第4讲—投资组合与CAPMppt课件

1、第四讲 Markowitz 证券组合选择实际和资本资产定价模型 .Markowitz 证券组合选择实际Markowitz 问题:投资者同时在许多种证券上投资，应该如何选择各种证券的投资比例，使得投资收益最大，风险最小。Markowitz 把证券收益率看作随机变量，定义证券收益为它的数学期望，风险为它的规范差。问题归结为使证券组合的收益最大、风险最小的数学规划。H. Markowitz (1927) 1990年诺贝尔经济奖获得者.Markowitz 证券组合选择实际.风险收益图 和 有效前沿风险收益.风险收益图 和 有效前沿.Markowitz 诺贝尔奖演说结语“当我作为芝加哥大学经济系的学生为

2、我的博士论文争辩时，米尔顿弗里德曼教授以为证券组合实际不是经济学，因此他们不能为一篇不是经济学的论文授予经济学的哲学博士学位。我想象他并非非常仔细，由于他们没有经过长时间的争论就曾经赞同授予我学位。至于他的论点的是非，在此我相当乐意退让：在我争辩我的博士论文的时候，证券组合实际不是经济学的一部分。但是它如今是了 (But now it is)。.4.1 证券组合的收益率和证券组合选择问题.马科维茨的收益率集合有能够包含0的有能够把收益率了解为对无风险利率的“超额收益率.假设除了w=0外，上式中的不等号严厉成立，那么称V是正定矩阵，对应的行列式大于零。正定矩阵的主子行列式包含对角线的行列式都大于

3、零，对角线元素都大于零。.4.2 两种证券的证券组合选择问题. 4.3 协方差矩阵正定的普通情形下的均值方差证券组合选择问题的解.4.4 带无风险证券的均值方差证券组合选择问题的解.取自列维：.4.5 二基金分别定理与资本资产定价模型.资本资产定价模型的 Sharpe 证明. 经典文献 Sharpe (1964) 中的“Figure 7. 这个图试图阐明，由 i 和 g (市场组合) 所生成的组合前沿 igg，不能够越过有效前沿直线 PZ. 因此一定与它相切。.关于 CAPM 的实证分析从实际上来看，CAPM 是“线性定价法那么 (或“均值方差分析) 的推论。只需“市场组合是均值方差有效的，C

4、APM 就成立。所谓“CAPM 的实证检验，尤其是说：“证券平均收益不能用 CAPM 来解释是另一回事！.来自 Litzenberger-Huang 的说法“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 工具主义.来自 Litzenberger-Huang 的说法“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.来自 Litzenberger-Huang 的说法“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、.来自 Litzenberger-Huang 的说法“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.主要结论“实证实际有两种预测：强预测和弱预测