投资组合管理第1章.ppt

投资组合管理,国际经济贸易学院 金融系 李莉,INSTRUCTOR,Name ：李莉（PhD) 办公室: 博学楼1203 课程答疑时间: 星期三 4-5 pm 上课地点：博学楼509 上课时间：星期三 1:30 pm-3 pm,WHY TAKE THIS COURSE?,Investment：投入当前的资金或者资源，以期望获取未来收益的行为 Get prepared for your career or further study Get prepared for the CFA exam Learn some investments knowledge for fun Maybe earn some money in the stock market Earn some credit for your study,Course Description 本课程内容与国际CFA Program考试所要求的部分内容一致。本课程将系统地讲授投资学的重要理论和方法。理论包括：投资组合理论，CAPM，APT，利率期限结构理论。方法包括：投资组合分析，净现值定价法，股票和债券的定价。本课程突出理论性和应用性，对投资学中的各项基本理论（如投资组合理论，CAPM，APT等）应用图形、文字、数学推导和实例进行讲授，要求学生掌握这些理论的基本思想和意义，以及在投资实践中的作用，并掌握以Excel为工具对投资学模型进行分析求解。,WHY DO WE STUDY THE THEORY？,Managers learn from experience how to cope with routine problems. But the best manager are also able to respond to change. To do this you need more than time-honored rules of thumb; you must understand why companies and financial markets behave the way they do. In other words, you need a theory of finance.Good theory helps you grasp what is going on in the world around you. It helps you to ask the right questions when times change and new problems must be analyzed. It also tells you what things you do not need to worry about. -Brealey and Myers,COURSE OUTLINE (TENTATIVE),第一章 投资学导论 第二章 现代投资组合理论 第三章 资本资产定价模型(CAPM) 第四章 套利定价理论(APT) 第五章 普通股分析 *第六章 有效市场假说,TABLE OF CONTENTS (TENTATIVE),第一章 投资学导论 （1）第一至三章，（2）第一至四章） 投资环境和投资过程 证券市场 证券的交易 第二章 现代投资组合理论（1）第六、七、八章，（2）第五、六、七、八章） 投资组合选择问题 投资组合分析 无风险借贷 应用：用Excel做投资组合的最优化问题 文献：Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952.,TABLE OF CONTENTS (TENTATIVE),第三章 资本资产定价模型(CAPM)（1）第九章，（2）第九章） CAPM理论 CAPM理论的实证研究 应用：用Excel做CAPM模型估计，应用CAPM给资产定价 文献：W. F. Sharpe, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 20(3):425-442, 1964. 第四章 套利定价理论(APT)（1）第十、十一章，（2）第十章） 因素模型 套利定价理论(APT) 应用： 基于Excel的APT模型 文献：S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360, 1976.,TABLE OF CONTENTS (TENTATIVE),第五章 普通股分析（1）第十六、十七、十八章，（2）第十七、十八章） 宏观分析 行业分析 股权估值模型 *第六章 有效市场假说（1）第四章，（2）第十一、十二章） 有效市场假说 关于效率市场假说的实证研究 行为金融,GRADING(1),作业：本课程将布置几次平时作业，平时作业需在布置后第二周上交(以小组为单位完成作业)。 课题：每个小组需完成一个课题，以PPT形式上交。 考试：期末考试闭卷笔试。 成绩计算方法：平时作业 (20%) + 期末课题(20%) + 期末考试（60%） 讲座：VC/PE，IPO，私募基金，大家的需求？,GRADING(2),PROJECT GUIDELINES,Team Work (5 members/team) 第三周上课之前将小组成员名单上交 运用自上而下的分析，选择一个行业，运用股票估值定价模型，研究该行业中一只股票的估值及投资机会。 上交Word文档以及25页左右的PPT 最后两次上课内容为小组报告PPT,第一章 投资学导论,第一章 投资学导论,1.投资学所处的位置 2.实物资产投资与金融资产投资 3.企业组织形式的发展与公司治理 4.投资环境 5.证券的买卖 6.股票价格指数 7.金融市场的作用 8.新趋势,1. 投资学所处的位置,Introduction to Finance Finance is a subfield of economics distinguished by both its focus and its methodology. The primary focus of finance is the workings of the capital markets and the supply and the pricing of capital assets. The methodology of finance is the use of close substitutes to price financial contracts and instruments. This methodology is applied to value instruments whose characteristics extend across time and whose payoffs depend upon the resolution