1、1金程教育CFA一级基础班讲义Portfolio Management讲师：程黄维 FRM日期： 2010年 01月地点：上海北京 深圳2专业来自百分百的投入Copyright 2010 By GFEDUCFA一级课程框架Total: Alternative InvestmentsDerivative InvestmentsFixed Income AnalysisEquity AnalysisPortfolio ManagementCorporate FinanceFinancial Statement AnalysisEconomic AnalysisQuantitative Method
2、sEthics & Professional Standards3Study Session 181005Study Session 1712Study Session 15-1610Study Session 13-145Study Session 128 Study Session 1120Study Session 7-1010Study Session 4-612Study Session 2-315Study Session 13专业来自百分百的投入Copyright 2010 By GFEDUOutlineStudy Session 12Estimated weights in e
3、xam: 5%Topics include:Markowitz Portfolio Theory (MPT)Capital Asset Pricing Model (CAPM)Asset Allocation4专业来自百分百的投入Copyright 2010 By GFEDUMarkowitz Portfolio Theory Mean Variance ModelReturn: E(R)Risk: Risk AversionRisk( )E(R)I1I2I3More preferred directionHarry M. Markowitz （ 1927-） 1990年诺贝尔经济学奖获得者5
4、专业来自百分百的投入Copyright 2010 By GFEDUMarkowitz Portfolio Theory Assumptions about investor behavior of Markowitz Portfolio TheoryRegard E(R) as return and as riskUtility maximizationRisk aversion6专业来自百分百的投入Copyright 2010 By GFEDUMarkowitz Portfolio Theory Portfolio Risk and Return Computation ReturnSing
5、le asset: E(R)= PiRi=1/n RiTwo-asset portfolio: E(RP)=w1E(R1)+ w2E(R2) RiskSingle asset: 2= PiRi-E(R)2=1/(n-1) Ri-E(R)2Two-asset portfolio:p2=w1212+w2222+2w1w2COV1,2= w1212+w2222+2w1w2121,22 =7专业来自百分百的投入Copyright 2010 By GFEDUMarkowitz Portfolio Theory Effects of Correlation on Diversification Benef
6、its =+1 =+0.3=-0.3 =-1PE(RP)AB8专业来自百分百的投入Copyright 2010 By GFEDUMarkowitz Portfolio Theory Markowitz Efficient FrontierLow Risk/Low ReturnMedium Risk/Medium ReturnHigh Risk/High ReturnOptimal portfolios should lie on this curve (know as the “Efficient Frontier” )A portfolio above this curve is impos
7、siblePPortfolios below this curve are not efficient, because for the same risk one should achieve a great returnE(RP)9专业来自百分百的投入Copyright 2010 By GFEDUMarkowitz Portfolio Theory Optimal PortfolioXY Efficient FrontierpE(Rp)10专业来自百分百的投入Copyright 2010 By GFEDUOutlineStudy Session 12Estimated weights in
8、 exam: 5%Topics include:Markowitz Portfolio Theory (MPT)Capital Asset Pricing Model (CAPM)Asset Allocation11专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model From Portfolio Theory to Capital Market Theory 威廉 .夏普 Adding a risk-free asset to portfolio theory The Assumptions of capital marke
9、t theory Markowitz investors Unlimited risk-free lending and borrowing Homogeneous expectations One - period horizon Divisible assets Frictionless markets No inflation and constant interest Equilibrium12专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Capital Market Line E(RP) =(1-wM)Rf+
10、 wME(RM) =Rf+wME(RM)- Rfp=wMM Capital Market Line: E(RP) =Rf+p E(RM)- Rf/MRisk(p)E(Rp)Capital Market LineEfficient FrontierMRfBALendingBorrowing13专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Systematic and Unsystematic RiskTotal risk= systematic risk+ unsystematic riskRisk(p)E(Rp)Cap
11、ital Market LineEfficient FrontierMRfAsystematic riskunsystematic risk Required return only depends on portfolios systematic risk, not its total risk.14专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Risk vs. Number of Portfolio Assets(Total Risk=unsystematic risk+ systematic risk) (ris
12、k)Market risk (mkt)Systematic RiskUnsystematic RiskNumber of securities in the portfolio 3015专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Capital Asset Pricing Model E(Ri): expected return on risky asset Rf : risk free rate E(Rmkt) Rf: market portfolio risk premiumi : systematical ri
13、sk of asset i i E(Rmkt) - Rf : beta-adjusted market risk premiumi, mktifi mktf i2mktCovE(R )=R + E(R )-R , ( = )16专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Example: capital asset pricing model 1. The expected return on the market is 15%, the risk-free rate is 8%, and the beta for
14、stock A is 1.2. Compute the rate of return that would be expected (required) on this stock.Answer： E(RA)=0.08+1.2(0.15-0.08)=0.164note: A1 so E(RA) E(Rmkt) 2. The expected return on the market is 15%, the risk-free rate is 8%, and the beta for stock B is 0.8. Compute the rate of return that would be
15、 expected (required) on this stock.Answer： E(RB)=0.08+0.8(0.15-0.08)=0.136note: B 1 so E(RB) E(Rmkt)17专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Security Market Line (SML)E(Ri)E(Rmkt)RfSecurity Market Line (SML)Market Portfoliomkt=1Systematic Risk (i)BAC18专业来自百分百的投入Copyright 2010 B
16、y GFEDUDCapital Asset Pricing Model Comparing the CML and the SMLABCMLECRfE(RM)ABSMLECDRfE(RM)E(R)M=1 =1ME(R)19专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Relaxing the CAPM Assumptions Different borrowing and lending rates Zero-beta version of the CAPMTotal Risk (s)E(r)Rf lending BA
17、Rf borrowing stock zero beta portfolio stock market zero beta portfolioE(R )=E(R )+(Beta )E(R )-E(R )20专业来自百分百的投入Copyright 2010 By GFEDUCapital Asset Pricing Model Relaxing the CAPM Assumptions Transaction costs: the SML is a band. Heterogeneous expectations and planning periods: the SML is a band.
18、Different tax rates: the SML and CML will be quite different.21专业来自百分百的投入Copyright 2010 By GFEDUOutlineStudy Session 12Estimated weights in exam: 5%Topics include:Markowitz Portfolio Theory (MPT)Capital Asset Pricing Model (CAPM)Asset Allocation22专业来自百分百的投入Copyright 2010 By GFEDUAsset Allocation Fou
19、r-step portfolio management processWrite a policy statementDevelop an investment strategyImplement the planMonitor and update Objective standard: benchmark Investment objectives: return and risk23专业来自百分百的投入Copyright 2010 By GFEDUAsset Allocation Return objectives: absolute terms or percentagesCapita
20、l preservationCapital appreciationCurrent incomeTotal return24专业来自百分百的投入Copyright 2010 By GFEDUAsset Allocation Risk toleranceWillingness to take riskAbility to take risk Investment constraintsLiquidityTime horizonTax concernsLegal and regulatory factorsUnique needs and preferences Importance of asset allocation
