《耶鲁大学开放课程：金融市场》(Open Yale course：Financial Markets)课程目录及下载地址(不断更新中)

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耶鲁金融市场第11课

美国耶鲁大学网络公开课《金融市场》视频笔记11耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第11课] 股票（时长1小时15分）（上课伊始，希勒先介绍了下次讲座嘉宾史蒂芬.施瓦茨曼的基本情况）史蒂芬.施瓦茨曼（Stephen Schwarzman）是耶鲁大学的毕业生，也是本世纪的伟大传奇之一。

史蒂芬于1985年白手起家，创建了最大的私募股权公司，后来公司上市，获得了巨大的市值，足以与纽约最大的历史悠久的诸多投资银行相比。

史蒂芬和彼得.彼得森（Peter Peterson）创建了这家公司。

所以，听他的讲座会是非常有趣的。

而且，你们会有机会向他提问，问问他所做的事情（笑）。

我在阅读材料上放了一篇《纽约客The New Yorker》上刚发表的文章，大概是几周前发表的，列入到教学大纲里了。

我觉得，在史蒂芬来之前，我应该把这篇文章撤下了（笑），我之所以要这样做（笑），是因为他对这篇文章可能不会喜欢。

这是一篇很尖刻的批评性文章。

史蒂芬必定是一位强硬的商人，才能达到他现在的位置。

《纽约客》的这篇文章谈到，史蒂芬在纽约有一套公寓，其价格创下新高（笑），还讲了诸如此类的一些事。

昨天我在伦敦，那里的人们也喜欢八卦这样的事情，豪华轿车司机送我去机场时，他指着车外的伦敦景点，他说，你认识那栋大楼吗？有一个阿拉伯酋长花了一亿英镑，买了那栋楼的顶层公寓，这个酋长还为自己订了一架空客，就是那种大型客机（空中巴士），作为私人飞机，还镀上金子（笑）。

你们有谁听过这个故事（笑）？是真的吗？那个司机就在昨天告诉我的，（笑）他说，他得花5亿英镑左右才能做到这样。

当然，这都是八卦闲话了，而实质是，这个人为世界做了什么贡献？所以，我在这里收集了一些慈善机构名录，史蒂芬.施瓦茨曼是这些机构的一位主要的慈善家。

史蒂芬在黑石集团（the Blackstone Group）下建立了“黑石基金会The Blackstone Foundation”，他也是许多慈善组织的主要资助者或合作人，例如弗里克藏馆（The Frick1Collection）、惠特尼博物馆（The Whtiney Museum）、凤凰楼戒毒所（Phoenix House）、红十字会（The Red Cross）、贫民区奖学金基金（The Inner City Scholarship Fund—ICSF）、纽约城市拓展基金（New York City Outward Bound）、（美国）亚洲协会（The Asia Society）。

The Teaching Company 美国最著名的大学教育课程制作公司之一

The Teaching Company 美国最著名的大学教育课程制作公司之一，专门聘请世界一流大学的顶尖级教授讲授大学程度的各种课程，并推出课程的磁带，录像带，CD，DVD和学习手册，因注重学术性，教育性和娱乐性，符合终身学习的时代观念，在业界享有盛誉。

由它推出的课程简称为TTC course。

这家教育公司应该是美国生产教育类产品的公司中最为厉害的一家了，从它所聘请到的授课教师背景就能看出这一点来，美国高校有50万教授，为它所挑中的人选有5000人，可谓百里挑一，可以说是美国高校中的精英力量，许多教授在各自校园中都获得过“教师奖”，这种头衔对于一个教授的授课能力来讲是很大的一种肯定。

主页的左侧全是关于所授课程的介绍，人文、艺术、宗教学科及社会科学的课程占了比较大的比例。

原帖作者：myoung麻省理工、台湾国立交通大学、斯坦福大学、TTC课程和耶鲁大学的优秀开放课程资源，以及一小部分中科院研究生课程VeryCd资源索引。

麻省理工 (MIT)麻省理工开放课程主页：/courses/一.理学院*生物学(Biology)1.MIT开放课程：生物学导论 MIT OpenCourse:7.012 Introduction to Biology课程链接：/topics/2829182/*化学(Chemistry)1.MIT开放课程：固态化学导论 MIT OpenCourse:Introduction to Solid State Chemistry课程链接：/topics/2828243/*物理学(Physics)1.麻省理工电磁学视频课程 MIT--Physics--Electricity andMagnetism--Video Lectures课程链接1：/topics/2807625/课程链接2：/topics/2807625/2.美国麻省理工之经典力学 classical mechanics课程链接：/topics/2745060/*脑与认知科学(Brain and Cognitive Sciences)1.MIT开放式课程:心理学导论2004秋季学期 MIT OpenCourseWare,9.00 Introduction to Psychology,Fall 2004课程链接：/topics/65161/二.工程学院*电机工程与计算机科学(Electrical Engineering and Computer Science)1. MIT计算机科学及编程导论 MIT Introduction to Computer Science and Programming课程链接：/topics/2830263/2.MIT算法导论 MIT Introduction to Algorithms课程链接1：/topics/2812654/课程链接2：/topics/87348/3.数字通信原理 Principles of Digital Communications-MIT课程链接：/topics/2829316/三：高中开放式课程1.哥德尔，埃舍尔，巴赫：一次心灵太空漫游 Godel, Escher, Bach: A Mental Space Odyssey课程链接：/topics/2834837/斯坦福大学 (Stanford)斯坦福开放课程主页：/see/courses.aspxStanford Engineering Everywhere：斯坦福大学的“Stanford Engineering Everywhere ”免费提供学校里最受欢迎的工科课程，给全世界的学生和教育工作者。

耶鲁大学开放性课程金融市场

金融市场：第一讲2008年1月14日罗伯特.希勒教授：这是经济学系课程编号为252的金融市场课程，我是鲍勃.希勒，首先，请允许我以介绍这门课的教学研究员。

我们现有5名教研人员，来自世界各地。

我将把他们的照片张贴在这里以便你们知道他们是谁。

教学研究员们非常国际化，这反应了我把这门课也教得国际化的意图，这是因为当今经济学是全世界的课题，而非美国独有，所以我们的教学目标涵盖了全世界（的金融状况）。

奥斯曼.阿里来自巴基斯坦的拉合尔，他毕业于拉合尔大学管理科学系，他现在是经济学博士研究生，在做股票分析推荐和股票市场回报关系的博士论文，他同时对行为金融学，即心理学在金融学中的应用很感兴趣。

第二位助教，我看见他在那边，（对助教说）如果可以请举下手，桑托什.阿纳戈尔(Santos h Anagol),美国的一名议员，同时，他跟印度有很好的联系。

事实上他已经在美国经济评论上发表了一篇关于加纳资本回报的论文。

他与当地经济部门主席，克里斯.尤迪(Chris Ud ry)。

他花了很多时间调查乡村经济。

你过去在分发母牛，对么？学生：不，我仍在做跟母牛有关的工作，但我并不负责分发母牛。

罗伯特.希勒教授：好吧，这是本门课程中最后一次你们听到关于母牛的话题。

这个想法是给村民分发母牛然后观察产出。

在某些贫困地区得到一头母牛生活将得到很大的改善。

克里斯坦.阿武库布杜（Christian AwukuBudu）来自加纳的阿卡拉(Accra),但他是在美国的莫尔豪斯学院上的大学，他也是耶鲁大学经济学的博士研究生，在做发展中国家金融市场的研究。

