第四讲 Markowitz证券组合选择理论和资本资产定价模型(货币金融学).pptVIP

《金融经济学》第四讲 Markowitz 诺贝尔奖演说结语 “当我作为芝加哥大学经济系的学生为我的博士论文答辩时，米尔顿·弗里德曼教授认为证券组合理论不是经济学，因而他们不能为一篇不是经济学的论文授予经济学的哲学博士学位。我设想他并非十分认真，因为他们没有经过长时间的争论就已经同意授予我学位。至于他的论点的是非，在此我相当乐意让步：在我答辩我的博士论文的时候，证券组合理论不是经济学的一部分。但是它现在是了 (But now it is)。” 4.1 证券组合的收益率和证券组合选择问题 4.2 两种证券的证券组合选择问题 4.3 协方差矩阵正定的一般情形下的均值－方差证券组合选择问题的解 4.4 带无风险证券的均值－方差证券组合选择问题的解 4.5 二基金分离定理与资本资产定价模型 资本资产定价模型的 Sharpe 证明 关于 CAPM 的实证分析 从理论上来看，CAPM 是“线性定价法则” (或“均值－方差分析”) 的推论。只要“市场组合”是均值－方差有效的，CAPM 就成立。 所谓“CAPM 的实证检验”，尤其是说：“证券平均收益不能用 CAPM 来解释”是另一回事！ 来自 Litzenberger-Huang 的说法 “Financial theories provide internally consistent models of asset prices that have testable implications. A positive theory of the valuation of risky assets should not be judged by the realism of its assumptions. Indeed, incorrect assumptions are some times necessary to abstract from the complex and detailed circumstances and to build a model that focuses on more important aspects.” （Friedman 工具主义） 来自 Litzenberger-Huang 的说法 “Positive theories have strong predictions and weak predictions. A strong prediction is a prediction whose validity is implied by and implies the underlying theory. Thus, strong predictions are equivalent to necessary and sufficient conditions for the underlying theory. A strong prediction of the CAPM is two fund separation.” 来自 Litzenberger-Huang 的说法 “While to the best of our knowledge no researcher takes such a prediction seriously, another strong prediction that the market portfolio is on the portfolio frontier has been subjected to extensive testing. Since meaningful positive theories are often based on unrealistic assumption, their strong predictions are unlikely to be perfectly accurate.” 来自 Litzenberger-Huang 的说法 “In contrast, a weak prediction is a prediction whose validity is ‘broadly’ implied by but does not imply the underlying theory. An example of a weak prediction of the CAPM is that ex post betas measured relative to a broadly based market index are positively related to the average ex post realized returns. This w