Chap006風(fēng)險(xiǎn)厭惡與風(fēng)險(xiǎn)資產(chǎn)的配置課件

CHAPTER6RiskAversionandCapitalAllocationtoRiskyAssets風(fēng)險(xiǎn)厭惡與風(fēng)險(xiǎn)資產(chǎn)的配置CHAPTER6RiskAversionandCap6-2AllocationtoRiskyAssets

風(fēng)險(xiǎn)資產(chǎn)的配置Investorswillavoidriskunlessthereisareward.投資者是風(fēng)險(xiǎn)趨避的除非風(fēng)險(xiǎn)會(huì)產(chǎn)生收益Theutilitymodelgivestheoptimalallocationbetweenariskyportfolioandarisk-freeasset.效用模型認(rèn)為最優(yōu)的資產(chǎn)配置是風(fēng)險(xiǎn)組合和無風(fēng)險(xiǎn)資產(chǎn)的一個(gè)最優(yōu)搭配6-2AllocationtoRiskyAssets

6-3RiskandRiskAversion

風(fēng)險(xiǎn)與風(fēng)險(xiǎn)趨避Speculation投機(jī)Takingconsiderableriskforacommensurategain考慮風(fēng)險(xiǎn)補(bǔ)償Partieshaveheterogeneousexpectations參與者有不同的期望，會(huì)對(duì)較高贏面的結(jié)果下較大的賭注，否則寧愿不做6-3RiskandRiskAversion

風(fēng)險(xiǎn)與風(fēng)6-4RiskandRiskAversion

風(fēng)險(xiǎn)與風(fēng)險(xiǎn)趨避Gamble賭博Betorwageronanuncertainoutcomeforenjoyment享受為不確定性結(jié)果的下注Partiesassignthesameprobabilitiestothepossibleoutcomes參與者對(duì)不同概率的結(jié)果下同樣的賭注，為享受不確定性下的結(jié)果6-4RiskandRiskAversion

風(fēng)險(xiǎn)與風(fēng)6-5RiskAversionandUtilityValues

風(fēng)險(xiǎn)厭惡與效用價(jià)值Investorsarewillingtoconsider:risk-freeassets無風(fēng)險(xiǎn)資產(chǎn)speculativepositionswithpositiveriskpremiums正值風(fēng)險(xiǎn)溢價(jià)的投機(jī)Portfolioattractivenessincreaseswithexpectedreturnanddecreaseswithrisk.收益越高風(fēng)險(xiǎn)越低組合就越吸引投資者Whathappenswhenreturnincreaseswithrisk?如果風(fēng)險(xiǎn)與收益同步上升？6-5RiskAversionandUtilityV6-6Table6.1AvailableRiskyPortfolios(Risk-freeRate=5%)可供選擇的風(fēng)險(xiǎn)組合Eachportfolioreceivesautilityscoretoassesstheinvestor’srisk/returntradeoff效用分?jǐn)?shù)就是用一個(gè)函數(shù)來對(duì)投資者獲得的風(fēng)險(xiǎn)與收益進(jìn)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(fēng)險(xiǎn)趨避系數(shù)s2=varianceofreturns方差，或者風(fēng)險(xiǎn)?=ascalingfactor尺度調(diào)節(jié)因子

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

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

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

估計(jì)風(fēng)險(xiǎn)厭惡水平Usequestionnaires調(diào)查問卷Observeindividuals’decisionswhenconfrontedwithrisk觀察面對(duì)風(fēng)險(xiǎn)時(shí)的個(gè)人決策選擇Observehowmuchpeoplearewillingtopaytoavoidrisk觀察人們是否愿意付錢來避免風(fēng)險(xiǎn)6-10EstimatingRiskAversion