of uncertainty. Basic Areas of Finance Corporate finance (公司金融or公司理财) Investments (投资学) Financial institutions (金融市场与机构) International finance (国际金融),CORPORATE FINANCE(公司金融),企业管理者所做的与理财活动相关的决策 企业的投资决策 Capital budgeting(资本预算) M&A 企业的融资决策 Capital structure (资本结构) IPO 企业的流动性与营运资本管理 现金、应收账款 股利政策,INVESTMENTS(投资学),Work with financial assets(金融资产) such as stocks and bonds Value of financial assets, risk versus return, and asset allocation Job opportunities Stockbroker or financial advisor(经纪、咨询、理财顾问) Portfolio manager(基金经理、资管、理财) Security analyst(分析师、行研),FINANCIAL INSTITUTIONS（金融市场与机构）,Companies that specialize in financial matters Banks commercial (存款性金融机构，存贷业务) Investment (证券承销与经纪、企业融资、兼并收购，创业投资等) 混业与分业 Insurance companies(财产保险，人寿保险) Brokerage firms, investment companies et al. Job opportunities,INTERNATIONAL FINANCE（国际金融）,This is an area of specialization within each of the areas discussed so far (国际收支、国际汇兑、国际结算、国际信用、国际投资和国际货币体系) It may allow you to work in other countries or at least travel on a regular basis Need to be familiar with exchange rates and political risk Need to understand the customs of other countries,现代金融学的理论基石,H. M. Markowitz 均值-方差模型 (Mean-variance model) Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952. W. F. Sharpe , J. Lintner, J. Mossin 资本资产定价模型 Capital Asset Pricing Model (CAPM) W. F. Sharpe, Capital Asset Prices: A Theory od Market Equilibrium Under Conditions of Risk, Journal of Finance, 20(3):425-442, 1964.,S. A. Ross 套利定价理论Arbitrage Pricing Theory(APT) S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360, 1976. F. Modigliani M. H. Miller Modigliani - Miller 定理 Modigliani, F., and M. H. Miller, The Cost of Capital, Corporation Finance, and the Theory of Investment, American Economic Review, June 1958, 261-297.,F. Black M. Scholes R. Merton 期权定价的Black-Scholes 公式 F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654. R. Merton, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1):141-183.,2. 实物资产投资与金融资产投资,实物资产：用以提供产品和服务的资产，比如土地，建筑物，知识，机械设备，工人等 （K，L） 金融资产：对实物资产所创造的利润或收入有要求权（claims），如股票，债券 各自的特点 实物资产代表一个经济的生产能力，决定一个社会的财富 金融资产不代表一个社会的财富，但对生产能力具有间接的作用 所有权和经营权的分离 使得资金流向具有好的投资机会的企业 代表持有者的财富 金融资产能够为持有的个人或者公司带来财富 实物资产是创造收入的资产，金融资产只是收入或者财富在投资者之间的配置 两者之间是一种互补关系，而不是替代关系 例子：房地产,VARIOUS FORMS OF FINANCIAL AND REAL ASSETS,在对全社会的资产负债表汇总时，金融资产会相互抵消 家庭户的金融资产对企业来说是负债 国民财富净值只包括实物资产,Balance Sheet of U.S. Households, 2007,Domestic Net Worth,3.企业组织形式的发展与公司治理,Forms of Business Organization Three major forms Sole proprietorship(独资企业，个体业主制) A business owned by one person. Partnership(合伙制-一般合伙，有限合伙) A business formed by two or more individuals or entities. Corporation(公司制) A corporation is a legal “person” separate and distinct from its owners.,可比较的优缺点,Advantages and Disadvantages Liquidity and Marketability of Ownership Control Liability Continuity of Existence Tax Considerations,SOLE PROPRIETORSHIP（独资企业）,Advantages Easiest to start Least regulated Single