文档介绍：Section Three: Portfolio Management Theory
• Topic One: Markowitz’s Portfolio Selection Theory
Harry Markowitz, “Portfolio Selection,” Journal of Finance 7, no. 1 (March 1952):
77–91;
Harry Markowitz, Portfolio Selection—Efficient Diversification of Investments (New
Haven, Conn.: Yale University Press,1959)
Section Three: Portfolio Management Theory
•假设条件
• ——Strong Efficiency;
• ——smooth & unlimited;
• ——same information;
以上三个假设可以概括为:理性经济人在强有效市场中进行不受限制的、“光
滑”的交易。是一组非常强的假设,因此理论的现实可操作性较差。
Section Three: Portfolio Management Theory
• Market efficiency (有效市场)
Market efficiency is the simplest statement that security price fully reflects all
available information.
CAPM assumes that the markets are strong efficient because it is assumed that all
investors have the same expectations.
• Strong Efficiency: all information including private and public;
• Semi-strong Efficiency: all public information including that in past price
patterns;
• Weak Efficiency: information in past price patterns is incorporated into the
current prices.
Section Three: Portfolio Management Theory
• Expected Rate of Return
• The expected return rate for a portfolio
N
Portfolio expected return=E(Rp )=∑ωiiER ( )
i=1
A Example:4种资产构成的投资组合
Section Three: Portfolio Management Theory
• Correlation coefficient
• correlation coefficient between the returns of securities 1 and 2:
Cov(, R12 R )
ρ12 =
σσ()RR12× ()
NOTES:
(1)A correlation coefficient of +1 means that returns always move together in the
same direction. They are perfectly positively correlated.
(2)A correlation coefficient of -1 means that returns always move in the
completely opposite direction. They are perfectly negatively correlated.
(3)A correlation coefficient of zero means that there is no relationship between the
two stock’s returns. They are linearly uncorrelated.
Section Three: Portfolio Management Theory
• The volatility (Sta