收益管理與風(fēng)險控制(英文版)-文庫吧在線文庫
【正文】 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1020 The Efficient Set for Two Assets100% stocks100% bondsNote that some portfolios are “better” than others. They have higher returns for the same level of risk or less. These promise the efficient frontier.McGrawHill/Irwin Copyright 169。 Unique Riskn? In a large portfolio the variance terms are effectively diversified away, but the covariance terms are not. Thus diversification can eliminate some, but not all of the risk of individual securities.Portfolio riskMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1030 Market EquilibriumWith the capital allocation line identified, all investors choose a point along the line—some bination of the riskfree asset and the market portfolio M. In a world with homogeneous expectations, M is the same for all investors.return?Pefficient frontierrfMCMLMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1038 Estimating b with regressionSecurity ReturnsReturn on market %Ri = a i + biRm + eiSlope = biCharacteristic LineMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1046 Summary and Conclusions? The efficient set of risky assets can be bined with riskless borrowing and lending. In this case, a rational investor will always choose to hold the portfolio of risky securities represented by the market portfolio.? Then with borrowing or lending, the investor selects a point along the CML.return?Pefficient frontierrfMCMLMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1042Expected Return on an Individual Security? This formula is called the Capital Asset Pricing Model (CAPM)? Assume bi = 0, then the expected return is RF.? Assume bi = 1, thenExpected return on a security= Riskfree rate + Beta of the security Market risk premiumMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1034Market EquilibriumAll investors have the same CML because they all have the same optimal risky portfolio given the riskfree rate. 100% bonds100% stocksrfreturn?Optimal Risky PorfolioCMLMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1026 The Efficient Set for Many SecuritiesThe section of the opportunity set above the minimum variance portfolio is the efficient frontier.return?Pminimum variance portfolioefficient frontierIndividual AssetsMcGrawHill/Irwin Copyright 169。 Systematic Risk。 2023 by The McGrawHill Companies, Inc. All rights reserved.1016 The Return an
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