文档介绍：ChaptersChapters 2121 && 2222
ModernModern PortfolioPortfolio TheoryTheory
&&
EquilibriumEquilibrium AssetAsset PricingPricing
"MODERN PORTFOLIO THEORY"
(aka "Mean-Variance Portfolio Theory", or “Markowitz Portfolio
Theory”– Either way: “MPT” for short)
¾ DEVELOPED IN 1950s (by MARKOWITZ, SHARPE, LINTNER)
(Won Nobel Prize in Economics in 1990.)
¾ WIDELY USED AMONG PROFESSIONAL INVESTORS
¾ FUNDAMENTAL DISCIPLINE OF PORTFOLIO-LEVEL
INVESTMENT STRATEGIC DECISION MAKING.
I. REVIEW OF STATISTICS ABOUT PERIODIC TOTAL RETURNS:
(Note: these are all “time-series” statistics: measured across time, not across assets within a
single point in time.)
"1st Moment" Across Time (measures “central tendency”):
“MEAN”, used to measure:
) Expected Performance ("ex ante", usually arithmetic mean: used in portf ana.)
) Achieved Performance ("ex post", usually geometric mean)
"2nd Moments" Across Time (measure characteristics of the deviation around the central
tendancy). They include…
1) "STANDARD DEVIATION" (aka "volatility"), which measures:
) Square root of variance of returns across time.
) "Total Risk" (of exposure to asset if investor not diversified)
2) "COVARIANCE", which measures "Co-Movement", aka:
) "Systematic Risk" (component of total risk which cannot be "diversified away")
) Covariance with investor’s portfolio measures asset contribution to portfolio total
risk.
3) "CROSS-CORRELATION" (just “correlation” for short). Based on contemporaneous
covariance between two assets or asset classes. Measures how two assets "move together":
) important for Portfolio Analysis.
4) "AUTOCORRELATION" (or “serial correlation”: Correlation with itself across time), which
reflects the nature of the "Informational Efficiency" in the Asset Market; .:
) Zero Î "Efficient" Market (prices quickly reflect full information; returns
lack predictability) Î Like securities markets
(approximately).
) Positive Î "Slugg