现代资产组合理论和资本资产定价模型分析

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1、ModernPortfolioTheoryTheFactorModelsandTheArbitragePricingTheoryChapter8ByDingzhaoyongReturn-generatingProcessandFactorModelsReturn-generatingprocessIsastatisticalmodelthatdescribehowreturnonasecurityisproduced.ThetaskofidentifyingtheMarkowitzefficientsetcanbegreatlysimplifiedbyintroducingt

2、hisprocess.Themarketmodelisakindofthisprocess,andtherearemanyothers.Return-generatingProcessandFactorModelsFactormodelsThesemodelsassumethatthereturnonasecurityissensitivetothemove-mentsofvariousfactorsorindices.Inattemptingtoaccuratelyestimateexpectedreturns,variances,andcovariancesforsecuri

3、ties,multiple-factormodelsarepotentiallymoreusefulthanthemarketmodel.Return-generatingProcessandFactorModelsImplicitintheconstructionofafactormodelistheassumptionthatthereturnsontwosecuritieswillbecorrelatedonlythroughcommonreactionstooneormoreofthespecifiedinthemodel.Anyaspectofasecurity’sre

4、turnunexplainedbythefactormodelisuncorrelatedwiththeuniqueelementsofreturnsonothersecurities.Return-generatingProcessandFactorModelsAfactormodelisapowerfultoolforportfoliomanagement.Itcansupplytheinformationneededtocalculateexpectedreturns,variances,andcovariancesforeverysecurity,whicharethen

5、ecessaryconditionsfordeterminingthecurvedMarkowitzefficientset.Itcanalsobeusedtocharacterizeaportfolio’ssensitivitytomovementinthefactors.Return-generatingProcessandFactorModelsFactormodelssupplythenecessarylevelofabstractionincalculatingcovariances.Theproblemofcalculatingcovariancesamongsecu

6、ritiesrisesexponentiallyasthenumberofsecuritiesanalyzedincrease.Practically,abstractionisanessentialstepinidentifyingtheMarkowitzset.Return-generatingProcessandFactorModelsFactormodelsprovideinvestmentmanagerswithaframeworktoidentifyimportantfactorsintheeconomyandthemarketplaceandtoassessthee

7、xtenttowhichdifferentsecuritiesandportfolioswillrespondtochangesinthesefactors.Aprimarygoalofsecurityanalysisistodeterminethesefactorsandthesensitivitiesofsecurityreturntomovementsinthesefactors.One-FactorModelsTheone-factormodelsrefert