[经济学]ch6 投资组合的风险与收益.ppt

* * * * * * * * Shape Concerned with extent to which values are symmetrically distributed. Kurtosis The extent to which a distribution is peaked (flatter or taller). For example, a distribution could be more peaked than a normal distribution (still may be 慴ell-shaped). If values are negative, then distribution is less peaked than a normal distribution. Skew The extent to which a distribution is symmetric or has a tail. Values are 0 if normal distribution. If the values are negative, then negative or left-skewed. * * * * * * 确定性等价效用 风险金 * * * 6.3 资产组合的收益与风险 引例 资产组合（Portfolio）的优点 资产组合收益与方差的计算规则 补充证明与计算 * 引例 一个岛国是旅游胜地，其有两家上市公司，一家为防晒品公司，一家为雨具公司。岛国每年天气或为雨季或为旱季，两家公司的股东都面临着两种相反天气的风险。雨季使防晒品公司收益下降，却使雨具公司的收益增加，旱季则相反。 请问你的投资策略是什么。 不把鸡蛋放在同一个篮子的投资学原理是什么？ 问题的核心所在：风险控制 * 资产组合（Portfolio）的优点 对冲（hedging），也称为套期保值。 投资于补偿形式（收益负相关），使之相互抵消风险的作用。 分散化（Diversification） 必要条件：收益是不完全正相关，就能降低风险。 组合使投资者选择余地扩大。 * 例如有A、B两种股票，每种股票的涨或跌的概率都为50%，若只买其中一种，则就只有两种可能，但是若买两种就形成一个组合，这个组合中收益的情况就至少有六种。 涨，涨 涨，跌 涨 跌，涨 跌，跌 跌 涨 跌 A B 组合至少还包含非组合（即只选择一种股票），这表明投资者通过组合选择余地在扩大，从而使决策更加科学。 Expected Return Rule 1 : The return for an asset is the probability weighted average return in all scenarios. Variance of Return Rule 2: The variance of an asset’s return is the expected value of the squared deviations from the expected return. Return on a Portfolio Rule 3: The rate of return on a portfolio is a weighted average of the rates of return of each asset comprising the portfolio, with the portfolio proportions as weights. 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 Portfolio Risk with Risk-Free Asset Rule 4: When a risky asset is combined with a risk-free asset, the portfolio standard deviation equals the risky asset’s standard deviation multiplied by the portfolio proportion invested in the risky asset. Rule 5: When two risky assets with va