風(fēng)險(xiǎn)管理和金融創(chuàng)新ppt25-創(chuàng)新決策(編輯修改稿)
2024-09-23 11:06 本頁面
【文章內(nèi)容簡介】 負(fù)債結(jié)構(gòu)不對(duì)稱等 。盯市操作 資產(chǎn)價(jià)格的波動(dòng)，投資家的預(yù)期和行為變化 抵押管理技術(shù)，掩蓋風(fēng)險(xiǎn)，人才流失 違法經(jīng)營，與無法律責(zé)任的人的交易 國家風(fēng)險(xiǎn)、地域奉獻(xiàn)、自然災(zāi)害的隱患等 項(xiàng)目收益的比較 項(xiàng)目收益 (K) 成功概率 (P) 預(yù)期收益 (R) 項(xiàng)目 A 悲觀 100 20 客觀 333 200 樂觀 500 100 項(xiàng)目收益 320 項(xiàng)目 B 悲觀 80 20 客觀 300 150 樂觀 600 150 項(xiàng)目收益 320 預(yù)期收益 成功概率 項(xiàng)目 A 項(xiàng)目 B ????Niii PKK12)(?128?A?185?B?風(fēng)險(xiǎn)的定量化 ? ? ? ? ? ? )(12)(1+)(1ABBA2B22A22p ?????? ?????????wREwRwERE BAPPortfolio of Two Risky Assets ? Suppose you hold a proportion w in asset A and (1w) in asset B ? The portfolio expected return and risk is given by The TwoAsset Case: IBM and John Deere IBM DE Portfolio Random Return Expected Return Std deviation Correlation in Returns % % % % BRAR PR?P? ?PREThe TwoAsset Portfolio ? Suppose you hold two assets in your portfolio, IBM and John Deere. ? Let the fraction of IBM be w and the fraction of John Deere be (1w) ? If w = 1, you hold only IBM, ? If w = 0, you hold on John Deere, ? If w = .5, you have an equally weighted or naively diversified portfolio. Two Asset Portfolio: Risk ? The standard deviation is n
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