段雅心（Yaxin Duan）来自中国，她从南京大学获得硕士学位，错了？你来自南京，我的资料搞错了么？你从哪所学院毕业的？好吧，很抱歉我搞错了。

她也是耶鲁大学经济学博士研究生，在做期权价格行为学中被称为“期权微笑”的现象，正如她现在对我微笑一样。

她同时对行为金融学感兴趣，对我来说很很重要，因为这也是我的兴趣之一。

耶鲁大学开放课程

耶鲁大学开放课程1。

《耶鲁大学开放课程：聆听音乐》(Open Yale course：Listening to Music)[YYeTs人人影视出品][中英双语字幕]/topics/2832525/2。

《耶鲁大学开放课程：基础物理》(Open Yale course：Fundamentals ofPhysics)[YYeTs人人影视出品][中英双语字幕]/topics/2834907/3。

《耶鲁大学开放课程：生物医学工程探索》(Open Yale course：Frontiers of Biomedical Engineering) [YYeTs人人影视出品][中英双语字幕]/topics/2834278/4。

《耶鲁大学开放课程：1871年后的法国》(Open Yale course：France Since 1871) [YYeTs人人影视出品][中英双语字幕]/topics/2835256/5。

《耶鲁大学开放课程—哲学：死亡》(Open Yale course—Philosophy：Death) [YYeTs人人影视出品][中英双语字幕]/topics/2824902/6。

《耶鲁大学开放课程：金融市场》(Open Yale course：Financial Markets)[YYeTs人人影视出品][中英双语字幕]/topics/2830134/7。

《耶鲁大学开放课程：心理学导论》(Open Yale course：Introduction to Psychology) [YYeTs人人影视出品][中英双语字幕]/topics/2827597/8。

《耶鲁大学开放课程：博弈论》(Open Yale course：Game Theory)[YYeTs人人影视出品] [中英双语字幕]/topics/2832107/9。

《耶鲁大学开放课程：1648-1945年的欧洲文明》(Open Yale course：European Civiliza tion,1648-1945) [YYeTs人人影视出品][中英双语字幕]/topics/2832611/10。

耶鲁公开课笔记2

美国耶鲁大学网络公开课《金融市场》视频笔记2耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第2课] 风险管理中的普遍原理：风险汇聚和对冲（时长1小时09分）本课主题是风险管理中的普遍原理----风险汇聚和对冲（Pooling and Hedging of Risk）。

希勒认为这是金融理论中最基本、最核心的概念。

本课先讲概率论(Probability Theory)，再讲通过风险汇聚来分摊风险的概念。

概率论是极具智慧的构想，诞生于历史上的特定时期，并令人意想不到地获得广泛应用，金融是其应用领域之一。

对部分学生来说，本课相对所讲的其他课会显出更多的技术性，并且遗憾的是又安排在学期初。

对于学过概率和统计的学生而言，就不是新知识了。

这是从数学角度的看法。

概率论是新知识，但不要太畏惧。

课前有个学生告诉希勒，他的数学有些生疏了，是否还能选这门课？希勒说，如果你能听懂这堂课，那就不会有问题。

什么是概率？通过举例说明。

比如，今年股票市场会走高的概率是多少？例如认为概率是0.45，是因为对股市悲观，预测股市会走高的可能性是45%，而股市会走平或走低的可能性是55%。

这就是概率。

听了这个例子，人们就会觉得这个概念是熟悉的，如果有人提到概率是0.55或0.45，也就知道他说的意思了。

话锋一转，希勒强调，概率并非总是以这种方式来表述的。

概率论成形于十七世纪，此前没有人提出过。

撰写概率论历史的作者伊恩.哈金（Ian Hacking），查遍世界所有关于概率论的文献，没有发现在十七世纪之前有概率论的文献，也就是说，在十七世纪产生了一次智慧的飞跃，当时用概率词汇来表述非常时髦，引用概率进行表述的方式很快传遍世界。

但是，有意思的是，如此简单的概念此前从未使用过。

下面希勒详细介绍哈金的成果。

哈金研究表明，概率词汇早已存在于英语中，莎士比亚就用过，但其所代表的意思是什么呢？哈金举了一个年轻小姐的例子，这位小姐描述她喜欢的男子，说道，“我太喜欢他了，我觉得他有很大‘可能’”(probable)。

