《投资学 Investments》课程教学资源（PPT课件，中英文）第7章 风险资产与无风险资产之间的资本配置 Capital Allocation Between the Risky Asset and the Risk-Free Asset

第7章 风险资产与无风险资产之间的资本配置 Capital allocation between the risky asset and the risk-free asset

７-1 第７章 风险资产与无风险资产之间的资本配置 Capital Allocation Between the Risky Asset and the Risk-Free Asset

风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky& Risk Free Assets 71风险资产与无风险资产之间的资本配置 72无风险资产 73一种风险资产与一种无风险资产的资产组合 74风险忍让与资产配置 7.5消极策略:资本市场线

７-2 7.1 风险资产与无风险资产之间的资本配置 7.2 无风险资产 7.3 一种风险资产与一种无风险资产的资产组合 7.4 风险忍让与资产配置 7.5 消极策略：资本市场线 风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky& Risk Free Assets

风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky Risk Free Assets 控制资产组合风险最直接的方法是:部分 资产投资于短期国库券和其他安全的货币 市场证券,部分投资于有风险的资产上。 这一资本配置决策是资产配置选择的一个 例子一这种选择面向广泛的投资类型,而 不是只在某类资产中选择特定的证券。绝 大多数投资专家认为,资产配置是资产组 合构架中最重要的部分

７-3 控制资产组合风险最直接的方法是：部分 资产投资于短期国库券和其他安全的货币 市场证券，部分投资于有风险的资产上。 这一资本配置决策是资产配置选 择的一个 例子－这种选择面向广泛的投资类型，而 不是只在某类资产中选择特定的证券。绝 大多数投资专家认为，资产配置是资产组 合构架中最重要的部分。 风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky& Risk Free Assets

风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky Risk Free Assets The most straightforward way to control the risk of the portfolio is through the fraction of the portfolio invested in Treasury bills and other safe money market securities versus risky assets. This capital allocation decision is an example ot an asset allocation choIce-a choice among broad investment classes, rather than among the specific securities within each asset class Most investment professionals consider asset allocation the most important part of portfolio construction

７-4 The most straightforward way to control the risk of the portfolio is through the fraction of the portfolio invested in Treasury bills and other safe money market securities versus risky assets. This capital allocation decision is an example of an asset allocation choice — a choice among broad investment classes, rather than among the specific securities within each asset class. Most investment professionals consider asset allocation the most important part of portfolio construction. 风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky& Risk Free Assets

风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky risk Free Assets(cont 问题 ssues ■检查风险/收益平衡 Examine risk/return tradeoff ■风险厌恶度的差异将影响风险资产与无风 险资产组合的资本配置 Demonstrate how different degrees of risk aversion will affect allocations between risky and risk free assets

７-5 问题Issues 检查风险／收益平衡 Examine risk/return tradeoff. 风险厌恶度的差异将影响风险资产与无风 险资产组合的资本配置 Demonstrate how different degrees of risk aversion will affect allocations between risky and risk free assets. 风险资产与无风险资产组合的资本配置 Allocating Capital Between Risky & Risk Free Assets (cont.)

举例 Example 70 rf=0 % E(rp)=15%=22% y=y0 In p (l-y=%o in r

７-6 rf = 7% rf = 0% E(rp ) = 15% p = 22% y = % in p (1-y) = % in rf 举例 Example

投资组合预期收益 Expected Returns for combinations E(r=yE(r)+(1-yr re=全部或组合收益 complete or combined portfolio For example, y=75 E(r=.75(15)+25(07 =,13or13%

７-7 E(rc ) = yE(rp ) + (1 - y)rf rc = 全部或组合收益complete or combined portfolio For example, y = .75 E(rc ) = .75(.15) + .25(.07) = .13 or 13% 投资组合预期收益 Expected Returns for Combinations

多种组合 Possible combinations E E(rp)=15% E(r)=13% 7 F ■■■■■■■■■■■ 0 22%

７-8 多种组合 Possible Combinations E(r) E(rp ) = 15% rf = 7% 0 22% P F  c E(rc ) = 13% C

多种组合方差 Variance on the possible combined portfolios Since o.=0, then yO k Rule 4 in Chapter 6 7-9

７-9 c p = Since rf y  = 0, then   * Rule 4 in Chapter 6 * 多种组合方差 Variance on the Possible Combined Portfolios

无杠杆作用的组合 Combinations Without Leverage Ify= 75, then oc=.75(22)=,1650r165% Ify=1 c=1(2)=.22or22% If y=0 oc=(22)=,00or0% 7-10

７-10 c = .75(.22) = .165 or 16.5% If y = .75, then c = 1(.22) = .22 or 22% If y = 1 c = (.22) = .00 or 0% If y = 0    无杠杆作用的组合 Combinations Without Leverage