对外经济贸易大学投资学课件4.ppt

《对外经济贸易大学投资学课件4.ppt》由会员上传分享，免费在线阅读，更多相关内容在PPT专区-天天文库。

1、Lecture4PortfolioTheoryLearningObjectivesCalculatestockreturnfromhistoricaldataCalculatemean,variance,covarianceandcorrelationefficientofstockreturnsFindMarkowitzmean-efficientportfolioforuptothreestocksChapterscovered:Chapter6,7and8ConstructportfoliosThecovariancea

2、ndcorrelationcoefficientmeasurethejointprobabilitydistributionoftwostocksTheriskandexpectedreturnofaportfolioAportfolioisacombinationofsecuritiesVariancematrixWherexjistheportfolioweightofeachstockjweightStockxAxBxCxAA2(A)Cov(A,B)Cov(A,C)xBBCov(A,B)2(B)Cov(B,C)xCC

3、Cov(A,C)Cov(B,C)2(C)Two-SecurityPortfolio:Return=VarianceofSecurityD=VarianceofSecurityE=CovarianceofreturnsforSecurityDandSecurityETwo-SecurityPortfolio:RiskwETwo-SecurityPortfolio:RiskContinuedAnotherwaytoexpressvarianceoftheportfolio:D,E=Correlationcoefficiento

4、freturnsCov(rD,rE)=DEDED=StandarddeviationofreturnsforSecurityDE=StandarddeviationofreturnsforSecurityECovarianceRangeofvaluesfor1,2+1.0>r>-1.0Ifr=1.0,thesecuritieswouldbeperfectlypositivelycorrelatedIfr=-1.0,thesecuritieswouldbeperfectlynegativelycorrelatedCo

5、rrelationCoefficients:PossibleValuesTable7.1DescriptiveStatisticsforTwoMutualFunds2p=w1212+w2212+2w1w2Cov(r1,r2)+w3232Cov(r1,r3)+2w1w3Cov(r2,r3)+2w2w3Three-SecurityPortfolioTable7.2ComputationofPortfolioVarianceFromtheCovarianceMatrixTable7.3ExpectedReturnandSta

6、ndardDeviationwithVariousCorrelationCoefficientsRiskaversionInvestorscareaboutexpectedutility,nottheexpectedvalueInvestors’expectedutilityisaconcavefunctionofrisklevel,itimpliesinvestorswillnotaccept“failgame”,theydemandadditionalrewardforrisks.Theconceptofriskavers

7、ionisoneofthemostimportantassumptionsininvestmenttheoryWhyinvestorsarerisk-aversion?RiskaversionimpliesdiminishingmarginalutilityWecanalsodetermineThecertaintyequivalentEg,supposeaninvestorhaslogarithmicutilityfunction,aninvestmentCanyieldeither50000or150000withequa

8、lpossibility,whatIscertaintyequivalentamountforthisinvestment?Mean-varianceutilityfunctionInvestorsonlycareaboutexpectedreturnsandrisk,one