Chap006風險厭惡與風險資產(chǎn)的配置課件

CHAPTER6RiskAversionandCapitalAllocationtoRiskyAssets風險厭惡與風險資產(chǎn)的配置CHAPTER6RiskAversionandCap6-2AllocationtoRiskyAssets

風險資產(chǎn)的配置Investorswillavoidriskunlessthereisareward.投資者是風險趨避的除非風險會產(chǎn)生收益Theutilitymodelgivestheoptimalallocationbetweenariskyportfolioandarisk-freeasset.效用模型認為最優(yōu)的資產(chǎn)配置是風險組合和無風險資產(chǎn)的一個最優(yōu)搭配6-2AllocationtoRiskyAssets

6-3RiskandRiskAversion

風險與風險趨避Speculation投機Takingconsiderableriskforacommensurategain考慮風險補償Partieshaveheterogeneousexpectations參與者有不同的期望，會對較高贏面的結果下較大的賭注，否則寧愿不做6-3RiskandRiskAversion

風險與風6-4RiskandRiskAversion

風險與風險趨避Gamble賭博Betorwageronanuncertainoutcomeforenjoyment享受為不確定性結果的下注Partiesassignthesameprobabilitiestothepossibleoutcomes參與者對不同概率的結果下同樣的賭注，為享受不確定性下的結果6-4RiskandRiskAversion

風險與風6-5RiskAversionandUtilityValues

風險厭惡與效用價值Investorsarewillingtoconsider:risk-freeassets無風險資產(chǎn)speculativepositionswithpositiveriskpremiums正值風險溢價的投機Portfolioattractivenessincreaseswithexpectedreturnanddecreaseswithrisk.收益越高風險越低組合就越吸引投資者Whathappenswhenreturnincreaseswithrisk?如果風險與收益同步上升？6-5RiskAversionandUtilityV6-6Table6.1AvailableRiskyPortfolios(Risk-freeRate=5%)可供選擇的風險組合Eachportfolioreceivesautilityscoretoassesstheinvestor’srisk/returntradeoff效用分數(shù)就是用一個函數(shù)來對投資者獲得的風險與收益進行打分排序，選擇最好的組合6-6Table6.1AvailableRiskyP6-7UtilityFunction效用方程U=utility效用E(r)=expectedreturnontheassetorportfolio期望收益A=coefficientofriskaversion風險趨避系數(shù)s2=varianceofreturns方差，或者風險?=ascalingfactor尺度調節(jié)因子

6-7UtilityFunction效用方程U=uti6-8Table6.2UtilityScoresofAlternativePortfoliosforInvestorswithVaryingDegreeofRiskAversion

幾種投資組合對不同風險厭惡水平投資者的效用6-8Table6.2UtilityScoresof6-9Mean-Variance(M-V)Criterion

均值方差準則PortfolioAdominatesportfolioBif:And6-9Mean-Variance(M-V)Criteri6-10EstimatingRiskAversion

估計風險厭惡水平Usequestionnaires調查問卷Observeindividuals’decisionswhenconfrontedwithrisk觀察面對風險時的個人決策選擇Observehowmuchpeoplearewillingtopaytoavoidrisk觀察人們是否愿意付錢來避免風險6-10EstimatingRiskAversion

估6-11CapitalAllocationAcrossRiskyandRisk-FreePortfolios風險資產(chǎn)與無風險資產(chǎn)組合的資本配置AssetAllocation:Isaveryimportantpartofportfolioconstruction.構建投資組合時非常重要的步驟Referstothechoiceamongbroadassetclasses.是指大類資產(chǎn)的偏好，如股票、債券、貨幣市場證券或者其他資產(chǎn)ControllingRisk:Simplestway:Manipulatethefractionoftheportfolioinvestedinrisk-freeassetsversustheportioninvestedintheriskyassets最簡單的方法就是覺得多少份額投資于無風險資產(chǎn)，多少在風險資產(chǎn)上6-11CapitalAllocationAcross6-12BasicAssetAllocation基本資產(chǎn)配置TotalMarketValue$300,000Risk-freemoneymarketfund$90,000Equities$113,400Bonds(long-term)$96,600Totalriskassets$210,0006-12BasicAssetAllocation基本資產(chǎn)6-13BasicAssetAllocation基本資產(chǎn)配置Lety=weightoftheriskyportfolio,P,inthe

completeportfolio;(1-y)=weightofrisk-freeassets:6-13BasicAssetAllocation基本資產(chǎn)6-14TheRisk-FreeAsset無風險資產(chǎn)Onlythegovernmentcanissuedefault-freebonds.只有政府才能發(fā)行近似的無違約風險資產(chǎn)（俄羅斯除外）Risk-freeinrealtermsonlyifpriceindexedandmaturityequaltoinvestor’sholdingperiod.投資期限等于持有期時才能看做無風險（沒有逼債&清償風險）T-billsviewedas“the”risk-freeasset美國短期國庫券被看做是風險最低的資產(chǎn)Moneymarketfundsalsoconsideredrisk-freeinpractice貨幣市場基金在實踐中也是無風險6-14TheRisk-FreeAsset無風險資產(chǎn)On6-15Figure6.3SpreadBetween3-Month

