Chap最优风险资产组合.pptxVIP

Chap最优风险资产组合第1页/共40页 7-2Diversification and Portfolio Risk分散化与组合风险Market risk市场风险Systematic or nondiversifiable系统风险也是不可分散风险Firm-specific risk公司风险Diversifiable or nonsystematic可分散风险、非系统性风险第2页/共40页 7-3Figure 7.1 Portfolio Risk as a Function of the Number of Stocks in the Portfolio组合风险作为组合内股票数量的函数第3页/共40页 7-4Figure 7.2 Portfolio Diversification组合分散化第4页/共40页 7-5Portfolio Diversification: Intuition组合分散化: 直觉第5页/共40页 7-6Covariance and Correlation协方差与相关系数Portfolio risk depends on the correlation between the returns of the assets in the portfolio组合风险依赖于组合资产回报之间的相关系数Covariance and the correlation coefficient provide a measure of the way returns of two assets vary协方差与相关系数可以提供资产间回报变化相互关联的方式第6页/共40页 7-7Two-Security Portfolio: Return二资产组合收益情况第7页/共40页 7-8 = Variance of Security D = Variance of Security E = Covariance of returns for Security D and Security ETwo-Security Portfolio: Risk二资产组合风险情况第8页/共40页 7-9Two-Security Portfolio: Risk风险情况Another way to express variance of the portfolio:表达组合方差的另一种办法第9页/共40页 7-10?D,E = Correlation coefficient of returns相关系数 Cov(rD,rE) = ?DE?D?E?D = Standard deviation of returns for Security D标准差D?E = Standard deviation of returns for Security E标准差ECovariance协方差第10页/共40页 7-11Range of values for ?1,2+ 1.0 r -1.0If r = 1.0, the securities are perfectly positively correlated完全正相关If r = - 1.0, the securities are perfectly negatively correlated完全负相关Correlation Coefficients: Possible Values相关系数的可能值第11页/共40页 7-12Correlation Coefficients相关系数When ρDE = 1, there is no diversification如果相关系数为1就没有风险分散效果When ρDE = -1, a perfect hedge is possible如果相关系数为-1，可以做出完全对冲效果第12页/共40页 7-13Table 7.2 Computation of Portfolio Variance From the Covariance Matrix从协方差矩阵中算出组合方差第13页/共40页 7-14Three-Asset Portfolio三资产组合第14页/共40页 7-15Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions组合期望收益对投资比例的函数第15页/共40页 7-16Figure 7.4 Portfolio Standard Deviation as a Function of Investment