[经济学]ch07风险资产与无风险资产之间的组合.ppt

小结 投资者的风险资产组合可以由它的酬报与波动性比率 S＝[E(rP)-rf]/ σP表示。这个比率也是资本配置线的斜率，当画图时，这条线是从无风险资产联到风险资产。所有风险资产与无风险资产的组合都在这条线上。当其他条件相等时， 投资者偏好一条斜率较陡的资本配置线，因为这表明它对任一风险水平有更高的期望 收益。如果借入利率高于贷出利率，资本配置线将在风险资产点处“被弯曲”。 An investor’s risky portfolio (the risky asset) can be characterized by its reward-to- variability ratio, S＝[E(rP)-rf]/σP This ratio is also the slope of the CAL, the line that, when graphed, goes from the risk-free asset through the risky asset. All combinations of the risky asset and the risk-free asset lie on this line. Other things equal, an investor would prefer a steeper-sloping CAL, because that means higher expected return for any level of risk. If the borrowing rate is greater than the lending rate, the CAL will be “kinked” at the point of the risky asset. 小结 投资者的风险厌恶程度可以由他的无差异曲线的斜率表示。无差异曲线说明， 在任何期望收益和风险水平上，为弥补一个附加的标准差，需要有一风险溢价。风险 厌恶程度较高的投资者有更陡的无差异曲线，也就是说，他们在面临更大的风险时要求有更多的风险溢价补偿。 The investor’s degree of risk aversion is characterized by the slope of his or her indifference curve. Indifference curves show, at any level of expected return and risk, the required risk premium for taking on one additional percentage of standard deviation. More risk-averse investors have steeper indifference curves; that is, they require a greater risk premium for taking on more risk. 小结 风险资产的最优头寸y*，与风险溢价成正比，与方差和风险厌恶程度成反比。 y* = (E(rP)–rf)/0.01Aσ 2p 用图形表示，这个资产组合处于无差异曲线与资本配置线相切的切点。 The optimal position, y*, in the risky asset, is proportional to the risk premium and inversely proportional to the variance and degree of risk aversion: y* = (E(rP)–rf)/0.01Aσ 2p Graphically, this portfolio represents the point at which the indifference curve is tangent to the CAL. 小结 消极投资策略不考虑进行证券分析，把目标放在投资无风险资产与一个风险资产的广泛组合（譬如标准普尔 500股票的资产组合）。如果在 1997年，投资者用标准普 尔500指数的平均历史收益和标准差代表它的期望收益和标准差，那么已发行股票的价值将意味着对于普通投资者而言，有约为 A＝2.96的风险厌恶程度。与其他的研究相联系，我们估计风险厌恶系数在 2.0至4.0之间。 A passive investment strategy disregards security analysis, targeting instead the r