econ-252-11_05耶鲁大学公开课金融市场

PRINTECON-252-11: FINANCIAL MARKETS (2011)Lecture 5 - Insurance, the Archetypal Risk Management Institution: Its Opportunities and Vulnerabilities [January 31, 2011]Chapter 1. Introduction [00:00:00]Professor Robert Shiller:OK, good morning. I've been running to get over here. I just got back from The World Economic Forum. We talked to a lot of the world's financial leaders. And I was thinking what I would tell you about it, but then I realized, it's all off the record, so I'm not supposed to say anything to you.I was going to talk instead today about insurance, which is one of the major risk management institutions that is not always considered part of finance, because people think of finance and insurance as separate.[SIDE CONVERSATION]Professor Robert Shiller:We talked about basic principles of risk management in the preceding lecture. It's all the same for finance and insurance. And yet, we tend to consider them as separate businesses. That's partly, I think, an accident of history, and it's partly a product of regulation because of certain ideas--that we'll come to in a few minutes--that has kept the insurance industry separate from other financial industries. Last period, we talked about the mean-variance risk management problem, and about the Capital Asset Pricing Model. That's fundamental to insurance as well. The basic idea is pooling of risks and preventing people from being subjected to extreme risks through the concept of risk pooling.So, what I wanted to start today is talking about insurance, starting with the concept of insurance. And then, I wanted to reiterate a theme of this course, that financial institutions are inventions, they're structures that someone had to design and make work right. Sometimes they don't work right. Then, I wanted to move to a particular example of insurance, which was until recently the biggest insurance company in the world, called the American International Group, or AIG. And it's particularly important that we talk about this example, because on March 2 we have the former CEO of AIG, Maurice "Hank" Greenberg, coming to our class. So, I thought it's appropriate that we use AIG--well not only because it was the biggest insurance company in the world, but also because he's coming here.And then, I want to talk about regulation of insurance, that the insurance industry has always been subject to government regulation. I'll talk about types of insurance. Your chapter in Fabozzi et al. is mostly about types of insurance, so I think you can mostly get that from the textbook, but I wanted to say some things about it. And then, I was going to conclude with thoughts about insurance, and how important it is to our lives, and what progress it still has to make.Chapter 2. Concepts and Principles of Insurance [00:03:53]So, insurance, it doesn't sound like a very exciting topic, does it? I'm going to try to make it more exciting. I guess you think of the insurance salesman coming, knocking on your door. They don't do that so much anymore, they used to go around door-to-door. And that was a depressing moment, when the life insurance salesman came. And if you invited this person into your house, he would tell you about the probability of dying, how tough it will be on your family, that sort of thing. But, to me, I think insurance is an exciting issue, because it's about making our lives work. And it's really about preventing horrible catastrophes from--and it involves mathematical theory that underlies the concept. To me, it's exciting, but I don't know if I canconvey that.The fundamental concept, again, is risk pooling. The idea of insurance goes back to ancient Rome, but only in very limited forms. But the idea of risk pooling is kind of an obvious one. People form organizations partly to risk-pool. So, in ancient Rome, a common form of insurance was death insurance that would pay funeral bills. People in the ancient world believed that you had to get a proper burial, or your soul would wander forever. So, insurance salespeople associated with guilds or business organizations would sell funeral insurance. But they didn't have a very clear idea of the risk pooling concept. It must have underlain their thinking.But it wasn't until much later that people began to understand the concept. There were examples of insurance throughout ancient and medieval times, but they're very blurred and sparse. I remember reading an insurance, supposedly, an insurance contract written in Renaissance Italy, translated into English, but it was hardly recognizable to me as an insurance contract. They didn't have the concepts down. It seemed to have a lot of religious language in it, which normally we don't think of as something that's part of an insurance contract. But it seems like insurance came in in the 1600s, at the same time that certain concepts of mathematics began to be developed. Notably, the concept of probability became more widely known in the 1600s. According to one historian, the oldest known description of the insurance concept goes back to a Count Oldenburg. Actually, it's an anonymous letter to Count Oldenburg, written in 1609.And the letter says, why don't we start--I'm paraphrasing at the moment--why don't we start a fund, in which people pay 1% of the value of their home every year into the fund, and then we will use the fund to replace the house if there's a fire? And now, quoting this anonymous writer, this writer said he had "no doubt that it would be fully proved, if a calculation were made of the number of houses consumed by fire within a certain space in the course of 30 years, that the loss would not amount, by a good deal, to the sum that would be collected in that time." OK? It was just intuitive. He said, there can't be that many fires. And if we collect that amount of money every year, we can pay for all the houses that are burned down. So, he didn't express any mathematical law, but it's the concept of insurance. You don't find that before that, before 1609. So, I guess we don't have any clear statement of insurance before then.Actually, you can find an approximate statement of the law of large numbers--and I'm thinking of Aristotle, the philosopher. This is in ancient times, and I'm quoting from De Caelo, his book. Aristotle: "To succeed in many things or many times is difficult. For instance, to repeat the same throw 10,000 times with the dice would be impossible, whereas to make it once or twice is comparatively easy." He doesn't have the language of probability, but he knows you can't throw the dice 1,000 times and come up with the same number every time.Now, we have a probability theory about it. So, we know that if you have n events, each occurring with the probability of p, then the average proportion out of the n events that occur--I'm sorry, we have n trials, an event occurring with probability p--then the standard deviation of this proportion of events that occur isAnd that's a theorem from probability theory. The standard deviation of the proportion of trials for which the event occurred, assuming independence, is given by this. And so, you note that it goes down with n. As n increases, it goes down with--I should say, the √n. So, that means that if n gets very large, if you write a lot of policies, then the probability of deviating from the mean by more than one or two standard deviations becomes very small, which is what Aristotle said.But making insurance work as an institution, to actually protect people against risk, is rather difficult to achieve. And that's because things have to be done right. So, let me just remind you, what are the basic types of insurance? This is what Fabozzi talks about. There's life insurance that insures people against earlydeath. Of course, you still die. What it really insures, is your family against the loss of a bread winner, the father or the mother. So, life insurance is suitably given to families, especially with young children, to protect the children. It used to be very important when there was a lot more early deaths. Now, very few young people lose their parents. So, life insurance has receded in importance.Another example is health insurance. This is insurance, of course, that you get sick and you need medical care. Then, there's property and casualty insurance, insuring your house or your car. And then, there's other kinds of [what] you might call investment-oriented products, like annuities. This is a table in your textbook by Fabozzi, which lists these categories of insurance. But any of these insurance types are inventions, and I want to specify that. We have the idea that an insurance company could be set up that would, say, insure houses against fires. And we just heard it, intuitively, in this letter to Oldenburg long ago. But to make it work, and to make it work reliably, involves a lot of detail. You can think of the idea of making an airplane, but to make it really work, and to make it work safely, is another matter.So first of all, insurance needs a contract design that specifies risks, and excludes risks that are inappropriate. An issue that insurance companies reach is moral hazard.[SIDE CONVERSATION]Professor Robert Shiller: Moral hazard is an expression that appeared in the 19th century to refer to the effects of insurance on people's behavior that are undesirable. So, the classic example is, you take out fire insurance on your house, and then you burn it down deliberately in order to collect on the house. Or another example is, you take out life insurance, and then you kill yourself to support your family. These are undesirable outcomes, and they could be fatal to the whole concept of insurance, because if you don't control moral hazard, obviously the whole thing is not going to work. So, what they do in an insurance contract is they exclude risks that are particularly vulnerable to moral hazard. And so, that means you would exclude certain causes of death that might look like suicide. You can do other things to control moral hazard than excluding certain causes.You can also make sure that you don't insure the house for more than it's worth. Right? If someone insures a house, and the insurance does not cover the full value of the house, then there's no incentive to burn it down. You might as well just sell the house, right? No point in burning it down if you'll still lose a little bit of money. So, that's one of the problems that insurance companies face. And part of the design of [the] insurance contract has to prevent moral hazard from becoming excessive.An analogous thing is selection bias. That occurs when--chalk keeps breaking--selection bias occurs when the people who sign up for your contract know that they are higher risk. For example, health. People who know they have a terminal disease and are about to die, they'll all come signing up for your life insurance contract. That will put immense costs on the insurance company, and if they don't control the selection bias, they will have to charge very high premiums. And that will force other people, who don't know they're going to die, out of buying insurance. And so, that's the fundamental problem. Again, something has to be done to define the policy. So, one thing you can do is, exclude, in life insurance, certain causes of death that are likely to be known. And you only put on causes of death that people wouldn't be able to predict about themselves.Another aspect of insurance is that you have to have very specific, precise definitions of the loss, and what constitutes proof of the insured loss. If you're not clear about that, there's going to be ambiguities later, which will involve legal wrangling and dissatisfaction. We'll see, in a minute, that these problems are not minor and they keep coming up. It's a constant challenge for the insurance industry. Third, we need a mathematical model of risk pooling. Well, I just wrote one down here, but it might be more complicated insome circumstances. This is assuming independence. If you don't assume independence, you can make more complicated models. Then, fourth, you need a collection of statistics on risks, and you need to evaluate the quality of those statistics. So for example, in the 1600s, people started collecting mortality tables for the first time. There was no data on ages at death. It began in the 1600s, because people were building an insurance industry and they needed to know those things.Then, you need a form for the company. What is the insurance company? Who owns it? It could be a corporate form. There are shareholders who are investing in the company. And they're taking the risk that some of our policy modeling, or handling of moral hazard, or selection bias wasn't right. Some insurance companies are mutual, rather than share. The insurance is run for the benefit of the policyholders, and they're like a nonprofit in the sense that the founders of the company pay themselves salaries, but the benefits go entirely to the policy holders.Then, you need a government design, so that the government verifies all of these things about the insurance company. The problem with insurance is that people will pay in for many, many years before they ever collect, right? Especially if you're buying life insurance, you hope never to collect. And so, you don't know whether it's going to work right. That's why you need government regulation, you need government insurance regulators. And that's part of the design of insurance. It doesn't work if you don't have the regulators, because you wouldn't trust the insurance company. So, these are problems that have inhibited making insurance work.Chapter 3. The Story behind AIG [00:19:14]I wanted to give you an example. I think it makes it more concrete if we start off with talking about a particular example. And I said I was going to talk about AIG, which is a very important example, not only because it was the biggest insurance company. It was also the biggest bailout in the entire financial crisis we've seen now. And it has an interesting story.