owner keeps all of the profits Taxed once as personal income,Disadvantages Limited to life of owner Equity capital limited to owners personal wealth Unlimited liability Difficult to sell ownership interest,PARTNERSHIP（合伙制）,Advantages Two or more owners More capital available Relatively easy to start Income taxed once as personal income,Disadvantages Unlimited liability General partnership Limited partnership(有限合伙制) General Partner(普通合伙人） Limited Partner（有限合伙人） Partnership dissolves when one partner dies or wishes to sell Difficult to transfer ownership,CORPORATION （公司制）,Advantages Limited liability Unlimited life Separation of ownership and management Transfer of ownership is easy Easier to raise capital,Disadvantages Double taxation Separation of ownership and management agency problem,合伙制与公司制的比较,THE AGENCY PROBLEM(代理问题）,Separation of ownership and management can be both an advantage and a disadvantage Advantages You can benefit from ownership in several different businesses (diversification) You can take advantage of the expertise of others (comparative advantage) It is easier to transfer ownership Disadvantage Agency problems if management goals and owner goals are not aligned,THE AGENCY PROBLEM (代理问题）,Agency relationship(代理关系) Principal(委托人) hires an agent（代理人） to represent its interests Stockholders (principals) hire managers (agents) to run the company Agency problem Conflict of interest between principal and agent (利益冲突) For example, stockholder vs. managers,MANAGERIAL GOALS(经理人的目标),Managerial goals may be different from shareholder goals Expensive perquisites Survival Independence Increased growth and size are not necessarily the same thing as increased shareholder wealth.,CORPORATE GOVERNANCE（公司治理1）,Board of Directors（董事会） Nomination Compensation Auditing Risk Management Independent Non-executive director,CORPORATE GOVERNANCE（公司治理2）,Managerial compensation（薪酬激励机制） Incentives can be used to align management and stockholder interests The incentives need to be structured carefully to make sure that they achieve their goal Tying bonuses to profits might encourage management to pursue short-run profits and forgo projects that require a large initial outlay. Stock options may work, but there may be an optimal level of insider ownership (manipulation of stock price by managers, entrenchment effect, tunneling effect),CORPORATE GOVERNANCE （公司治理3）,Market for corporate control(公司控制权市场) Why the threat of a takeover might make managers work toward the goals of stockholders? Other stakeholders such as banks（其他利益相关者的监督） They can provide a valuable monitoring tool, but they can also try to force the firm to do things that are not in the owners best interest.,FINANCIAL CRISIS AND CORPORATE GOVERNANCE(金融危机与公司治理),Internal control（内部控制） Managerial compensation（薪酬激励机制） Bonus Shareholding Options,4.投资环境,包括证券的种类、在哪里及如何进行证券的买卖等 证券：用来证明持有人享有的某种特定权益的凭证。 (1)证券种类 凭证证券 活期存款单、借据、收据等 有价证券 Capital Market 资本证券，如股票、债券等 Money Market 货币证券，包括银行券、银行票据等 财物证券，如货运单、提单、栈单等,4.投资环境 (1)证券种类,金融资产的分类 Fixed income or debt securities(固定收益型) 收益受发行公司财务状况影响小 Equity securities (权益型) 收益受经营绩效影响大 Common stock Residual claim Limited liability Preferred stock Fixed dividends -limited Priority over common Derivative securities(衍生产品),4.投资环境 (1)证券种类,Money Market （货币市场） Short-Term (maturity 1 year) plus equities Bonds（债券）：中长期国债、企业债等 Equity（股票）：普通股，优先股 Derivatives（衍生工具）,4.投资环境 (1)证券种类 衍生证券（DERIVATIVES SECURITIES）,期权 （Options） Call: option to buy some asset Put: option to sell some asset Basic Positions Long (Buy) Short (Sell) Terms Exercise Price Expiration Date Premium or Option Price Assets,期货（Futures） Basic Positions Long (Buy) Short (Sell) Terms Delivery Date Assets,4.投资环境 (2) 收益率与风险,收益率(Rate of return)指在某一时期内(持有期)某项投资所带来的财富变动的百分比(HPY) (2.1) 历史收益率 (事后) 收益率=（期末财富-期初财富）/期初财富,例子：收益率,(2.2) 平均历史收益率 (TIME SERIES ANALYSIS OF PAST RATES OF RETURN),假设你的投资持有期包含n个相等的时段，每一时段的收益率为ri, i=1, 2, ., n Arithmetic mean (算术平均收益率AM） return earned in an average period over multiple periods(平均回报率) Geometric mean（几何平均收益率GM） average compound return per period over multiple periods (复合平均回报率),例子：平均历史收益率,小结： AM=GM AM等于GM的条件？ GM的优势 例子：,100,-0.28,0.72,-0.28,0.72,2.3%,0.2%,(2.3)预期收益率(事前),预期收益率是投资者在评估某项未来可选投资时预期或期望获得的收益率,预期收益率：例子,(2.4) 收益率的风险,风险指未来收益率的不确定性，通常用所估计出的预期收益率的方差或者标准差衡量,风险：例子,历史收益率的风险,相对变动性指标：变异系数CV,(2.5) 必要收益率的决定与构成 REQUIRED RATE OF RETURN,投资：投入当前的资金或者资源，以期望获取未来收益的行为 延迟当前消费 投资一般具有两个特性：时间和风险 投资者要求补偿以下三部分： 投入资金的时间价值 预期的通货膨胀 未来收益的不确定性，风险,(2.5.1)真实无风险收益率 REAL RISK-FREE RATE,基础利率，货币的纯时间价值。在没有通货膨胀的经济中，投资者推迟当前消费并允许他人似乎用这部分储蓄而要求得到的收益率 影响因素： 主观：消费的时间偏好 客观：经济中存在的投资机会,(2.5.2)预期通货膨胀率 ANTICIPATED RATE OF INFLATION,(2.5.3)风险溢价 RISK PREMIUM,Common to all investments 无风险投资的收益率 未来收益的数量、时间确定 Peculiar to each investment 风险资产：风险溢价 要求较高的投资收益率对任何不确定性做出补偿，这种在无风险收益率之上的必要收益率的增加为风险溢价 经营风险(Business risk) 财务风险(Financial risk) 流动风险(Liquidity risk) 违约风险(Default risk) 利率风险 通货膨胀风险 国家经济状况,(2.6)风险与必要收益率之间的关系,4.投资环境 (3)金融中介与证券市场,金融中介 间接融资 直接融资 证券市场 一级市场 二级市场,Direct Finance Borrowers borrow directly from lenders in financial markets by selling financial instruments which are claims on the borrowers future income or assets Indirect Finance Borrowers borrow indirectly from lenders via financial intermediaries (established to source both loanable funds and loan opportunities) by issuing financial instruments which are claims on the borrowers future income or assets,Primary（一级市场、证券发行市场） New security issues sold to initial buyers Typically involves an investment bank who underwrites the offering Key factor: issuer receives the proceeds from the sale. Secondary（二级市场、证券交易市场） Securities previously issued are bought and sold Examples include the NYSE, Nasdaq, Hong Kong Stock Exchange (HKex), Shanghai Stock Exchange (SSE) Involves both brokers and dealers Issuing firm doesnt receive proceeds and is not directly involved.,证券市场,Firms,Investors,Sue,Bob,Stocks and Bonds,证券发行市场,投资银行 作用？ 