chapter5portfolioriskandreturnparti-在線(xiàn)瀏覽
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【正文】 U ni t ed St at es . IMPORTANT ASSUMPTIONS OF MEANVARIANCE ANALYSIS Meanvariance analysis Markets are informationally and operationally efficient Returns are normally distributed EXHIBIT 59 HISTOGRAM OF . LARGE COMPANY STOCK RETURNS, 19262020 1931 2020 1937 2020 1974 1939 2020 1973 1966 1957 1941 2020 1990 1981 1977 1969 1962 1953 1946 1940 1939 1934 1932 1929 2020 2020 1994 1993 1992 1987 1984 1978 1970 1960 1956 1948 1947 2020 2020 1988 1986 1979 1972 1971 1968 1965 1964 1959 1952 1949 1944 1926 2020 1999 1998 1996 1983 1982 1976 1967 1963 1961 1951 1943 1942 1997 1995 1991 1989 1985 1980 1975 1955 1950 1945 1938 1936 1927 1958 1935 1928 1954 1933 – 60 – 50 – 40 – 30 – 20 – 10 0 10 20 30 40 50 60 70 Violations of the normality assumption: skewness and kurtosis. UTILITY THEORY 221)( ?ArEU ??Utility of an investment Expected return Variance or risk Measure of risk tolerance or risk aversion Expected Return E ( Ri) L o w U t i l i t y x a b 0 Sta nda r d D ev i a t i on σi M o d e r a t e U t i l i t y x x c 1 2 3 H i g h U t i l i t y INDIFFERENCE CURVES An indifference curve plots the bination of riskreturn pairs that an investor would accept to maintain a given level of utility. PORTFOLIO EXPECTED RETURN AND RISK ASSUMING A RISKFREE ASSET ? ? ? ? ? ?? ? ? ?? ?? ? ? ?iiPiiffiifPifPwwwwREwRwRE??????????1221221112212212111111211??????????????Assume a portfolio of two assets, a riskfree asset and a risky asset. Expected return and risk for that portfolio can be determined using the following formulas: THE CAPITAL ALLOCATION LINE (CAL) E(Rp) σp E(Ri) Rf ? ? ? ? PififPRRERRE ?????:C AL t h eofE q u a t i o n CAL σi EXHIBIT 515 PORTFOLIO SELECTION FOR TWO INVESTORS WITH VARIOUS LEVELS OF RISK AVERSION Portfolio Return E ( Rp) 0 A =4 A =2 I ndi f f er e nce C u r v es C api t al A l l o ca t i on Line x x j k Port f ol i o S t and ar d D ev i a t i o n σp CORRELATION AND PORTFOLIO RISK Correlation between assets in t
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