01 Portfolio Management

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1、12/07/2012AnIntroductiontoModernPortfolioTheoryCertificateinQuantitativeFinance1Inthislecture,wewillsee…—ThecoreconceptsofportfoliomanagementandModernPortfolioTheory:◦Riskyandrisk-freeassets;◦Mean-varianceanalysis;◦Optimalportfolio;◦Diversification;◦Opportunitysetan

2、defficientfrontier;◦Tangencyandmarketportfolio;◦Sharperatioandmarketpriceofrisk;◦ThelinearmodelandtheCAPM.2112/07/2012Historicalnote—ModernPortfolioTheory(MPT)waspioneeredbyMarkowitzin1952.—Although“Don’tputallyoureggsinthesamebasket”wasapopularsayintheinvestmentwor

3、ldevenbeforeMarkowitz,portfoliostendedtobeconstructedascollectionsofindividualsecuritiesselectedfortheirreturnpotentialandwithlittleregardsfortheirrisksorinteractions.—Markowitzshowedthatriskandreturnareequallyimportant.◦Toproducemorereturnsitisnecessarytotakemoreri

4、sk(theideaof“risk-returntrade-off”)◦Theonlysurewaytoreduceriskwithoutsacrificingtoomuchreturnisthroughdiversificationacrossenoughsecurities.◦InMarkowitz’framework,diversificationbenefitsdependonthecorrelationofsecuritiesreturnsviathevarianceoftheportfolioreturns.1Th

5、eotherbreakthroughofthe1950swereArrowandDebreu’sstatesecuritiesandtheModigliani-MillerTheorempublishedin19583Historicalnote—HisstudentWilliamSharpethenproposedalinearfactormodelaswellasaneconomic“equilibrium”modelcalledtheCapitalAssetPricingModel(CAPM),establishinga

6、clearconnectionbetweensecuritiespricingandportfolioselection;—OtherearlycontributorstothedevelopmentofMPTincludeJackTreynor,whodevelopedtheCAPMbeforeSharpebutneverpublishedit,aswellasJohnLintnerandJanMossin.—ThedevelopmentofMPTmarkednotonlythedawnoffinancialeconomic

7、s1butalsoofquantitativefinanceasfieldsofstudy.—SharpeandMarkowitzwereawardedtheNobelPrizeofEconomicsin1990fortheircontributiontothetheoryoffinancialeconomics.4212/07/2012MarkowitzandSharpe—HarryMarkowitz—WilliamSharpe(1927-)(1934-)5TheSetting6312/07/2012Thesetting—W

8、eareinaneconomywhereN³2assetsaretraded.—Westartwithawealthof£W.—Ourobjectiveistomakethe“best”investmentofourwealthforaperiodofTyears.—Toac