現(xiàn)代資產(chǎn)組合理論和資本資產(chǎn)定價模型分析-文庫吧資料
2024-10-24 17:39本頁面
【正文】 odel (ai1,bi1,bi2 , ?ei,), only three parameters need to be estimated with a twosectorfactor model. (ai1,?ei, and eitherbi1 or bi2 ). ? Multiplefactor models itktiktitiiit eFbFbFbar ?????? ?2211Estimating Factor Models ? There are many methods of estimating factor models. There methods can be grouped into three major approaches: – Timeseries approaches – Crosssectional approaches – Factoranalytic approaches Factor Models and Equilibrium ? A factor model is not an equilibrium model of asset pricing. 171。Diversification leads to an averaging of factor risk. 171。To this scatter of points is fit a twodimensional plane by using the statistical technique of multipleregression analysis. MultipleFactor Models – Four parameters need to be estimated for each security with the twofactor model: ai, bi1, bi2, and the standard deviation of the random error term. – For each of the factors, two parameters need to be estimated. These parameters are the expected value of each factor and the variance of each factor. Finally, the covariance between factors. MultipleFactor Models – Expected return – Variance – Covariance 2211 FbFbar iiii ???22121222221212 ),(2eiiiFiFii FFC O Vbbbb ???? ????),()( 2112212 2222 111 FFC O Vbbbbbbbb jijiFjiFjiij ???? ???MultipleFactor Models – The tangency portfolio 171。The second equation provides a twofactor model of a pany’s stock, whose returns are affected by expectations concerning both the growth rate in GDP and the rate of inflation. 171。Diversification leads to an averaging of factor risk 171。Factor risk: 171。The mon responsiveness of securities to the factor eliminates the need to estimate directly the covariances between the securities. 171。The random error terms of any two securities are uncorrelated. (Why?) ittiiit eFbar ???OneFactor Models – Expected return – Variance – Covariance Fbar iii ??2222eiFii b ??? ??2Fjiij bb ?? ?OneFactor Models ? Two important features of onefactor model – The tangency portfolio is easy to get. 171。It can also be used to characterize a portfolio’s sensitivity to movement in the factors. Returngenerating Process and Factor Models ? Factor models supply the necessary level of abstraction in calculating covariances. – The problem of calculating covariances among securities rises exponentially as the number of securities analyzed increase. – Practically, abstraction is an essential step in identifying the Markowitz set. Returngenerating Process and Factor Models ? Factor models provide investment managers with a framework to identify important factors in the economy and the marketplace and to assess the extent to which different securities and portfolios will respond to changes in these factors. – A primary goal of security analysis is to determine these factors and the sensitivities of security return to movements in these factors. OneFactor Models ? The onefactor models refer to the returngenerating process for securities involves a single factor. These factors may be one of the followings: – The predicted growth rate in GDP – The expected return on market index – The growth rate of industrial production, etc. OneFact
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