目录
[隐藏]
Overview:

Portfolio diversification is the most fundamental concept of risk management. The allocation of financial resources in stocks, bonds, riskless, assets, oil and other assets determine the expected return and risk of a portfolio. Taking account of covariances and expected returns, investors can create a diversified portfolio that maximizes expected return for a given level of risk. An important mission of financial institutions is to provide portfolio-diversification services.

Reading assignment:

Fabozzi et al. Foundations of Financial Markets and Institutions, chapters 8 and 13

Jeremy Siegel, Stocks for the Long Run, chapters 1 and 2

投资组合多样化

第一条也是最基本的一条原则是,你要关注的是整个投资组合。

组合收益率的均值和组合收益率的方差

方差一样的情况下,收益率越高越好,收益率一样的情况下,方差越小越好。

投资更多的不同的东西,那样风险会更小

Optimal Portfolio Diversification

in General Case

Drop assumption of equal weighting, independence and equal variance

Put xi dollars in i th asset, I=1,..,n, where the xi sum to $1.

Portfolio expected value

r = \sum\limits_{i = 1}^n {{x_i}E(retur{n_i}) = \sum\limits_{i = 1}^n {{x_i}{r_i}} }

Portfolio variance (two assets) =

x_1^2{\mathop{\rm var}} (retur{n_1}) + {(1 - {x_1})^2}{\mathop{\rm var}} (retur{n_2}) + 2{x_1}(1 - {x_1})cov(retur{n_1},retur{n_2})

切线投资组合

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Beta

 

The CAPM implies that the expected return on the ith asset is determined from its beta.

Beta (i) is the regression slope coefficient when the return on the ith asset is regressed on the return on the market.

Fundamental equation of the CAPM:

{r_i} = {r_f} + {\beta _i}({r_m} - {r_f})