证券的承销 Initial public offering (IPO) Seasoned new issues public offering and private placement,IPO,Underwriting (承销) vs. Best Efforts(代销) Underwritting: firm commitment (坚定承诺) on proceeds to the issuing firm. If the investment bank and company reach an agreement to do an underwritingalso known as a firm commitmentthen the investment bank will buy the new securities for an agreed price, and resell the securities to the public at a markup, bearing all of the expenses associated with the sale. The company gets the guaranteed funds even if the investment bank does not sell all of the securities. Thus, the investment bank takes a significant risk in a firm commitment. Often, the investment bank becomes a broker-dealer, or market-maker, in the new security. Best Efforts: no firm commitment Most agreements for the sale of new securities are an underwriting, but sometimes the investment bank will agree to a best efforts approach because the company is perceived as a risky investment for a new issue. The investment bank will do its best to sell all of the new securities, but it does not guarantee it. The company bears the risk that the investment bank may fail to sell all of the new issue, thereby lessening the amount of money that the company receives.,IPO,Initial Public Offerings (IPOs) Evidence of underpricing Performance Literature Jay Ritter /ritter/,LONG-TERM RELATIVE PERFORMANCE OF INITIAL PUBLIC OFFERINGS,证券交易市场,National and local securities exchanges Trades conducted in central locations (e.g., New York Stock Exchange, CBT, HKex, SSE) broker dealer Over -the-counter market Dealers at different locations buy and sell Best example is the market for Treasury securities NASDAQ bid price ask price direct trading between two parties,5.证券的买卖,交易指令 公司的名称 买还是卖 买卖的数量 交易指令的有效时间 交易指令的类型 交易指令的类型 按时间划分: day order, week order, open order (good-till-canceled order), fill-or-kill-order 按对价格的限制划分: market order，limit order, stop-loss order, stop limit order 1厘钱买到海尔权证！ 南京股民一天狂赚700倍,保证金交易,现金账户 保证金账户 担保协议 保证金交易 (1)买空(Margin buy) (2)卖空(Short sell),东阿阿胶(000423),(1)保证金交易：买空,A、什么是买空交易 B、买空后的保证金帐户资产负债表 C、三个保证金比例的定义 D、三种保证金账户的状态 E、总结,A、什么是买空(MARGIN PURCHASE)交易,投资者预期证券价格将上涨，想多买一些该证券但手头资金不足时利用该策略 通过交纳保证金向证券商借入资金买进证券(Margin Purchase)，等待价格涨到一定程度时再卖出证券以获取价差，将所得的部分款项归还证券商贷款，并结束买空地位 买空交易利用保证金帐户来进行。以保证金方式购买的股票作为贷款抵押存放在保证金账户，股票登记所有人是证券商 投资人手里既无足够的资金，也不持有证券，所以称为买空交易 买空交易的杠杆作用扩大金融风险,B、买空后的保证金帐户资产负债表,例子： 投资者用保证金账户以50元每股的价格购买了100股D公司的股票，初始保证金比例为60%,初始保证金比例IM (Initial margin requirement) 投资者在用保证金账户购买证券时自己应支付的购买成本的最小比例,C、三个保证金比例的定义,初始保证金比例IM (Initial margin requirement) 投资者在用保证金账户购买证券时自己应支付的购买成本的最小比例 经纪商规定：60%=3000/5000 实际保证金比例AM (Actual margin) 保证金账户净值与证券市值的比例 AM=(证券的市值-贷款)/证券市值 维持保证金比例MM (Maintenance margin) 经纪商为降低风险而要求投资者在其账户中最低应保留的实际保证金 经纪商规定：50%,D、三种保证金账户的状态,a. Overmargined (AMIM) 保证金盈余，可以将超出IM的部分提现,b. Restricted (MM=AM=IM) 限制使用账户，不能提现 无需追加保证金,c. Undermargined (AMMM) 保证金不足，会收到追加保证金通知,D、三种保证金账户的状态（情形1）,例子(续1) 情形一：D公司的股票在买空交易后，价格从50元上涨到60元,实际保证金比例AM 保证金账户净值与证券市值的比例 AM=(证券的市值-贷款)/证券市值,该账户处于保证金盈余状态 现金账户购买投资回报率(60-50)*100/(50*100)=20%,买空投资收益率 贷款利率 Interest rate=call money rate + service charge 情形一： 买空投资回报率为(60-50)*100-2000*0.11/3000=26% 财务杠杆效应,D、三种保证金账户的状态（情形2）,例子(续2) 情形二：D公司的股票在购买后，价格从50元下跌到45元,实际保证金比例AM 保证金账户净值与证券市值的比例 AM=(证券的市值-贷款)/证券市值,该账户为限制使用账户 买空投资回报率为(45-50)*100-2000*0.11/3000= - 24% 现金账户购买投资回报率(45-50)*100/(50*100)= - 10%,D、三种保证金账户的状态（情形3）,例子(续3) 情形三：D公司的股票在购买后，价格从50元下跌到25元,实际保证金比例AM 保证金账户净值与证券市值的比例 AM=(证券的市值-贷款)/证券市值,该账户保证金不足 买空投资回报率为(25-50)*100-2000*0.11/3000= - 90.7% 现金账户购买投资回报率(25-50)*100/(50*100)= - 50%,D、三种保证金账户的状态,小结：,E、总结(1),买空后的保证金帐户资产负债表,三个保证金比例的定义 初始保证金IM 实际保证金AM 维持保证金MM,E、总结(2),三种保证金账户的状态 a. AMIM 保证金盈余，可以将超出IM的部分提现 b. MM=AM=IM 限制使用账户，不能提现 无需追加保证金 c. AMMM 保证金不足，会收到追加保证金通知 杠杆作用放大金融风险,思考,股价下降到多少会收到追加保证金通知？,股价下降到多少时(P1)，AM=MM？ AM=(证券的市值-贷款)/证券市值 证券的市值=Shares*P1 贷款=Shares*P0*(1-IM) AM=(Shares*P1-Shares*P0*(1-IM)/(Shares*P1)=MM P1=P0*(1-IM)/(1-MM) P1=50*(1-60%)/(1-50%)=40,湖北宜化(000422),保证金交易：(2)卖空 A.什么是卖空 Mechanics Borrow stock through a dealer. Sell it and deposit proceeds and margin in an account. Closing out the position: buy the stock and return to the party from which it was borrowed. 预期证券价格将下跌时利用该策略 初始保证金(initial margin requirement) 实际保证金(actual margin) 盯市(marked to the market) 维持保证金(maintenance margin) 回报率,B.卖空相关的规则 RULES GOVERNING SHORT SELL,市场价格正在下跌的股票不能卖空 Up-(plus) tick, zero-plus tick 升标、零加标 在卖空后的3个交易日里，卖空着的经纪人必须借入并交割证券给买入者 卖空者的现金收入存放在卖空者的账户上直到偿还证券 原则上是没有时间限制的,卖空前 X Brock, Inc Mr. Lane,红利，年报 选举权,红利，年报 选举权,卖空 Mr. Jones X Brock, Inc Mr. Lane Ms. Smith,红利，年报 选举权,红利，年报 选举权,接受 股票,支付 价格,提供 初始 保证金,卖空后 Mr. Jones X Brock, Inc Mr. Lane Ms. Smith,红利，年报,年报,提供 现金 支付 红利,红利 年报 选举权,C、卖空后的保证金帐户资产负债表,例子： 投资者以100元每股的价格卖空了100股H公司的股票，初始保证金比例为60%,初始保证金比例IM (Initial margin requirement) 投资者在卖空时应往账户中存入的卖出股票价值的最小比例,D、三个保证金比例的定义,初始保证金比例IM (Initial margin requirement) 投资者在卖空时应往账户中存入的卖出股票价值的最小比例 经纪商规定：60%=6000/10000 实际保证金比例AM (Actual margin) 保证金账户净值与证券市值的比例 AM=(资产的市值-贷款(所欠的证券市值)/证券市值 维持保证金比例MM (Maintenance margin) 经纪商为降低风险而要求投资者在其账户中最低应保留的实际保证金 经纪商规定：50%,E、三种保证金账户的状态,a. Overmargined (AMIM) 保证金盈余，可以将超出IM的部分提现,b. Restricted (MM=AM=IM) 限制使用账户，不能提现 无需追加保证金,c. Undermargined (AMMM) 保证金不足，会收到追加保证金通知,E、三种保证金账户的状态（情形1）,例子(续1) 情形一：H公司的股票在卖空交易后，价格从100元下降到90元,该账户处于保证金盈余状态 卖空投资回报率为(100-90)*100+6000*0.05+10000*0.04/6000=28.3%,实际保证金比例AM 保证金账户净值与证券市值的比例 AM=(资产的市值-所欠证券市值)/证券市值,卖空投资收益率 interests:初始保证金利率 rebate:卖空收入利率 情形一： 卖空投资回报率为 (100-90)*100+6000*0.05+10000*0.04/6000=28.3% 财务杠杆效应,E、三种保证金账户的状态（情形2）,例子(续2) 情形二：H公司的股票在卖空后，价格从100元上升到105元,该账户为限制使用账户 卖空投资回报率为(100-105)*100+6000*0.05+10000*0.04/6000=3.33%,实际保证金比例AM 保证金账户净值与证券市值的比例 AM=(资产的市值-所欠证券市值)/证券市值,E、三种保证金账户的状态（情形3）,例子(续3) 情形三：H公司的股票在卖空后，价格从100元上升到130元,该账户保证金不足 卖空投资回报率(100-130)*100+6000*0.05+10000*0.04/6000=-38.3%,实际保证金比例AM 保证金账户净值与证券市值的比例 AM=(资产的市值-所欠证券市值)/证券市值,E、三种保证金账户的状态,小结：,F、总结,卖空后的保证金帐户资产负债表,三个保证