資產(chǎn)管理與資產(chǎn)模型管理知識分析應(yīng)用(共120頁).ppt

1、2021-12-812021-12-822021-12-832021-12-842021-12-852021-12-862021-12-872021-12-882021-12-892021-12-8102()()cov(,).(5.1)MfjfjMME rrE rrrr2021-12-811( )(1)();cfMcME rrE r1/()/()ccMMddE rddE r()()()ccMccMfddddE rddE rE rr( )(1)();cfMcME rrE r2021-12-8122cov( ,) /jjMMrr( ) ().(5.2)jfjMfE rrE rr2021-12-81

2、3121()( ).(5.3)nMfjfjkkME rrE rrh2021-12-81411()()( )( ).(5.4)jMjMnjk kMfMfpkjfMMMphE rrE rrdE rE rrddd（收益）風(fēng)險補償（證券風(fēng)險）（風(fēng)險）121()( )nMfjfjkkkME rrE rrh2021-12-815( )( ),;jkjkjkE rE ror( )( ),;jkjkjkE rE ror( )( ),jkjkjkE rE ror2021-12-81611.(5.5)1Tmhm2021-12-81711()max1pfpnjjE rrst：1121,1()( );()nnpjjp

3、ijijki jE rE r 2021-12-818max2021-12-819()( )(),1,1MfjfMMMjE rrE rrdE rcons jnd2021-12-820()(),( ,1,1),()jfkfpjjkjE rrE rrdj knd2021-12-8212021-12-8222021-12-8232021-12-8242021-12-8252021-12-8262021-12-8272021-12-8282021-12-8292021-12-830()2()iMFrFiMME rrEr2()(),imiFMFiimE rrE rr2021-12-8312021-12-8

4、32SM L()iE r()ME rfr2021-12-833()mE r( )E rMfr2021-12-8342021-12-8352021-12-836fr2021-12-8372021-12-8382021-12-8392021-12-8402021-12-8412021-12-8422021-12-843Rx=13%E(r)SMLb1.0Rm=11%Ry=7.8%3%1.25bx.6by.082021-12-8442021-12-845(1)JtfJJ MtJtrrr2021-12-8462021-12-8472021-12-848iii mirr2021-12-8492021-12

5、-850=iiierriefimfirrrr ifiimfrrrri2021-12-8512021-12-8522021-12-853(1)fir(1)ifir2021-12-8542021-12-8552021-12-8562021-12-8572021-12-8582021-12-8592021-12-860L1T2TbRLR( )E R02021-12-8612021-12-8622021-12-863()()(1) ()PMMMZE rE rE r22222( )() (1)() 2(1) () ()PMMMZMmMZMZrrrrr 2021-12-864()()( )()( ( )(

6、)qzc MqMMzc ME rE rE rE r()zc Mfrr2021-12-865, q pmvp為邊界證券組合( )( ) (1) ()( )qqpzc pqppE rE rE r 2021-12-8662021-12-8672021-12-86811()KkkfkifikKkkrrrr2021-12-8692021-12-8702021-12-8712021-12-8722021-12-8732021-12-8742021-12-8752021-12-8760.05 1.30.100.0511.5%Ar 0.050.70.100.058.5%Br 2021-12-877ir i20

7、21-12-878j( )( ()jfMfE rrE rr2jjmm( )jE rj2021-12-879pQQPrP( )( ()fmfE QPrE rrP( )1( ()fmfE QPrE rr2021-12-8801QrP22cov(/1),cov( ,)mmmmQ PrQ rP2cov( ,)( ()1( )1mmffmQ rE rrPE Qr2021-12-881 110002218002pVpcov( ,)0.045;0.30;0.10;()0.20MfMx rrE r2021-12-8822)(0.20 0.10( )cov( ,)0.100.045 0.150.09MME rr

8、fE rrx rf11100080090022( (2)E V2021-12-883cov(,)7BrxMcov( ,)0.045;0.30;0.10;0.20Mx rrE rMf）（( )1080.7500.390.67E B 2021-12-8842( )(/) cov( ,)190.60(0.200.10 / 0.09)775.291.10E BErrB xMMMfPr)90.6075.29(20.33%75.29E rB2021-12-8852021-12-886 ()()PfPPMfPrrrr0P0P0P2021-12-887 。2021-12-888 2021-12-8892021

9、-12-8902021-12-891()1()fmffmfqprrrrpqprrr隨機條件下的貼現(xiàn)率（風(fēng)險調(diào)整下的利率）隨機條件下的貼現(xiàn)率（風(fēng)險調(diào)整下的利率）2021-12-8921000876(1.10.6(0.170.10)p 萬美元）2021-12-893 123 fr期望收益率市場風(fēng)險收益與規(guī)模相關(guān)的風(fēng)險收益賬面市值比風(fēng)險收益2021-12-8942021-12-8952021-12-8962021-12-8972021-12-8982021-12-8992021-12-81002021-12-8101Mr11nijyMcov( , )jkjkr rfr2021-12-81022()(

10、)cov(,)MfjfjMME rrE rrrr2021-12-8103MfrP( ) (1)()pfMpME rrE r ()()()ppMppMfddddE rddE rE rr2021-12-8104jMj1jj pE rjMj()(1) ( )()pjME rE rE r2021-12-81051jMjM1( )()pccpdddE rdE r2222(1)2 (1)cov( ,)cjjjMMr r 222(1)2(1 2 )cov( ,)2cjjjMMdr rd 2021-12-810622cccdddd2(1)(12 )cov( ,)jjjmMccr rdd 1( )()( )cM

11、jddE rE rE r2021-12-81072 (1)(1 2 )cov( , )/( )( )( )( )jjjmMcccccMjr rddddErddErErEr 21cov( ,)( )( ()( )jMMcccMjr rddE rE rE r1|cM2cov( ,)( ()( )( )()jMMpMMMjpMfr rdE rE rdE rE rr2021-12-81082()( )()cov( ,)( ()MfjMjMMfME rrE rE rr rE rr2()( )cov( ,)MfjfjMME rrE rrr r2()( )cov( ,)MfjfjMME rrE rrr r2

12、021-12-8109Wfr11,nyy()maxpfpE rr11njjstyW：2021-12-81101121,1( )( );()nnpjjpijijki jE ry E ry y(),pfpE rrmaxP2021-12-8111fr() (1)()MfpMpE rrE r()( ( )( ( )( )MMfpffpfppffmfMpE rrE rrrE rrE rrrr()()maxmaxpfMfpME rrE rr2021-12-8112()()(),1,1MfjfMMMjE rrE rrdE rcons jnd()(), ,1,1jfkfjkE rrE rrj knpjjdd

13、y2021-12-8113max2( ( )( ()0,jfMMfjpjjMjp mE rrE rrdddydy( ( )( ()0jfMMfjE rrE rr( )()jfMfjME rrE rr2021-12-81141()( ),nMjjjE rE r y111,0,nnjjjjydy1111()( )( ( )()()()nnMjjjfjjjnMfMjjMjnMfMfMjMjMjMdE rE r dyE rr dyE rrddydyE rrE rrddyddy2021-12-8115()()MfMMME rrdE rd()MfME rrcons2021-12-8116()()( )ppfjfpppjdE rE rrE rrconsdddhijyhW2021-12-811711( ()njfjjpE rr h2( ( )( ( )(/)0jfppfpjjpE rrE rrddhddh( ( )( )pfpjfpjE rrdE rrdh1,1jn2021-12-811811111111( )( )( ( )( )( )( )nnpjjjfjjjnpfpjjpjnp