第4講—投資組合與CAPMppt課件

1、第四講 Markowitz 證券組合選擇實(shí)際和資本資產(chǎn)定價(jià)模型 .Markowitz 證券組合選擇實(shí)際Markowitz 問題:投資者同時(shí)在許多種證券上投資，應(yīng)該如何選擇各種證券的投資比例，使得投資收益最大，風(fēng)險(xiǎn)最小。Markowitz 把證券收益率看作隨機(jī)變量，定義證券收益為它的數(shù)學(xué)期望，風(fēng)險(xiǎn)為它的規(guī)范差。問題歸結(jié)為使證券組合的收益最大、風(fēng)險(xiǎn)最小的數(shù)學(xué)規(guī)劃。H. Markowitz (1927) 1990年諾貝爾經(jīng)濟(jì)獎(jiǎng)獲得者.Markowitz 證券組合選擇實(shí)際.風(fēng)險(xiǎn)收益圖 和 有效前沿風(fēng)險(xiǎn)收益.風(fēng)險(xiǎn)收益圖 和 有效前沿.Markowitz 諾貝爾獎(jiǎng)演說結(jié)語“當(dāng)我作為芝加哥大學(xué)經(jīng)濟(jì)系的學(xué)生為

2、我的博士論文爭(zhēng)辯時(shí)，米爾頓弗里德曼教授以為證券組合實(shí)際不是經(jīng)濟(jì)學(xué)，因此他們不能為一篇不是經(jīng)濟(jì)學(xué)的論文授予經(jīng)濟(jì)學(xué)的哲學(xué)博士學(xué)位。我想象他并非非常仔細(xì)，由于他們沒有經(jīng)過長(zhǎng)時(shí)間的爭(zhēng)論就曾經(jīng)贊同授予我學(xué)位。至于他的論點(diǎn)的是非，在此我相當(dāng)樂意退讓：在我爭(zhēng)辯我的博士論文的時(shí)候，證券組合實(shí)際不是經(jīng)濟(jì)學(xué)的一部分。但是它如今是了 (But now it is)。.4.1 證券組合的收益率和證券組合選擇問題.馬科維茨的收益率集合有能夠包含0的有能夠把收益率了解為對(duì)無風(fēng)險(xiǎn)利率的“超額收益率.假設(shè)除了w=0外，上式中的不等號(hào)嚴(yán)厲成立，那么稱V是正定矩陣，對(duì)應(yīng)的行列式大于零。正定矩陣的主子行列式包含對(duì)角線的行列式都大于

3、零，對(duì)角線元素都大于零。.4.2 兩種證券的證券組合選擇問題. 4.3 協(xié)方差矩陣正定的普通情形下的均值方差證券組合選擇問題的解.4.4 帶無風(fēng)險(xiǎn)證券的均值方差證券組合選擇問題的解.取自列維：.4.5 二基金分別定理與資本資產(chǎn)定價(jià)模型.資本資產(chǎn)定價(jià)模型的 Sharpe 證明. 經(jīng)典文獻(xiàn) Sharpe (1964) 中的“Figure 7. 這個(gè)圖試圖闡明，由 i 和 g (市場(chǎng)組合) 所生成的組合前沿 igg，不能夠越過有效前沿直線 PZ. 因此一定與它相切。.關(guān)于 CAPM 的實(shí)證分析從實(shí)際上來看，CAPM 是“線性定價(jià)法那么 (或“均值方差分析) 的推論。只需“市場(chǎng)組合是均值方差有效的，C

4、APM 就成立。所謂“CAPM 的實(shí)證檢驗(yàn)，尤其是說：“證券平均收益不能用 CAPM 來解釋是另一回事！.來自 Litzenberger-Huang 的說法“Financial theories provide internally consistent models of asset prices that have testable implications. A positive theory of the valuation of risky assets should not be judged by the realism of its assumptions. Indeed, i

5、ncorrect assumptions are some times necessary to abstract from the complex and detailed circumstances and to build a model that focuses on more important aspects. Friedman 工具主義.來自 Litzenberger-Huang 的說法“Positive theories have strong predictions and weak predictions. A strong prediction is a predicti

6、on whose validity is implied by and implies the underlying theory. Thus, strong predictions are equivalent to necessary and sufficient conditions for the underlying theory. A strong prediction of the CAPM is two fund separation.來自 Litzenberger-Huang 的說法“While to the best of our knowledge no research

7、er takes such a prediction seriously, another strong prediction that the market portfolio is on the portfolio frontier has been subjected to extensive testing. Since meaningful positive theories are often based on unrealistic assumption, their strong predictions are unlikely to be perfectly accurate

8、.來自 Litzenberger-Huang 的說法“In contrast, a weak prediction is a prediction whose validity is broadly implied by but does not imply the underlying theory. An example of a weak prediction of the CAPM is that ex post betas measured relative to a broadly based market index are positively related to the average ex post realized returns. This weak prediction does not imply an exact linear relation between ex ante expected rates of return and betas.主要結(jié)論“實(shí)證實(shí)際有兩種預(yù)測(cè)：強(qiáng)預(yù)測(cè)和弱預(yù)測(cè)