[SIDE CONVERSATION]Professor Robert Shiller: So AIG, it's an interesting story. It was founded in 1919 in Shanghai. And you wonder, why is it called American International Group if it's founded in Shanghai? It was founded in Shanghai, called American Asiatic Underwriters. And it was founded by Cornelius Vander Starr, who was an American who just decided to go to Asia and start an insurance business. Shanghai, in 1919, was a world city. It was not really under the Chinese government, it was something like Hong Kong. It had constituencies representing many different countries. And so, it was a very lively business center. It's kind of interesting that the biggest insurance company in the world emerged from Shanghai, and also one of the biggest banks in the world, HSBC. You know what HSBC means? They don't emphasize it anymore. It's Hong Kong and Shanghai Bank Corporation [correction: Hong Kong and Shanghai Banking Corporation]. So, AIG was founded by Mr. Starr in 1919, and started doing an insurance business in China. And moved their headquarters to New York just before Chairman Mao took over at China. And then, it became kind of a Chinese investment company in the United States.Cornelius Vander Starr ran the company from 1919 until he died in 1968. So, he was CEO for 49 years, a half-century. And then, just before he died, he appointed Hank Greenberg, who will visit us, as the CEO in 1962. So, that was 49 years under Starr, and then Greenberg took on, and then ran the company until 2005. So, it was 37 years under Greenberg. So, two men ran the company for almost a century. Since 2005, Greenberg has been succeeded by three CEOs, the usual thing. The usual company turns over CEOs.There's another interesting story that we might ask about Hank Greenberg.He joined the U.S. Army and fought in World War II. And among his jobs, then, was to liberate Dachau, which was a concentration camp. This is not one of the extermination camps, it was a concentration camp for Jews and others under the Nazis. And people were starving and dying, it was awful. At a Council on Foreign Relations meeting, Greenberg met with Mahmoud Ahmadinejad, who is the president of Iran. And Ahmadinejad said something about the Holocaust, doubting that it ever happened. Greenberg stood up indignantly and said, it happened. I saw it. I was there. It's kind of interesting to me to think about this.This is an aside, momentarily. The other person I've met who--do you know Geoffrey Hartman, who's a professor here at Yale in literature? He and his wife, both Jewish, were teenagers during World War II. And Hartman escaped by what they called Kindertransport. But his wife, Renee, was in another concentration camp. Not Dachau, it was in Bratislava. And she was starving to death. And it really happened, by the way. It's awful. And I asked her, why do you think they were starving you to death? And she said, we didn't know. We thought maybe they were keeping us as hostages, or something. So anyway, we could ask him about that.What did these people do? Both Starr and Greenberg created a wide variety of risk management products. It became the largest underwriter of commercial and industrial insurance in the world. It became a very large automobile insurer, and also a travel insurance company. But Greenberg was forced out of the company after 37 years, when Eliot Spitzer, who was the Attorney General for the state of New York, claimed that there were some irregularities. And Greenberg was forced to resign. It turns out, though, that nothing that Spitzer said has held up, so apparently Greenberg was innocent of any of the allegations. The real problem occurred with AIG after Greenberg left. So, Greenberg left in 2005, and then the company absolutely blew up, and it absolutely had to be bailed out.The reason they had to be bailed out was, it was almost entirely due to a failure of the independence assumption, I would say. That under their risk modeling, namely, the company became exposed to real estate risk. And the idea that their risk modelers had was that it doesn't matter that we take on risk that home prices might fall, because they can never fall everywhere. They can fall in one city, but it won't matter to us. That's just one city, and it all averages out. But what actually happened after Greenberg left was the company took huge exposures toward real estate risk and it fell everywhere. Home prices fell everywhere, just exactly what they thought couldn't happen.So, the company was writing credit default swaps--I told you about those before--they were taking the risk. They were insuring, basically, against defaults on companies whose credit depended on the real estate market. They were also investing directly in real estate security, in mortgage-backed securities that depended on the real estate market for their success. And when all this failed at once, the AIG was about to fail. That meant that the federal government decided, in 2008, to bail out AIG. And the total bailout bill, well, the total amount committed by the U.S. federal government was $182 billion. It didn't all actually get spent. It was $182 billion committed to bail out AIG. That's a lot of money, I think that's the biggest bailout anywhere, at any time.A lot of people are angry about this. Part of this bailout came from what we called TARP. This is the Troubled Asset Relief Program, which was created under the Bush administration. And it was a proposal of Treasury Secretary Henry Paulson. It was initially run by Paulson. But it was not just TARP. There was also loans from the Federal Reserve. It was a complicated string of things that were done to bail out AIG. So, why did they do that? Why did the government bail out this insurance company? The main reason why they did so was their concern about systemic risk. I'll come back to other kinds of bailouts of insurance companies.The problem was that AIG--if it went under, all kinds of things would go wrong. All kinds of things would go wrong. All these insurance policies that it wrote on people's casualties, their travel insurance, any of these policies, would all now be subject to failure. Because people who had these insurance would find that the company that they bought it through was disappearing. But it would go on even beyond that. Lots of other companies, investment companies, banks, would fail too, or may fail too, because they're involved in some kind of business dealings with AIG, which would now become part of the AIG bankruptcy. If AIG failed, anybody who had any business with AIG would be starting to wonder, what's this going to mean to me? AIG owes me money, what's going to happen? And so, there was a worry that it would destroy the whole financial system.This was big enough to cause everybody to pull back, and if everybody pulls back, then the business world stops. It would be like a stampede for the exits. Everyone hears, AIG goes under, and so many people do business with AIG, they decided it was intolerable. And so, the government came up with the money, massively and quickly. If you remember the story, Henry Paulson, who was Treasury Secretary, first went to Congress asking for a blank check. He didn't say to bail out AIG, but that's what he did. He got sort of a blank check from Congress, because Paulson told the story that if we don't do this, if we let the company--he didn't say AIG, he actually asked for the TARP money before the AIG bailout--but he said if we don't do something to prevent a collapse, we could have the Great Depression again.Nobody liked to hear that, but they believed him, and they didn't know what else to do. And so, they allowed the TARP money, and they allowed the Federal Reserve to bail out this company. Some people misunderstand what this in fact means, though, for the shareholders in AIG. The AIG shareholders lost almost everything, because the government arranged the bailout in such a way that AIG got practically wiped out. The government took preferred shares in the company at a very low price in exchange for helping the company survive. And that diluted down the other shareholders in the company into a very low status. The company lost over 90% of its shareholder value, despite this bailout.In July of 2009, AIG did a 1-to-20 split. Remember, I told you about splits before? That's a reverse split. Usually, the stock goes up in a company and the shares, which originally sold for $30 a share, are now selling for $100 a share. And they think, well that's too high a price per share, so let's do a three-for-one split, and let's make every share into three shares. That's the usual split story. This is going the other way massively. They made every 20 shares into one share. So, if you look at the price recently, it's been something like $30 to $40 dollars a share. That's what we do on the stock exchange, we always like to keep it, it's an American tradition. Not so much true in other countries, they have different traditions about what is the preferred price about a stock. So, AIG lost--the shareholders lost just about everything. So, the public anger about a bailout of AIG is really a little bit inappropriate, because they lost almost everything. They could've lost everything. This company did not fail, it was bailed out and it survived. But it lost almost everything. I think the real anger is not anger about the shareholders of AIG, who lost almost everything.The real anger is that the business partners of AIG didn't lose anything, notably Goldman Sachs, which was a major partner taking the other side of contracts with AIG. It didn't lose a penny, all right? But, of course, Goldman Sachs was not being bailed out. It was not in danger. The government didn't know what to do with AIG, because it felt that it was such a big company doing so many things that if we let them fail, who knows, Goldman Sachs might fail. The government didn't know, they didn't know whether Goldman Sachs might fail. Because it didn't have the information, because the regulators had not collected such information. So, they decided the only thing they could do responsibly was to keep AIG alive, somehow alive, as an insurance company. Maybe, they lose almost all of their value to the shareholders, but they keep going. So, that's what happened. And AIG continues to this day. It survived after the bailout.Chapter 4. Regulation of the Insurance Industry [00:35:51]Now, I wanted to talk about something else that many of you may not know about insurance companies. Mainly, that we do have something like deposit insurance for insurance companies. You know, when you go into a bank, there will be a little sign saying FDIC Insured? Do you notice that when you go into a bank? They're required to post that. Bank accounts are insured by the Federal Deposit Insurance Corporation up to a limit, $250,000 now. It's only for relatively small savers, because $250,000 is not big time, a lot of money. We don't want innocent people who walk into a bank and put their money there to lose their money. So, you wonder about insurance. Do we have something like that for insurance? Yes we do.We have state insurance guarantee funds that protect insurance companies. They're not as old, though. The oldest insurance guarantee fund is 1941, and that's in New York. And this fund was the first, but now virtually every state in the United States has these funds. Connecticut got its first insurance guarantee fund in 1972. So, these are supposed to protect you, as an individual, if you take out an insurance policy, and then your insurance company, like AIG, blows up. So, then you wonder, well, why didn't the insurance guarantee fund handle AIG? Any idea where the answer is? Why did we need the special bailout? Well, maybe the answer is obvious. The insurance guarantee fund, like the FDIC, is to protect the little guy, right? AIG was way too big for these state insurance funds. There's a limit to how much you can collect from a state insurance fund if your insurance company goes under, and in New York it's $500,000, and in Connecticut it's the same. These are two of the most generous states. Typically, in a state in the United States, you only collect $300,000 maximum.That may sound like a lot of money to you, but think of it this way: Suppose you bought a life insurance policy for your family. What would you typically buy? Ever thought about it? Well, you have two children. You're thinking of sending them both to Yale, or some place like that. It's going to cost you like $500,000 right there, just sending them to college. So, if that's all you get in your insurance, it's not enough, not big. So, these are small, they don't guarantee you enough. There's another thing about, at least I know about the Connecticut insurance guarantee fund, and that is that you can't play the trick that you do with the Federal Deposit Insurance Corporation. The Federal Deposit Insurance Corporation insures bank accounts for 250,000, all right? But all you do is, you put your money over many different banks. So, if you've got $2.5 million, you put it in 10 different banks. The FDIC will insure every one of those, so you can insure $2.5 million. But the Connecticut insurance guarantee fund won't do that, they'll limit you to $500,000, no matter how many different policies you got.There's another important difference between deposit insurance and banks and state insurance guarantee funds, at least in Connecticut. I know Connecticut does not allow an insurance company to advertise that they're insured. It's quite the opposite with deposit insurance, where the FDIC requires that they post that they're insured. So that's why you don't hear about this. But there's a fundamental lesson that I'm trying to get to with all of this, and that is that you have to look at the insurance company that you buy insurance from. It's still a wild world out there in the sense that if you buy insurance from an insurance company that goes under, well, you're protected up to $500,000, but beyond that, not. And you're supposed to watch out. Now, we also have state insurance regulators who are supposed to watch out that insurance companies are good, but they won't make good on you. So, we have a Connecticut Insurance Department, for example, which regulates insurance companies.Now, another interesting thing about insurance that separates it from finance is that insurance is done by the state government. It's regulated and the guarantee funds are state. The Federal Deposit Insurance Corporation is a federal--it's a national insurance program. But insurance is done entirely by the states.。

