文档介绍：投资组合理论
第十二章
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
学完本章后,你应该能够:
了解投资收益和风险的度量
了解分散投资如何降低投资组合的风险
了解投资者的风险偏好
了解投资组合有效集和最优投资组合的构建
了解无风险借贷对投资组合有效集的影响
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
本章框架
金融风险的定义和类型
投资收益和风险的衡量
证券组合与分散风险
风险偏好和无差异曲线
有效集和最优投资组合
无风险借贷对有效集的影响
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
第一节金融风险的定义和类型
金融风险?
金融变量的各种可能值偏离其期望值的可能性及其幅度。
思考:
1、风险是否等同于亏损?
2、风险与收益之间的关系?
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
金融风险的类型-按风险来源分类
金融风险
价格风险
流动性风险
信用风险(违约风险)
市场风险
操作风险
货币风险(外汇风险)
利率风险
交易风险
折算风险
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
金融风险的类型-按会计标准分类
金融风险
会计风险
经济风险
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
金融风险的类型-按能否分散分类
金融风险
系统性风险(不可分散风险)
非系统性风险(可分散风险)
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
第二节投资收益与风险的衡量
单个证券的收益与风险的衡量
证券投资的单期收益率
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
单个证券的收益与风险的衡量
风险证券的预期收益率
单个证券的风险
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007
两种证券组合的收益与风险的衡量
组合的预期收益率
组合的风险(用收益率的方差表示)
***@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2007