證券博迪chppt課件(2)-資料下載頁
2025-05-03 08:13本頁面
【正文】 Normal year for sugar Abnormal year Bullish stock market Bearish stock market Sugar crisis probability Rate of return 1% 5% 35% Er=6%,σ=% 126 Normal year for sugar Abnormal year Bullish stock market Bearish stock market Sugar crisis probability Rate of return Half SugarKane stock,Half Best Candy 127 portfolio Expected return Standard deviation All in best candy % % Half in Tbills Half in SugarKane 128 ? ? ? ? ? ?? ? ? ? ? ?? ?? ?? ? ? ? ? ?? ? ? ? ? ?? ?2211221121Pr,rEsrrEsrsrEsrrEsrErrC o vs??????? ? ?2121 ,??? rrC ov?129 ? The negative correlation between the hedge asset and the initial portfolio turns the volatility of the asset into a riskreducing feature. 130 Rule 5: When two risky assets with variances ?12 and ?22, respectively, are bined into a portfolio with portfolio weights w1 and w2, respectively, the portfolio variance is given by: Portfolio Risk ? ?? ? 2221121212222212121212222212122,2??????????rrC o vwp???????? ? ? ? ?? ? ?? ????nininjijnjiijjiijjiiip ww1 1 1, 1,222 ????131 Utility function Indifference curve Risk averse Risk premium Portfolio mathematics diversification certainty equivalent rate 132 ? Draw the indifference curve in the expected returnstandard deviation plane corresponding to a utility level of 5% for an investor with a risk aversion coefficient of 3. 13
教學課件相關推薦
鄂ICP備17016276號-1