第四讲：第11章 新 收益和风险：资本资产定价模型.pptVIP

将资产（收益率）视作随机变量 资产i等价于Ri（随机变量） 资产组合p是由n项资产所组成的组合。由于我们所关注的是其组合的收益和风险，所以，资产组合p等价于Rp(随机变量）。 补：协方差的数学定义 三点启示： 1.通过组合，可能可以实现无风险的收益率。 2.一个组合，对应于上页坐标轴上的一个点（风险，收益）。也即可以用这样的坐标轴来描述资产的组合。一个由不同投资比重而产生的不同组合对应于唯一一个（风险，收益）点。 3.投资者能够选择的是投资组合的权重。构成组合的每一证券的收益率、风险及证券之间的相关程度投资者无法影响。 2.4 多项资产的有效组合Efficient Frontier with Many Assets Suppose that the expected value and standard deviations of three asset returns are Asset E[ri] sd[ri] r1 .10 .04 r2 .08 .03 r3 .06 .04 At first glance, one would think that no one would ever hold asset 3, why? However, how an asset covaries with other assets is also a factor in determining whether or not to include an asset in a portfolio Also assume correlation and covariance matrices: Correlation Matrix Covariance Matrix r1 r2 r3 r1 r2 r3 . r1 1.0 0.6 0.4 r1 .00160 .00072 .00064 r2 0.6 1.0 0.5 r2 .00072 .00090 .00060 r3 0.4 0.5 1.0 r3 .00064 .00060 .00160 Efficient Frontier with Many Assets Recall that Lets look at the following portfolios, all of which have an expected return of 9%: 75% in asset 1, 0% in asset 2, 25% in asset 3 sd[rp] = 3.52136% 70% in asset 1, 10% in asset 2, 20% in asset 3 sd[rp] = 3.407% 60% in asset 1, 30% in asset 2, 10% in asset 3 sd[rp] = 3.23% 52% in asset 1, 46% in asset 2, 2% in asset 3 sd[rp] = 3.15% 50% in asset 1, 50% in asset 2, 0% in asset 3 sd[rp] = 3.13847% Efficient Frontier with Many Securities Efficient Portfolios -- portfolios with the smallest possible standard deviation for a given expected return For a reasonable investor, you’d want to only hold efficient portfolios 市场均衡情况下ＣＡＰＭ的证明 风险资产I与市场组合M形成新的组合可行域：ＩＭＩ‘曲线 对CAPM的简单理解 1.一支股票的风险可以分为可分散风险和不可分散风险。可分散风险是那些投资者通过投资组合可以对冲掉的风险。这种风险一般属于一个企业的，比较特殊的，而其他企业不常有的风险。 2.因为投资者可以容易地通过投资多种股票的方法（如购买股票基金）将可分散的风险去掉，他们只关注股票中不能分散的市场风险，只对承担市场风险要求回报。 3.一支股票的市场风险可以用β值来度量。 4.给定β值，一支股票的投资者要求的回报率＝无风险利率＋这支股票的β值×市场