耶鲁金融市场第14课

美国耶鲁大学网络公开课《金融市场》视频笔记14耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第14课] 安德鲁·雷德利夫的客座演讲（时长1小时15分）（关于安德鲁·雷德利夫，在上节课开头已有过介绍，所以，在这个讲座，安德鲁·雷德利夫上来就开讲了）我要说的第一件事，是我认为，当你们在考虑金融市场时，大多数人所想的第一件事或第一个问题是，那些市场是否有效？是否包含了所有已知的信息？如果能够做到这些，那在一定程度上，金融市场显然就比整个市场还好（笑）。

我不确定，曾经是绝对吸纳了经济学智慧的金融市场，就是有效了？我认为，到现在，这种观点还是主流的学术观点。

但是，对此存在着激烈的争论，双方都有代言人。

对我来说，实际上，这是一个非常简单的问题。

关于市场有效的概念，源于一个先验的理论，该理论是关于所有市场的，认为有很多动机，激励人们按照自己的兴趣采取行动，也只能这样去做。

这是一种非常吸引人的先验理论，但是，作为理论，是用来进行预测的。

如果预测的一些事情并没有成为事实，那么这个理论就被摒弃，这样的理论有很多很多。

有很多与金融市场有效性相反的例子。

在某种程度上，有这样的事情，有些公司拥有两种不同类别的股票，而在经济意义上相同。

比如，皇家壳牌公司（Royal Shell）就曾经拥有过在荷兰交易的荷兰股份，以及在英国交易的英国股份，两者在经济意义上相同，但价格会有波动且非常剧烈。

在1998年时期，有一只这种类型的股票，比起另一只股票要打折20%，并持续了好几年。

因此，你拥有经济意义上相同的东西，会以不同的价格进行交易。

例如，你持有封闭式基金（closed end funds），这是一种拥有一组其他证券的金融工具，封闭式基金是作为一种债券在证券交易所进行挂牌交易，而这种基金所做的事，就是持有其他的证券。

耶鲁金融市场第7课

美国耶鲁大学网络公开课《金融市场》视频笔记7耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第7课] 行为金融学：心理的作用（时长1小时5分）本课主题是行为金融学（Behavioral Finance）。

这一术语大约在20世纪90年代中期才出现在公众视野，此前并不为人所知。

而“有效市场”这一术语就老得多了，前面介绍过是在19世纪提出的。

行为金融学这一术语是20世纪60年代提出的。

行为金融学是金融领域一场新兴的革命，希勒教授在这方面参与颇多，他从1991年开始，与芝加哥大学的查德.塞勒（Richard Thaler）教授一起，组织关于行为金融学的研讨会，已经坚持举办了18年，时间挺长的了（笑）。

刚开始时，完全不为人们所重视，他们想过，没人欣赏我们，而希勒是终身教授，所以就能一直研究。

但是，问题在于，谁都不愿意去研究过于冷门的领域，幸运的是，我们具有允许这样做的体系，这是令人欣喜之处。

行为金融学是人们对于在有效市场理论中、或在数理金融学中极端情况的反应。

希勒认为数理金融学是一门精美结构的学科，他很钦佩这方面学者的成就，他也曾参与过。

但是，数理金融学具有其局限性，人们都知道一种范式发展的途径，当发展到一定阶段，都会出现这种情况。

在20世纪60年代，数理金融学是门新学科，充满着令人振奋的事情，没有人再想研究其他的情况，人们都要去做令人振奋的事。

当到了70年代和80年代，在这方面有点过了头，人们跑得太远了，他们以为这就是人类所要的一切，不需要再考虑其他事情了。

随后便时常显得有点疯狂。

然而，我们必须反思，其实一切不尽完美（笑），世界并不完美（笑），世上存在着真实的人。

所以，就引申出行为金融学。

行为金融学指的是什么呢？它不同于行为心理学，也不是意味着将行为心理学应用于金融学，其实际含义要广泛得多。

行为金融学意味着是将所有的其他社会科学应用于金融学。

耶鲁公开课笔记4

美国耶鲁大学网络公开课《金融市场》视频笔记4耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第4课] 多元化投资组合和辅助性的金融机构（时长1小时07分）本课内容是多元化投资组合（Portfolio Diversification），辅助性的金融机构（Supporting Financial Institutions），尤其是共同基金（Mutual Funds）。

