收益管理與風險控制(英文版)(參考版)
2025-02-14 06:35本頁面
【正文】 2023 by The McGrawHill Companies, Inc. All rights reserved.1047 Summary and Conclusions? The contribution of a security to the risk of a welldiversified portfolio is proportional to the covariance of the security39。 2023 by The McGrawHill Companies, Inc. All rights reserved.1045 Summary and Conclusions? This chapter sets forth the principles of modern portfolio theory.? The expected return and variance on a portfolio of two securities A and B are given by? By varying wA, one can trace out the efficient set of portfolios. We graphed the efficient set for the twoasset case as a curve, pointing out that the degree of curvature reflects the diversification effect: the lower the correlation between the two securities, the greater the diversification.? The same general shape holds in a world of many assets.McGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1043Relationship Between Risk Expected ReturnExpected returnMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1041 Relationship between Risk and Expected Return (CAPM)? Expected Return on the Market:? Expected return on an individual security:Market Risk PremiumThis applies to individual securities held within welldiversified portfolios.McGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1039Estimates of b for Selected StocksStock BetaBank of America Borland International Travelers, Inc. Du Pont KimberlyClark Corp. Microsoft Green Mountain Power Homestake Mining Oracle, Inc. McGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1037 Definition of Risk When Investors Hold the Market Portfolio? Researchers have shown that the best measure of the risk of a security in a large portfolio is the beta (b)of the security.? Beta measures the responsiveness of a security to movements in the market portfolio.McGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1035The Separation PropertyThe separation property implies that portfolio choice can be separated into two tasks: (1) determine the optimal risky portfolio, and (2) selecting a point on the CML. 100% bonds100% stocksrfreturn?Optimal Risky PorfolioCMLMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc. All rights reserved.1033Market EquilibriumJust where the investor chooses along the Capital Asset Line depends on his risk tolerance. The big point though is that all investors have the same CML.100% bonds100% stocksrfreturn?Balanced fundCMLMcGrawHill/Irwin Copyright 169。 2023 by The McGrawHill Companies, Inc.
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