投资组合管理(推荐PDF92)

1.1(Portfolio)riskreturn123,1.2mutualfund1000,13,141.31-140501.41-21-21-2/-DDM1-11.560301-31.61-4151-3GNPCPIP/E/1-4ARCHARIMAPCfactoranalysisdiscriminantanalysisBox-JenkinsARIMAARCH(autoregressiveheteroscedastic)1.77019731974(EmployeeRetirementIncomeSecurityAct,ERISA)617returnattribution1-11-120701.81.11-5marketableVentureCapital10••••••••AAABaa(inflation-hedging)(treasurybills)(certificatesdeposit,CD)(commercialpaper)(GIC)(defined-contributionplans)1.9341-281-5AAABaaCDGIC1-21.1012[1]19[1]Anefficientmarketisoneinwhichpricecorrespondstovalue(pricereflectsvalue),andaperfectlyefficientmarketisoneinwhichpricecorrespondstovalueatalltimes.123marketanomalies1.112012101.2.3.4.5.6.7.8.9.10.11.111extra-marketcorrelationfactors234342.1Markowitz[1]assetallocation2.22[1]efficientportfolioefficientefficientefficientnon-dominated..1989..199720040050010002.31952JournalofFinance1959[1][2]16[1]HarryM.Markowitz.PortfolioSelectionBasilBlackwellInc.19591991[2]2.42-1ABefficientfrontierCDEDCDCECEC2.51P0=2-1P0P1(1+k)2172-1P1kkrequiredreturnRRfriskpremiumBRr(1)(2)(3)(4)2-1kE(R)k=E(R)=2-2(2-2)2-2[1]DP0(P1P0)P0=+2-35025410.040.080.1212%12%4%8%545050250P1P0P0DP0(P1P0)P018[1]WiiE(Ri)iE(RP)E(RP)RpE(Rp)W1E(R1)+W2E(R2)WiE(Ri)2-4AB15%10%60%40%E(Rp)0.60.150.40.100.090.040.1313%2.5.1[1]2-13315%(2-5)2-1R1%%%215101002150032510100[2]SSvariabilityS=Var(R)=8.2%Var(R)=Ri-R()2Ni=1N∑=67(%)2R=RiNi=1N∑=15%(R1-R)2R1-RVar(R)=Ri-R()2Ni=1N∑=200(%)23=67(%)2i=12∑219[1][2]N1NNRVar(R)E(RR)2E(R){Ri}E(R)Var(R)Var(R)1N(Ri-R)∑2Var(R)=1N-1(Rii=1N∑-R)2E(R)=1NRii=1N∑RABAB2.5.2covariance2-22-11221Cov(R1,R2)2-6[1]2-2R1R2(5)(2)(4)(R1R2)/2(1)(2)(3)(4)(6)151025101001521501500153251051010015=(correlationcoefficient)111212(2-7)12=Cov(R1,R2)S1S2=-678.2×8.2=-1=12=Cov(R1,R2)S1S2=-678.2×8.2=-1Cov(R1,R2)=(R1i-R1)×(R2i-R2)Ni=1N∑=-200(%)23=-67(%)2(2)×(4)=-200∑R2=15R1=15R2i-R2R1i-R1Cov(R1,R2)=1N(Rli-R1)i=1N∑(R2i-R2)=-200(%)23=-67(%)220[1]Cov(R1,R2)=-200(%)22=-100(%)212-2Var(Ri)iCov(R1,R2)WiiVar(RP)2-8[1]2.5.3diversification2-9(2-9)2-3SWi10.100.400.160.520.100.400.160.5W10.5W20.5Rp=W1R1+W2R2=0.5(0.1)+0.5(0.1)=0.1Var(Rp)=W12Var(R1)+W22Var(R2)+2W1W2S1S2=0.250.16+0.250.16+20.50.50.40.4=0.08+0.081Wii=12∑=1.00Cov(Ri,Rj)=ijSiSjVar(Rp)=W12Var(R1)+W22Var(R2)+2W1W2Cov(R1,R2)221[1][1]2-32-310%S50%100%10%2.5.41112-2aAB2-2b1AB2-2cAB[2]AB2-2AB2-3ABAB2-3aBA1210.16[VarRp=0.08+0.081=0.16]BA2-3b12=122[1][2]a)b)c)2-3b10%[1](12=0)0.08[Var(RP)=0.080.0800.08]0.162-312=02.5.52-102-112-11(2-1240%2-4Sp=SiNVar(Rp)=1N⎛⎝⎞⎠2Var(Ri)=N1N⎛⎝⎞⎠2Var(Ri)=1NVari=1N∑(Ri)Var(Rp)=Wi2Vari=1N∑(Ri)Var(Rp)=Wi2Vari=1N∑(Ri)+WiWjj=1N∑i=1N∑Cov(RiRj)223a)b)[1]2-3abij12810%5102%2.5.612=+10.50.60.50.6FisherLorie15002-5(%)(%)(%)(%)1940.045552932.438628925.6208016924.0128832923.6892128922.8298922.00100FisherLawrenceandJamesH.LorieSomeStudiesofVariabilityofReturnsonInvestmentinCommonStocksJournalofBusiness.April1970pp.99-1342-51009%9%242-4%140.0228.3814.11610.0327.11283.55101.840%12822.8%1632+10.50.62-42-50.5540%22%0.550.40=0.220.220.4055%systematicriskdiversifiablerisk2-52-42-4225deadweightloss32.62-61AB-(1)+1(2)[1](3)+0.5AWB1W2-6%%A1524+1.00+0.5B1218WA%0%20406080100.0WB=(1W)(%100%806040200.012.012.613.213.814.415.01.018.019.220.421.622.824.00.518.017.317.719.022.024.00.018.015.214.416.119.524.02-6A20%100%B100%A100%B100%2-5AB-=+1=00.5=0=0.526[1]independence=12-52.7nonnegativityconstraintshortselling80.50.82-6ABW1WA1B112%B15%ABAW21W118%20.15+(1)0.12A2BAB9%10.15+20.122272-62-70.50.8200%100%0.80.5100%200%100%200%0.80.52-7ABW1WCorr=0.5Corr=0.81.002.009.0031.7022.100.801.809.6028.2020.600.601.6010.2024.9019.300.401.4010.8022.0018.400.201.2011.4019.6018.000.001.0012.0018.0018.000.200.8012.6017.8018.400.400.6013.2017.7019.400.600.4013.8019.0020.600.800.2014.4022.0022.201.000.0015.0024.0024.001.200.2015.6027.2022.801.400.4016.2030.6028.201.600.6016.8034.3030.501.800.8017.4038.1032.802.001.0018.0042.0035.3028A(W)2.8NNNN(N1)/22NN(N1)/220020020019900203002-82-8NNNN(N1)/22NN(N1)/22221533339444614555102010101045651001001004950515020020020019900203005005005001247501257501000100010004995005015002002030020300indexmodelscontinuum42292.931233338108882892.9.1IbbotsonSinguefeld[1]IbbotsonSinguefeld[2]30[1]Treasurybill1326[2]RRrI1+R(1Rr)(1I)IRrRIRr=R-I1+I1+Rr=1+R1+ILiquidityPremiumdefaultpremium2-91926~1993%%%%%%10.37.26.620.55.62.50.68.45.01.91.38.73.70.63.33.1()SBBIYearbookIbbotsonAssociatesChicago1994.2-919291993673.1%7.2%0.6%2.5%1.9%5.0%3.7%1.3%5.6%5.0%0.6%10.3%3.7%6.6%2.9.2991926~199392312-101926~1993quadraticoptimizationprogram2-101926~1993%%12.320.51.05.48.70.1141.03.73.30.50.241.05%10%20%[1]2-72-72-112-71357S&P5005005132[1]11()U.S.TRU.S.(30)TRS&P5005-9%12%2-7583%3%17%3%[1]2-83%3%80%90%10%20%2-82-1159%3%9%12%3/40%3%9%6%3%70%3%30%77%23%2-11probability-of-lose2-111357S&P500%12.5032.9053.3081.00100.0011.6027.0042.4019.000.0075.9040.104.300.000.00100.00100.00100.00100.00100.00%5.007.009.0011.0012.30%3.907.6012.0016.9020.50%10.017.922.725.827.4233[1]P{˜rµ}=0.841384.13%83%17%15.87%2-859%;=12%Ashortfallanalysis2.9.32-71278IDC-2-9a2-9bcertaintyequivalentr