兩基金分離定理和資產定價模型(編輯修改稿)
2024-11-15 08:50 本頁面
【文章內容簡介】 E r E rw? ?211111???????????Resolving the quadratic programming, get the minimum variance frontier 9 Efficient Frontier of Risky Assets The MeanVariance Frontier ? ?Er?min ?0 Indifference Curve of Utility Optimal Portfolio of Risky Assets 10 Proposition! The variance of a diversified portfolio is irrelevant to the variance of individual assets. It is relevant to the covariance between them and equals the average of all the covariance. 11 ? Systematic risk cannot be diversified 12 Proposition! Only unsystematic risks can be diversified. Systematic risks cannot be diversified. They can be hedged and transferred only. Markowitz’s contribution 3: Distinguishing systematic and unsystematic risks. 13 Proposition! There is systematic risk premium contained in the expected return. Unsystematic risk premium cannot be got through transaction in petitive markets. ? ?? ?iirE ?,Only systematic risk premium contained, no unsystematic risk premium contained. Both systematic and unsystematic volatilities contained 14 Two Fund Separation The portfolio frontier can be generated by any two distinct frontier portfolios. Theorem: Practice: If individuals prefer frontier portfolios, they can simply hold a linear bination of two frontier portfolios or mutual funds. ??Er?0 15 Orthogonal Characterization of the MeanVariance Frontier 16 Orthogonal Characterization of the MeanVariance Frontier 17 P(x)=0 P(x)=1 R* 1 E=0 E=1 Re* ieii nrwrr ??? ** ~~~in** ~~~ eii rwrr ??Propos
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