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IM Lecture 2

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18 views30 pages

IM Lecture 2

Uploaded by

szeyee1205
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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I I

Father of Investment Portfolio

perfect portfolio
险量化
推导出预期收益率
定持有期内预期收益的概率分布

return 单期预期效 最 化

预期回报率的变化
Eg Invest 10
Expect toge
120

Eg Same level of risk


prefer higher return
62 0

25 2215
Depends on economic situation

Return Probability

X
x

1
weightage

WÉX ECR
A WB ECR

9 for asset
x

I
Z
6

6 probability
6 0.000451
24asset ED It
IT

E Ri E Ri Rj ELR
Formula Froblability
If L

Choose investment in oppositedirection


for a portfolio

EP.EE EYRi
Formula 2
JxERj ELRD
共变差

Correlation
G G

G
G
24 asset2174717
相关性系数

Eg CIMB Maybank are a we correlation

risk is lesser
c relation

will be given in exam


rijo b
0
6 E E
2 different investments
weightage

E
66
Maybank
mkis
risk
Latch
2 15 4 investme
g

60
Best reducerportfolio
to zero lowest
E d1 0 5 8.2
Rp 0

15 0
Diversification

t ve correlation

same

iii it A

best
lowest measure
risk different standard deviation r sk
OPHEIM LET'tishisketurn

risk

A E

6 0 corij 0
whole
p Portfoliorisk

0 6
EE W G wjGj
Portfolio Allocation of 2 investments risk

is
lowest
risk
lowest
risk highest
risk
highreturn

yyqyg
any y
this line Efficient frontier
is acceptable Acceptable

risk
Optimum Portfolio

BE asset with highest lowest ris


impossible
60 0 invested in 40 invested in
Year Stock A Stock B

2019 0.12 0.13

2018 0.15 0.06

2017 0.06 0.01

R 0.12 0.15 0.06 0.134 0.06 0.01


3 3
0.11 0.06

5 deviation Gi R ECR
N I

A 0.12 0.11 0.15 0.11 0.06 0.11


3 1

0.045

B 0.13 0.06 0.06 0.06 0.01 0.06


3 1

0.07
n of A n l of B
Covariance ER ECR x R ECR R ECR n
n l

Cov AB 0.12 0.11 0.13 0.06


0.15 0.11 x 0.06 0.06 n

0.06 0.11 0.01 0.06

0.0021

Correlation R Cov
GA OB

RA B 0.0021
0.045 0.07

0.65
E R portfolio w ECR

E Rp 0.6 0.11 0.4 0.06

0.09

G WE 6 W B 6 B 2 WAX WB COY
2
0.6 0.0021 0.4 0.0049

2 0.6 0.4 0.0021

62 0.0025

0 0 05

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