第四章有效多样化课件.ppt

Chapter 4;多样化降低风险Risk Reduction with Diversification;分散投资的作用;风险分散——国际经验 ;中国股市的分散与风险;中国股市的分散与风险;;分散投资降低风险 ;rp = W1r1 + W2r2 W1 = Proportion of funds in Security 1 W2 = Proportion of funds in Security 2 r1 = Expected return on Security 1 r2 = Expected return on Security 2 ;?p2 = w12?12 + w22?22 + 2W1W2 Cov(r1r2);协方差Covariance;Covariance (cont.);?1,2 = Correlation coefficient of returns ;Range of values for ?1,2; 例子;例子;例子;例子;?2p = W12?12;rp = Weighted average of the n securities;;;E(rp) = W1Ｅ（r1） + W2E（r2）;两种证券各种组合的风险收益;Two-Security Portfolios withDifferent Correlations;The relationship depends on correlation coefficient. -1.0 ? +1.0 The smaller the correlation, the greater the risk reduction potential. If r = +1.0, no risk reduction is possible.;1;W1;rp = .6733(.10) + .3267(.14) = .1131;W1;rp = .6087(.10) + .3913(.14) = .1157;;;The optimal combinations result in lowest level of risk for a given return. The optimal trade-off is described as the efficient frontier. These portfolios are dominant.;均值方差分析;三种以上证券形成的可行集;有效边界(efficient frontier);均值方差分析;均值方差分析;均值方差分析;The Minimum-Variance Frontierof Risky Assets;Portfolio Selection Risk Aversion;均值方差分析;The optimal combination becomes linear. A single combination of risky and riskless assets will dominate.;风险资产组合与无风险资产形成的可行集、有效集; 资产分配线B E(rp)  15% B 资产分配线A ? 　　　　　　 A 6.5%? ? 机会集合线（有效边界） ?0 　　　　　　　　　　　　　　　　　　　　　　　　　?;;;Alternative CALs;E(rp) 资产分配线 全部资产最优组合 P 最优风险资产组合 C 6.5% 机会集合线 0