第8罩 最优风险资产组合 Optimal risky portfolios
8-1 第8章 最优风险资产组合 Optimal Risky Portfolios
最优风险资产组合 Optimal risky portfolios 81分散化与资产组合风险 82两种风险资产的资产组合 83在股票、债券与国库券之间的资产配置 8.4马科维茨的资产组合选择模型 8.5电子表格模型 8.6具有无风险资产限制的最优资产组合
8-2 最优风险资产组合 Optimal Risky Portfolios 8.1 分散化与资产组合风险 8.2 两种风险资产的资产组合 8.3 在股票、债券与国库券之间的资产配置 8.4 马科维茨的资产组合选择模型 8.5 电子表格模型 8.6 具有无风险资产限制的最优资产组合
最优风险资产组合 Optimal risky portfolios 从分散化如何降低资产组合投资回报的风险开始。在建立这 基点之后,我们将从资产配置和证券选择的两方面考察有效分 散化策略。我们将首先考察一个不包含无风险资产的资产配置 ,我们将运用两个有风险的共同基金:一个是长期债券基金, 个是股票基金。然后我们将加上一个无风险资产来决定一个 最优资产组合 The efficient diversification strategies at the asset allocation and security selection levels. We start with a simple example of asset allocation that excludes the risk-free asset. To that effect we use two risky mutual funds: a long-term bond fund and a stock fund. With this example we investigate the relationship between investment proportions and the resulting portfolio expected return and standard deviation We then add a risk free asset to the menu and determine the optimal asset allocation
8-3 最优风险资产组合 Optimal Risky Portfolios 从分散化如何降低资产组合投资回报的风险开始。在建立这一 基点之后，我们将从资产配置和证券选择的两方面考察有效分 散化策略。我们将首先考察一个不包含无风险资产的资产配置 ，我们将运用两个有风险的共同基金：一个是长期债券基金， 一个是股票基金。然后我 们将加上一个无风险资产来决定一个 最优资产组合。 The efficient diversification strategies at the asset allocation and security selection levels. We start with a simple example of asset allocation that excludes the risk-free asset. To that effect we use two risky mutual funds: a long-term bond fund and a stock fund. With this example we investigate the relationship between investment proportions and the resulting portfolio expected return and standard deviation. We then add a riskfree asset to the menu and determine the optimal asset allocation
分散化与风险 Risk Reduction with diversification 标准方差 St deviation 独特风险(非系统风险 Unique Risk 市场风险(系统风险) Market risk 股票数量 umber of Securities
8-4 分散化与风险 Risk Reduction with Diversification 股票数量 Number of Securities 标准方差 St. Deviation 市场风险(系统风险) Market Risk 独特风险(非系统风险) Unique Risk
多样化与组合风险 Diversification and portfolio risk 种股票:One- security: 风险来自宏观经济 Risks come from macro econ 风险来自企业自己 Risks come from company self 两种股票:Two- security 股票组合降低风险 Portfolio will reduce risk 8-5
8-5 多样化与组合风险 Diversification and Portfolio risk 一种股票： One-security ： 风险来自宏观经济 Risks come from macro econ. 风险来自企业自己 Risks come from company self 两种股票：Two - security 股票组合降低风险 Portfolio will reduce risk