希勒介绍，这也是他长期研究的一类课题。

希勒相信，世界需要更多的多元化投资组合。

这也许会让人们觉得有点怪，但希勒认为这是绝对正确的。

埃米特.汤普森也研究过这类起因的相同课题，即，为了帮助世界上的穷人，可以通过多元化投资组合来改进。

希勒说他完全就是这样认为的。

（世界上）有大量的人类困难，都可以通过多元化（分散）投资来解决。

本课要讲的，不仅只适用于安逸的富人，而对每一个人都适用。

实际上这还是关于风险的问题。

当任何人遇到惨境时，那都是某些随机遇到的结果。

当人们在生活中陷入实际麻烦时，那是由于一系列糟糕事件将人们推到不幸的境地。

金融风险管理常常就是防止发生这种不幸情况的部分（措施）。

本节课将从一些数学问题讲起，是对第二节课的继续。

希勒在第二节课讲过关于风险分摊的原理，今天接着拓展到某些方面，即，将略微集中到投资组合问题。

先讲怎样构建一个投资组合，其中有哪些数学问题，由此引入到资产定价模型，这个模型是金融中许多思考的基石。

关于这一部分内容，在耶鲁的其他课程会讲得详细些，尤其像约翰.吉纳科普洛斯（John Geanakoplos）讲的经济类251号课程（Econ 251）。

从这节课可以获得基本要点。

下面从基本概念开始讲。

希勒说他只用最简单的术语来讲述。

1首先，定义什么是投资组合。

投资组合是指人们所拥有资产的集合。

如金融资产、有形资产（tangible assets），这都是你的财富。

耶鲁大学开放课程：金融市场4资本资产定价模型

今天这堂课的内容是投资组合多样化, 以及辅助性金融机构，特别是共同基，事实上,这是我长期研究的一个方向，我认为，世界需要更多元化的投资组合，这也许会让你们觉得有点奇怪，但我认为这是绝对正确的，埃米特·汤普森也仔细研究过这个问题，即怎样通过分散投资改善世界上穷苦人民的生活，真的是这样，很多生活上的困难都可以通过分散投资来解决，我今天要说的这些内容，不仅仅对生活安逸的富人们有用，而且对每一个人都适用，实际上这是关于风险的问题，任何人都有走背运的时候，这是随机选择的结果决定的，人们总会在生活中遇到麻烦，一系列糟糕的事情会将人们推向不幸的处境，而多数情况下，金融风险管理，可以防止这种情况发生，首先我想说.，这堂课我想从一些数学问题讲起，作为第二节课内容的延续，当时我讲过关于风险分摊的原则，现在从这个基础上拓展一下，更侧重于投资组合方面的问题，首先我想讲讲，怎样建立一个投资组合以及与其有关的数学问题，然后引出资本资产定价模型，这个模型是很多金融思想的基础，这部分我会讲得比较快，因为耶鲁大学还有其他课程，会更详细地讲解这个部分，像是约翰·吉纳科普洛斯教授的经济类251号课程，我这门课里只讲一些基本的内容，就从基本概念开始吧，我尽量用最简单的术语来解释，首先，我们来定义一下什么是投资组合，一个投资组合就是你拥有的资产的集合，例如，金融资产，有形资产，这些是你的财产，第一条也是最基本的一条原则是，你要关注的是整个投资组，不要像那个渔夫一样，因为曾经捕过一条大鱼而到处炫耀，我们说的是维持生计的问题，关键在于你总共捕到过多少条鱼，而一次巨大的成功，没什么值得骄傲的，这就是第一条最基本的原则，你们同意我的说法吗，所以，当谈到管理投资组合的时候，我们管理的是能够带来经济利益的一切大小事物，而理论的基础是，我们通过计算组合收益率的均值和组合收益率的方差来衡量一个投资组合的优劣，当然了，收益率是一定时间内投资组合的增长率，也可能是一个负数，表示负增长，运用的原理是，在方差一样的情况下，我们希望预期收益率越高越好，而收益率一样的时候，我们希望方差越低越好，因为高预期收益率是件好事，如果一个投资组合的预期收益率有，那就比一个只有10%的投资组合要好，但另一方面，你不想要高水平的方差，因为它代表风险，因此这两个参数都很重要，事实上，为了获得高的预期收益率，人们愿意承受的风险也会不同，但归根结底大家都会同意这一点，这是一个前提，当你比较两个有相同方差的投资组合时，你会选择预期收益率高的那一个，比较两个有相同预期收益率的投资组合时，你会选择方差小的那一个，这样讲清楚吗，好的，我们来讲一下，干脆我讲得更直白一点，假设我们现在有很多只不同的股票，可以放进我们的投资组合里，同时假设它们都是相互独立的，也就是说它们之间没有相关性，我们在第二节课的时候讲过这个概念，它们之间没有相关性，也就是说...方差...，我想讲一下，权重相等的投资组合[等量加权投资组合]，假设我们有n个相互独立的资产，假设是股票，每一项资产的收益率标准差为σ，我们假设这些资产的收益率标准差均相等，r是这些资产的预期收益率，再介绍一下平方根定律，说的是，投资组合的标准差，等于其中一项资产的标准差，除以n的平方根，后面的同学看得清吗我写得够大吗，刚能看清好吧，这是一个特例因为我假设了，这个投资组合里的资产是相互独立的，但现实中通常都不是这样的，或许这有点像保险，在人寿保险中，每个人的死都被假定为相互独立的，如果将保险转化为投资组合管理的问题，你会发现原理是一样的，在这里我假设了一个特例，即一个各项资产权重相等的投资组合，这一点要特别注意，看看这个简单的数学表达式，这个投资组合的收益率是r，标准差是σ除以n的平方根，σ/√(n).，如果现实中也这样简单的话，那么你就尽量增大n，这样就能让投资组合的标准差，就会大大降低，从预期收益率的角度来看，这样做的成本是零，在这个简单的假设中，n 取100或者1000，任意数值都可以，假设你能找到一万项相互独立的资产，那么你就可以将这个投资组合的风险，降到几乎为零，因为一万的平方根是一百，无论这个投资组合的标准差是多大，当除以100后就都变得很小很小了，如果你能找到这样的一些资产...，一些相互独立的资产，就能很大程度上缩小这个投资组合的方差，这就是投资分散化的基本原则，也是投资组合经理们一直应该在做的事，现在我要从这个特例引申开来，扩展到一些真实的案例中去，在现实世界中，资产通常是不相互独立的，不同的股票会同时涨跌，现实世界并不像我刚才说的那么理想，但在某种程度上这种现象还是存在的，所以同样也要考虑多元化的问题，现在我要建立这样的一个投资组合，在这个组合里各项资产并不是相互独立的，而是相互关联的，我现在要做的是...，让我们从案例开始，接下来的情况会比刚才的复杂一点，因为我们去掉了"相互独立"这一前提假设，我还想做出一些改动，即这些资产的预期收益率，是各不相同的，方差也是不同的，我们来分析一个包括两项资产的投资组合，即n等于2，这两项资产不是或者不一定是相互独立的，第一项资产的预期收益率是r1，这回两个r是不等的，刚才的例子中，我假设它们是相等的，这是第一项资产的预期收益率，r2是...