2021年Fabozzi_金融市场与金融机构基础课后答案12.pdf

精品 pdf资料 欢迎下载 - - - - - - - - - - - - - - - CH APT ER 12 RISK/RETURN AND ASSET PRI CI NG M ODEL S PORTFOLIO THEORY Portfolio theory proceeds from the axiom that investors seek to maximize returns given some risk level they are willing to accept. Portfolios that maximize the expected return from an investment subject to a given level of risk are said to be efficient. From among efficient portfolios, the one which risk-averse investors prefer, is said to be an optimal portfolio. To construct an efficient portfolio, it is necessary to understand what is meant byexpected return and risk. Investment Return The return on an investment portfolio during a given interval of time is equal to the change in value of the portfolio plus any distributions received from the assets in the portfolio. These returns are expressed as a fraction of the initial portfolio value. R = (V 1 – V 0 + D) / V 0 where V1 = portfolio value at the end of interval V0 = portfolio value at the beginning of interval D = cash distribution during interval For purposes of comparison, returns are expressed per unit of time, usually a year. If several years of units are included in the time horizon, then the return can be computed by averaging the return over the several unit intervals. There are three averaging metho