingEquilibriumConditions
Allinvestorswillholdthesameportfolioforriskyassets–marketportfolio
Marketportfoliocontainsallsecuritiesandtheproportionofeachsecurityisitsmarketvalueasapercentageoftotalmarketvalue
Riskpremiumonthemarketdependsontheaverageriskaversionofallmarketparticipants
Riskpremiumonanindividualsecurityisafunctionofitscovariancewiththemarket
TheRiskPremiumoftheMarketPortfolio
M=Marketportfolio
rf=Riskfreerate
E(rM)-rf=Marketriskpremium
E(rM)-rf=Marketpriceofrisk=
=SlopeoftheCAPM
ExpectedReturnsOnIndividualSecurities
Theriskpremiumonindividualsecuritiesisafunctionoftheindividualsecurity’scontributiontotheriskofthemarketportfolio
Individualsecurity’sriskpremiumisafunctionofthecovarianceofreturnswiththeassetsthatmakeupthemarketportfolio
ExpectedReturnsOnIndividualSecurities:
anExample
UsingtheDellexample:
RearranginggivesustheCAPM’sexpectedreturn-betarelationship
SMLRelationships
b=[COV(ri,rm)]/sm2
E(rm)–rf=marketriskpremium
SML=rf+b[E(rm)-rf]
SampleCalculationsforSML
E(rm)-rf=.08rf=.03
bx=1.25E(rx)=.03+1.25(.08)=.13or13%
by=.6e(ry)=.03+.6(.08)=.078or7.8%
7.2THECAPMANDINDEXMODELS
EstimatingtheIndexModel
UsinghistoricaldataonT-bills,S&
P500andindividualsecurities
RegressriskpremiumsforindividualstocksagainsttheriskpremiumsfortheS&
P500
Slopeisthebetafortheindividualstock
PredictingBetas
Thebetafromtheregressionequationisanestimatebasedonpasthistory
Betasexhibitastatisticalproperty
Regressiontowardthemean
7.3CAPMandtheRealWorld
TheCAPMwasfirstpublishedbySharpeintheJournalofFinancein1964
ManytestsofthetheoryhavesincefollowedincludingRoll’scritiquein1977andtheFamaandFrenchstudyin1992
7.4MULTIFACTORMODELSANDTHECAPM
MultifactorModels
LimitationsforCAPM
MarketPortfolioisnotdirectlyobservable
Researchshowsthatotherfactorsaffectreturns
FamaFrenchThree-FactorModel
Returnsarerelatedtofactorsotherthanmarketreturns
Size
Bookvaluerelativetomarketvalue
Threefactormodelbetterdescribesreturns
7.5FACTORMODELSANDTHEARBITRAGEPRICINGTHEORY
ArbitragePricingTheory
Arbitrage-arisesifaninvestorcanconstructazerobetainvestmentportfoliowithareturngreaterthantherisk-freerate
Iftwoportfoliosaremispriced,theinvestorcouldbuythelow-pricedportfolioandsellthehigh-pricedportfolio
Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear
APTandCAPMCompared
APTappliestowelldiversifiedportfoliosandnotnecessarilytoindividualstocks
WithAPTitispossibleforsomeindividualstockstobemispriced-notlieontheSML
APTismoregeneralinthatitgetstoanexpectedreturnandbetarelationshipwithouttheassumptionofthemarketportfolio
APTcanbeextendedtomultifactormodels
CHAPTER8TheEfficientMarketHypothesis
8.1RANDOMWALKSANDTHEEFFICIENTMARKETHYPOTHESIS
EfficientMarketHypothesis(EMH)
Dosecuritypricesreflectinformation
Whylookatmarketefficiency
Implicationsforbusinessandcorporatefinance
Implicationsforinvestment
RandomWalkandtheEMH
RandomWalk-stockpricesarerandom
Randomlyevolvingstockpricesaretheconsequenceofintelligentinvestorscompetingtodiscoverrelevanti
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 浙江工商大学 投资学 复习资料 投资组合理论 浙江 工商大学 投资 组合 理论