抱歉弄错了，σ1是第一项资产的收益率标准差，同理对第二项资产，r2是它的预期收益率，σ2是它的收益率标准差，以上就是我们分析所需要的信息，还有我说过它们不是相互独立的，因此我们还需要讨论两个收益率的协方差，这里有一个r1和r2之间的协方差，你也可以叫它σ12，这些就是我们分析所需要的信息，我们现在要做的是，计算这个投资组合的均值和方差，或者均值和标准差，因为标准差的平方就等于方差，这对任何投资组合都是一样的，我要将我们刚才的简单特例，变得更普遍适用一些，现在我们假设这两项资产的权重并不相等，我们要投入x1块钱，假设我们有一美元可以用于投资，这个数额的大小可以随意，没多大关系就假设是一元钱，现在我们要在第一项资产上投资x1块钱，剩下的1-x1块钱投资到第二项资产，因为总共有一元钱资金，x1并不一定要是正数，你们应该了解，资产的数量可以为负，我们把这称为做空，你可以打电话给你的经纪人说，我要做空一号股票，经纪人就会在你的名下赊入这些股票，然后卖掉，这样你就拥有数量为负的股票了，因此...x1可以是任何数字，等于1-x1 x1加x2等于，现在我们要算一下，这个投资组合的均值和方差21100:14:00,520 --> 00:14:03,540都是些很简单的运算，只需运用我们之前讲过的知识，我要把这些擦掉了，投资组合的均值和方差取决于x1，如果你令x1=1，投资组合的均值方差就与第一项资产相等，如果你令x1=0，那么它们就会与第二项资产的参数相等，但如果是在0和1之间的其他数值，这个投资组合的均值和方差将会是，两项资产各自的均值和方差的综合结果，这个投资组合的预期收益率是这样算的，对xi和ri的乘积累加i取1到n，在这个案例中n等于，所以我们得到x1r1+x2r2，即x1r1+(1-x1)r2，这就是这个投资组合的预期收益率的计算，投资组合的方差是这样计算的，σ2代表投资组合的方差，它等于[公式如下]is σ2 = x12 σ12 + x22 σ22 + 2x1 x2 σ1，这是计算投资组合方差的公式，这是个函数...既然投资总额是，也可以写成[公式如下]I can write this as x12 σ12 + (1 - x1)2 σ22 + 2x1 (1 - x1) σ12，由此我们得出...，可以是任意值，可以是从负无穷到正无穷之间的任何数值，运用这些公式则给定任何数值的x1，我们都可以计算出r和σ2，根据这些数据我就能知道投资组合盈利的可能性有多大了，现在我们要解出r和x1的关系等式，然后改写第二条等式，用r来表示σ2，这样投资组合的方差就变为，关于预期收益率的函数，现在我们先解出用r表示x1的关系等式，这里应该是x1...这里我写错了，从第一条等式可以得出r-r2=x1(r1-r2)，所以x1=(r-r2)/(r1-r2)，把这条式子代入到下面这条等式里，这样我就得到投资组合方差的，关于预期收益率r的函数，这就是我们用到的基本运算，从这个式子里，可以得到所谓的有效边界，我在屏幕上举了一个例子，它还说明了一些其他东西...，我们现在还是不要...，可能我一下子讲得太多了，画成图形更直观一点，我已经画出来了大家看上面屏幕上面显示的是...，有两种资产，y轴表示预期年收益率r2，x轴表示投资组合的方差，可以得到...对不起，是投资组合收益的标准差，曲线大致是这样的有点像是双曲线，这里是最小方差投资组合，这里σ取到最小值，在这条曲线上还有许多，其它可能的投资组合，曲线上有许多点，这些点表示初始资产，例如这个点表示一号资产，这里这个点表示二号资产，根据资产的预期收益以及收益的标准差，可以看到我们有更好的选择，这里的方差值比以上两种方案都要低，我刚刚举的相同权重的例子，表示两种资产，有相同的预期收益和相同的方差，但这种情况更加普遍一些，这就是预期收益和有效边界问题，我用真实的数据做了一个案例，请看上方的屏幕，粉色线包含两种资产的投资组合，一个股票另一个是债券，实际上是政府债券，我计算了来自不同组合有效边界...，这一条有效投资组合边界，就是用刚刚给出的公式算出来的，这条粉色曲线就是有效边界，这个投资组合只包括了股票和债券，你可以观察不同的点，我用从1983年到2006年的数据，代入我们刚教授的等式，进行了计算，我计算了那个时间段的股票平均收益率和债券平均收益率，这些是长期政府债券，由于它们是长期的，就存在不确定性和变化性，我计算了σ1 σ2 r1和r2 ，代入我们刚刚展示的公式，得到了这条曲线，它是投资组合的收益标准差，关于预期收益率的函数图像，我可以得到任意组合...，可以任意分配投资组合中，各种投资的比重，粉线上的这一点，是一个100%债券的投资组合，在这个时间段，这个投资组合的预期收益率是，9%多一点，标准差是9%多一点，这个点是100%股票的投资组合，这个投资组合的平均收益率，或者说预期收益率要高得多大概13%，但同时它的标准差也高得多，大约是，这些都是两种单一资产的投资组合，表示投资者只投资了债券或者只投资了股票，同时我在这里也展示了其它可能性组合的收益，风险最小的投资组合在这一点取到，这个组合预期回报的标准差最小，在这一点上投资组合由25%的股票和75%的债券构成，还可以尝试其它组合，这一点粉色曲线上我指的这一点，表示50%的股票50%的债券，你也可以往上看，可以取到超过100%的股票，在投资组合里你可拥有150%的股票，那表示你有一个杠杆化的投资组合，你可能透支了，比如你有1美元进行投资，你可以透支0.5美元，投资价值1.5美元的股票，那就会落在这个点上，你可能有非常高的回报，但你的风险也增加了，借钱买股票是有风险的，你也可能选择一个下面的点，表示超过100% 的债券，这是如何做到的呢，你可做空股票，卖空价值0.5美元的股票，购买价值1.5美元的债券，这样就落在这一点上，以上这些都是有可能的，都是刚刚讲到的简单计算，在这种情况下你会怎么做呢，假如你是一个投资者你不喜欢风险，你不会选择这里以下的任意一点，因为你的回报不是最优的，上面这一点会使你有更好的回报，你的预期收益率提高了但风险没有增加，这是不是有点复杂了呢，我们从一个简单的想法开始，你不想把所有的鸡蛋放入一个篮子里，如果你有许多互相独立的股票，你给它们相同的权重，但是现在你可以看到很多可能的投资组合，你决定的投资组合的结果，可以是这条线上任意一点，我不是教你怎样去组合当然了，你不会选择一个，曲线上最小方差点以下的资产组合对吧，如果你选了你就总是处于劣势，你总是可以找到一个投资组合，具有较高的预期回报，而标准差不变，进一步若仅限于投资股票和债券的组合，选择哪个组合，取决于个人的兴趣，这就是有效边界，可以选择从这里到这里的任意一点，取决于你对风险的承受能力，和你的期望回报，现在我们再看看三种资产的情形，当然还可以有超过三种资产的情况，相同的公式可扩展到多个资产的组合，事实上假如我们拥有三种资产，我们想计算有效边界，及投资组合的均值和方差，上面的图形是我已经算好的，三种资产的有效投资组合边界，图表里n=3表示股票债券和石油这三类资产，石油是一种重要的资产，我们想计算..，现在我们有许多参数，这些参数...，r1 r2和r3是三种资产的预期收益率，然后我们还有三种资产，收益的标准差，我们还有三种资产，两两相互之间的协方差，它们是σ12 σ13和σ23，这些都是计算三种资产的有效边界，所需要用到的，为了制作这张图，我计算了从1983年以来每年的股票，债券和石油的收益从而得出平均收益率，这些平均收益率作为预期收益率，然后算得标准差及协方差，这些就是计算要用到的所有的变量，把它们代入第二节课，讲过的公式中去，投资组合的预期收益率是什么，要计算投资组合的预期收益...，我们必须确定三个值x1 x2和x3，x1表示投入资产1的金额，x2表示投入资产2的金额，x3表示投入资产3的金额，约定他们的和为1，这个投资组合的收益是[公式如下]，这个投资组合的方差是，[公式如下]σ2, is x12 σ12 + x22 σ22 + x32 σ32 --，然后我们还要加上协方差，[公式如下] 清楚吗+ 2x1x2 σ12 + 2x1x3 σ13 + 2x2x3 σ23，这样就将前个公式推导为三个资产的情况，显而易见，你们可以将其运用到四个乃至更多资产的情况下，这只是对原始公式一个推导罢了，在这张图表中，我计算了有效边界，蓝色线表示三种资产的组合43300:30:55,360 --> 00:30:57,510现在一旦你有超过三种..