CDandT-billRates（3個月大額存單與短期國庫券的收益差的歷史數(shù)據(jù)）6-15Figure6.3SpreadBetween6-16It’spossibletocreateacompleteportfoliobysplittinginvestmentfundsbetweensafeandriskyassets.將投資資金分配到安全和風險的資產(chǎn)中就可以創(chuàng)造一個完整的組合（意味著調整份額就可以復制其他任何組合）Lety=portionallocatedtotheriskyportfolio,P(1-y)=portiontobeinvestedinrisk-freeasset,F.PortfoliosofOneRiskyAssetandaRisk-FreeAsset單一風險資產(chǎn)與無風險資產(chǎn)的投資組合6-16It’spossibletocreatea6-17rf=7%

rf=0%E(rp)=15%

p=22%y=%inp(1-y)=%inrfExampleUsingChapter6.4Numbers

案例6-17rf=7%rf=0%E(rp)=15%6-18Example(Ctd.)期望收益Theexpectedreturnonthecompleteportfolioistherisk-freerateplustheweightofPtimestheriskpremiumofP該組合的期望收益等于無風險資產(chǎn)的收益乘以它的份額再加上風險資產(chǎn)的收益乘以它的份額6-18Example(Ctd.)期望收益Theexpe6-19Example(Ctd.)期望的風險TheriskofthecompleteportfolioistheweightofPtimestheriskofP:期望的風險就是風險資產(chǎn)的風險乘以它的份額6-19Example(Ctd.)期望的風險6-20Example(Ctd.)期望的風險收益Rearrangeandsubstitutey=sC/sP:6-20Example(Ctd.)期望的風險收益Rearr6-21Figure6.4TheInvestment

OpportunitySet投資集合6-21Figure6.4TheInvestment6-22Lendatrf=7%andborrowatrf=9%Lendingrangeslope=8/22=0.36Borrowingrangeslope=6/22=0.27CALkinksatP在借貸利率發(fā)生變化的一點發(fā)生歪曲連接CapitalAllocationLinewithLeverage

資本配置線與杠桿6-22Lendatrf=7%andborrowa6-23Figure6.5TheOpportunitySetwithDifferentialBorrowingandLendingRates投資集合（借貸利率不同）6-23Figure6.5TheOpportunity6-24RiskToleranceandAssetAllocation

風險容忍度與資產(chǎn)配置Theinvestormustchooseoneoptimalportfolio,C,fromthesetoffeasiblechoices投資者必須從可選集中擇出最優(yōu)Expectedreturnofthecompleteportfolio:Variance:6-24RiskToleranceandAssetA6-25Table6.4UtilityLevelsforVariousPositionsinRiskyAssets(y)foranInvestorwithRiskAversionA=4

風險厭惡系數(shù)4時投資不同風險資產(chǎn)的效用水平6-25Table6.4UtilityLevelsf6-26Figure6.6UtilityasaFunctionofAllocationtotheRiskyAsset,y效用值作為風險資產(chǎn)比例y的函數(shù)6-26Figure6.6UtilityasaFu6-27Table6.5SpreadsheetCalculationsofIndifferenceCurves無差異曲線的計算6-27Table6.5SpreadsheetCalc6-28Figure6.7IndifferenceCurvesfor

U=.05andU=.09withA=2andA=4

風險厭惡系數(shù)為2、4時效用水平為0.05、0.09的無差異曲線

6-28Figure6.7IndifferenceCu6-29Figure6.8FindingtheOptimalCompletePortfolioUsingIndifferenceCurves使用無差異尋找最優(yōu)投資組合6-29Figure6.8FindingtheOpt6-30Table6.6ExpectedReturnsonFourIndifferenceCurvesandtheCAL四條無差異曲線和資本配置線對不同風險的期望收益6-30Table6.6ExpectedReturns6-31PassiveStrategies:TheCapitalMarketLine

被動策略：資本市場線Thepassivestrategyavoidsanydirectorindirectsecurityanalysis被動策略中投資者避免任何直接或者間接的證券分析Supplyanddemandforcesmaymakesuchastrategyareasonablechoiceformanyinvestors供給和需求的力量將使得這類策略對很多投資者來說是可行的6-31PassiveStrategies:TheCa6-32Anaturalcandidateforapassivelyheldriskyassetwouldbeawell-diversifiedportfolioofcommonstockssuchastheS&P500.被動投資策略中的一個合適的投資品是分散得很好的投資組合比如標普500Thecapitalmarketline(CML)isthecapitalallocationlineformedfrom1-monthT-billsandabroadindexofcommonstocks(e.g.theS&P500).資本配置線就是1月短期國庫券和股票價值指數(shù)的搭配PassiveStrategies:TheCapitalMarketL