【正文】 interchangeably. Diversification and systematic risk We’ve seen that unsystematic risk can be eliminated by diversifying. What about systematic risk? Can it also be eliminated by diversification? The answer is no because, by definition, a systematic risk affects almost all assets to some degree. As a result, no matter how many assets we put into a portfolio, the systematic risk does not go away. Thus, for obvious reasons, the terms systematic risk and nondiversifiable risk are used interchangeably. Because we have introduced so many different terms, it is useful to summarize our discussion before moving on. What we have seen is that the total risk of an investment, as measured by the standard deviation of its return, can be written as: Total risk = systematic risk + unsystematic risk Systematic risk is also called nondiversifiable risk or market risk. Unsystematic risk is also called diversifiable risk, unique risk, or assetspecific risk. For a welldiversified portfolio, the unsystematic risk is negligible. For such a portfolio, essentially all of the risk is systematic. Definition of the market equilibrium portfolio Much of our analysis thus far concerns one investor. His estimates of the expected returns and variances for individual securities and the covariances between pairs of securities are his and his alone. Other investors would obviously have different estimates of the above variables. However, the estimates might not vary much because all investors would be forming expectations from the same data on past price movements and other publicly available information. Financial economists often imagine a world where all investors possess the same estimates on expected returns, variances and covariances. Though this can never be literally true, it can be thought of as a useful simplifying assumption in a world where investors have access to similar sources of information. This assumption is called homogeneous expectations. If all investors had homogeneous expectations, would be the same for all individuals. That is, all investors would sketch out the same efficient set of risky assets because they would be working with the same inputs. This efficient set of risky assets if represented by the curve XAY. Because the same riskfree rate would apply to everyone, all investors would view point A as the portfolio of risky assets to be held. This point A takes on great important because all investors would purchase the risky securities that it represents. Those investors with a high degree of risk aversion might bine A with an investment in the riskless asset, achieving point 4, for example. Others with low aversion to risk might borrow to achieve, say, point 5. because this is a very important conclusion, we restate it: In a world with homogeneous expectations, all investors would hold the portfolio of risky assets represented by point A. If all investors choose he same portfolio of risky assets, it is possible to determine what that portfolio is. Common sense tells us that it is a market value weighted portfolio of all existing securities. It is the market portfolio. In practice, financial economists use a broadbased index such as the standard amp。將這樣的信息來源全部列舉出來將是無窮 盡的，這里舉幾個例子進行說明： F公司的研發(fā)信息 政府公布國內生產總值 最新軍備控制決判結果 F公司銷售量高于預期 利率突然下調 根據上述論述， F 公司股票在未來年份的收益可寫成： R = E (R) + U 其中， R 表示一年中實際的總收益， E(R)表示總收益中的期望部分， U 表示總收益中的未期望部分。 雖然有各種各樣的風險來源，但它們之間存在著重要的差別。 第二種類型的驚奇稱為非系統(tǒng)性風險。 相比之下，某石油公司發(fā)生工人罷工事件可能僅僅影響這個公司或某些公司。 在我們分解總的驚奇收益時，一個關鍵點在于非系統(tǒng)性部分對于 F 公司而言，或多或少是獨特的。你可能會懷疑，但這是一個非常重要的觀察結果。之所以存在很小的差異是因為這兩個組合包含的證券以及所考察的時間期間不完全一樣。將投資從單一資產擴展至多個資產投資進而構建組合的過程稱為多元化。在 2020 年，道瓊斯工業(yè)平均指數上揚了近25%。與這些損失相抵的股票是伊士曼柯達公司。另一方面，如果我們持 有一個規(guī)模很大的組合，該組合中的一些股票因為公司特有的消極事件而增加價值，一些股票則因為公司特有的消極事件而降低價值。顯然，基于上述原因，系統(tǒng)性風險和不可分散化風險這兩個專業(yè)術語經常交替使用。這一假設稱為共同期望假設。由于這是一個非常重要的結論，因此我們重新表述如下： 在一個具有共同期望的世界中，所有的投資者都將持有 A點所代表的風險資產組合。這一結果要求我們更加準確的掌握多元化組合中單個證券的風險。金融經濟學家把這個差異作為未來風險溢價的有效估計值： 例如，假如用一年期國庫券的收益率估計的無風險利率為 1%，那么市場的期望收益就等于： %=1%+% 當然，股票未來的風險溢價有可能高于或低于歷史平均的風險溢價，這是因為股票未來的風險可能高于或低于歷史平均的風險水平，或者因為投資者對風險的規(guī)避程度可能高于或低于歷史的平均水平。因為股票具有風險，某一時期市場的實際收益有可能低于無風險利率 RF， 甚至可能出現(xiàn)負值。當然，在實踐中，并非所有的投資 者都持有相同的組合。因為相同的無風險利率適用于每個投資者，所以所有的投資者都會將 A 點作為他們持有的風險資產組合。顯然，其他投資者對上述變量有著不同的估計。 事實上，可分散化風險和非系統(tǒng)性風險這兩個專業(yè)術語經常交替使用 多元化與系統(tǒng)性風險 我們已經知道非系統(tǒng)性風險可以通過多元化進行消除。 根據定義，非系統(tǒng)性風險指的是單個資產，或者之多一小類資產特有的風險。其中下跌的股票依次是伊士曼柯達公司， AT%T 和美國默克集團。在圖中，最低水平的風險稱為不可分散風險。當組合中股票數量達到 10 只時，多元化效應已實現(xiàn)了大部分。如果你隨機抽取紐約證券交易所中的某兩只股票，每只股票各投資 50%的資金，你所獲得收益的標準差每年平均是 37%，如此類推。我們現(xiàn)在要更詳細的觀 察單個資產的風險以及由多種不同資產構成的組合的風險。當然，這樣說有點吹毛求疵。 正如我們所看到的，關于經濟狀況的不確定性，如 GDP，利率或通貨膨脹，都是系統(tǒng)性風險的典型例子。我們將區(qū)分上述這兩種不同類型的事件，因為在下文我們將看到它們具有完全不同的含義。顯然，這表明平均