估6-11CapitalAllocationAcrossRiskyandRisk-FreePortfolios風(fēng)險(xiǎn)資產(chǎn)與無風(fēng)險(xiǎn)資產(chǎn)組合的資本配置AssetAllocation:Isaveryimportantpartofportfolioconstruction.構(gòu)建投資組合時(shí)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(chǎng)證券或者其他資產(chǎn)ControllingRisk:Simplestway:Manipulatethefractionoftheportfolioinvestedinrisk-freeassetsversustheportioninvestedintheriskyassets最簡(jiǎn)單的方法就是覺得多少份額投資于無風(fēng)險(xiǎn)資產(chǎn)，多少在風(fēng)險(xiǎn)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(fēng)險(xiǎn)資產(chǎn)Onlythegovernmentcanissuedefault-freebonds.只有政府才能發(fā)行近似的無違約風(fēng)險(xiǎn)資產(chǎn)（俄羅斯除外）Risk-freeinrealtermsonlyifpriceindexedandmaturityequaltoinvestor’sholdingperiod.投資期限等于持有期時(shí)才能看做無風(fēng)險(xiǎn)（沒有逼債&清償風(fēng)險(xiǎn)）T-billsviewedas“the”risk-freeasset美國(guó)短期國(guó)庫券被看做是風(fēng)險(xiǎn)最低的資產(chǎn)Moneymarketfundsalsoconsideredrisk-freeinpractice貨幣市場(chǎng)基金在實(shí)踐中也是無風(fēng)險(xiǎn)6-14TheRisk-FreeAsset無風(fēng)險(xiǎn)資產(chǎn)On6-15Figure6.3SpreadBetween3-Month

CDandT-billRates（3個(gè)月大額存單與短期國(guó)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(fēng)險(xiǎn)的資產(chǎn)中就可以創(chuàng)造一個(gè)完整的組合（意味著調(diào)整份額就可以復(fù)制其他任何組合）Lety=portionallocatedtotheriskyportfolio,P(1-y)=portiontobeinvestedinrisk-freeasset,F.PortfoliosofOneRiskyAssetandaRisk-FreeAsset單一風(fēng)險(xiǎn)資產(chǎn)與無風(fēng)險(xiǎn)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(fēng)險(xiǎn)資產(chǎn)的收益乘以它的份額再加上風(fēng)險(xiǎn)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(fēng)險(xiǎn)TheriskofthecompleteportfolioistheweightofPtimestheriskofP:期望的風(fēng)險(xiǎn)就是風(fēng)險(xiǎn)資產(chǎn)的風(fēng)險(xiǎn)乘以它的份額6-19Example(Ctd.)期望的風(fēng)險(xiǎn)6-20Example(Ctd.)期望的風(fēng)險(xiǎn)收益Rearrangeandsubstitutey=sC/sP:6-20Example(Ctd.)期望的風(fēng)險(xiǎn)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(diǎn)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(fēng)險(xiǎn)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(fēng)險(xiǎn)厭惡系數(shù)4時(shí)投資不同風(fēng)險(xiǎn)資產(chǎn)的效用水平6-25Table6.4UtilityLevelsf6-26Figure6.6UtilityasaFunctionofAllocationtotheRiskyAsset,y效用值作為風(fēng)險(xiǎn)資產(chǎn)比例y的函數(shù)6-26Figure6.6UtilityasaFu6-27Table6.5SpreadsheetCalculationsofIndifferenceCurves無差異曲線的計(jì)算6-27Table6.5SpreadsheetCalc6-28Figure6.7IndifferenceCurvesfor

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

風(fēng)險(xiǎn)厭惡系數(shù)為2、4時(shí)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(duì)不同風(fēng)險(xiǎn)的期望收益6-30Table6.6ExpectedReturns6-31PassiveStrategies:TheCapitalMarketLine

被動(dòng)策略：資本市場(chǎng)線Thepassivestrategyavoidsanydirectorindirectsecurityanalysis被動(dòng)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(duì)很多投資者來說是可行的6-31PassiveStrategies:TheCa6-32Anaturalcandidateforapassivelyheldriskyassetwouldbeawell-diversifiedportfolioofcommonstockssuchastheS&P500.被動(dòng)投資策略中的一個(gè)合適的投資品是分散得很好的投資組合比如標(biāo)普500Thecapitalmarketline(CML)isthecapitalallocationlineformedfrom1-monthT-billsandabroadindexofcommonstocks(e.g.theS&P500).資本配置線就是1月短期國(guó)庫券和股票價(jià)值指數(shù)的搭配PassiveStrategies:TheCapitalMarketL