，超过两种资产，就有可能取到边界里面的点，但在这里我说的是，边界表示了三种资产最好的组合，可以看到这条蓝色曲线在粉色线之上，当你增加一种资产，有三种资产的时候，投资组合的表现会比两种资产时更好，因为三种资产相比两种资产的情况，可选择的投资组合更多，石油债券和股票都是互相独立，一定程度上独立不是绝对的独立，但一定程度上独立，可以使方差值变小，降低风险，可以看到蓝线比粉线好，原因是对于任意的预期收益率，蓝线都在粉线的左边，对吧，例如，在年预期收益12%的情况下，我有股票债券和石油的投资组合，在这个组合里，我的投资组合可以取到8%的标准差，但若组合里只有股票和债券，我的标准差会高得多，大家都明白了吗，投资组合管理总的原则是，不同的资产越多则组合越佳，你想得到...，如果不断增加资产，组合的标准差就会越来越小，你们可以看到我在蓝色曲线上标出了几个点，这一个我们来看看，这个投资组合，包括有石油，股票，没有债券，这个最小方差的资产配置是9%的石油，27%的股票和64%的债券，而大部分...你可以有许多选择，首先这里的思路是，为了管理投资组合，我们需要计算各种统计量，包括各种资产的预期收益率以及各种资产的标准差，还要知道它们的协方差，因为这对投资组合的风险有影响，共变的趋向越大...它们一同增减..，风险越不会抵消，所以总的来说你可以从这里看出，协方差越大，投资组合的σ2越高，清楚吗，我们还可以再做一件事，这里有三种资产，有股票债券和石油，我还想再增加最后一种资产，我们称之为无风险资产，这种资产.，由于长期债券持有期限很长，存在一定不确定性及风险，如果我们可以查看各项资产的年度收益，我们可以找到一个零风险，且达到预期年度收益的资产项目，也许是一年期的政府债券，假设我们信任政府，假设美国政府从未拖欠债务，可以把它当作无风险回报，它可能存在一定的风险，但在金融学上，我们忽略其风险，将政府债券看作无风险50100:34:45,190 --> 00:34:47,340根据政府的期望收益率，我们将其作为第四种资产，可以称之为r4 我们写成rf，这是个特殊的资产，rf表示无风险资产，则σf=0So，如同第四种资产，我们将利用这个资产的特性，即无风险特性，此外它们之间的相关性，它与前几个变量的协方差例如σ1f均为0，公债是没有风险的是稳定的资产，如果我们将其加入到投资组合中去，则会生成一条资产组合的有效边界，即一条直线，我在图里把它画出来了，你所能得到的最佳资产投资组合，就是这条线上的一系列点，那是计算有效资产组合所得到的最终结果，我要重申的是我并不打算，进一步讨论这个问题，因为我并不打算在这上面花太多的时间，我想在课程的复习环节里，你们的助教会对此进行详细的说明，现在这里有一个非常重要的原则，即你总是想要降低你投资组合的方差，降得越低越好，那意味着你会最终会在这上面选一个点，这条直线是与有效边界相切的，后者包含了所有的资产组合，相切意味着斜率相同，它与包含风险资产的有效边界，交与一点，而包含无风险资产的，有效边界，则是一条过切点的直线切点在这里，这就是...我想数学就讲到这里吧，我之前讲到的内容，是怎样对你的资产管理精打细算，你所要做的如果你是一个资产经理，你要做的事情就是，对公式里面的一些参数进行估计，那些参数包括预期收益标准差和协方差，你需要对所有的风险资产进行分析，首先要得到它们的..，你必须要做一个统计分析，算出它们的预期收益率方差，和它们的协方差，当你明确了这些参数后，就可以算出没有无风险资产情况下的，有效边界了，在最后最终的步骤是找出一条，穿过无风险收益率的切线，无风险收益率并没有在图上显示出来，它经过标准差为0和收益率5%这一点，然后切线与风险资产的有效边界，交于一点，然后从那里起它高出其它的有效边界，即在方差相同的情况下有更高的期望收益，这就是最优投资组合理论，还要说的是一个基本的原则，就是它将我们导向，本课程的经久不衰的话题，即只有一种切线投资组合，而那投资组合就叫做切线投资组合，画出来的话它是一条从风险，穿过x轴上的无风险利率点，与有效边界相切的直线，切点投资组合就是我们应该持有的投资组合，切线投资组合引申出，金融学里的的共同基金定理，即所有的投资者只需要持有一份共同基金，现在我还没有给共同基金下一个定义，共同基金是一种投资手段，允许投资者持有一种投资组合，共同基金定理是指，所有人都应该持有，理想的共同基金定理说..，都应该持有这种切线投资组合，那么为什么我们不设立一家公司，专门创造这样的投资组合，然后投资者们再将这些投资组合买进呢，什么是...如果我的分析正确...就是说，如果我以上进行的估计都是正确的，关于股票债券石油的期望收益，它们的标准差和协方差的估计都是正确的，并假设利率是5%，就如我在这里假设的，则这根直线在x取0的时候过y的5%这一点，它在竖轴上的截距为5%59300:40:51,950 --> 00:40:56,020所有人都应该持有切线投资组合，这个案例中的切线投资组合又是什么呢，是12%的石油36%的股票和52%的债券，这就是用这个取样期间的数据得出的结果，有人也许会不同意我的观点，他们可能不采取我的估计值，他们可能说我的采样周期是有问题的，不过我的结果都是靠理论..，我采用自己收集的数据计算出..，预期收益和协方差可以用来指导我们的投资行为，共同基金定理声称所有人都应该以这样的投资比例进行投资，而且该理论接下来.，它并没有给个人自由选择留下多少空间，除非你能够自己选择想要的共同基金与无风险资产的组合，有些极度惧怕风险的人可能会说，我只想持有那些没有风险的资产，因为我压根就不想跟风险打交道，那种人..，我也许该把种情况也包含到图里的，他能够获得5%的无风险收益，而另外的某些人可能会说，我就想按这个点的比例来持有投资，我想持有切线投资组合，它对我颇具诱惑，因为我可以得到更高的期望收益，我每年都可以获得12%左右的收益，但我需要冒险...，这个组合的标准差大概是8%，不过如果我对收益非常渴望，而且我并不完全排斥风险，那么...而且那正好是我想要的，那么这就是你的最佳选择，其他的人可能会说你知道的，我就是一个投机商我不怎么在乎风险，我只想要更高的收益，那样的人可能会在这里选一个点来投资，那就是一个有...这是个杠杆投资组合，在这种组合里，你可以以无风险利率借贷到一些资金，从而可以投入比你本金更多的资金，来购买切线投资组合，你所做的就是这么说吧，你用手上的1美元借来了50美分，然后以这1.5美元购买投资组合，其中包含9%的石油，27%的股票和64%的债券，所有人都会这么做，没人会选择其他的投资组合，因为你们可以看到这条线是最低的...，你希望他越靠左越好，你希望在期望收益固定的情况下，你肯定希望将标准差最小化，而这条线是最左边的线，这就意味着所有人，都愿意持有这样的投资组合，我在计算过程中并没有做太深入的分析，我只是用我的数据做了一下大概的估计，我再说一次我们可以，如果有人想就这个问题与我们争辩，他们可以争论我对期望收益的估计，或是争论标准差和协方差的估计值，但并不会针对理论本身，这个理论是非常严密的，如果你赞同我的估计值，那么作为一个投资者的话你应该这么做，你应该只持有，符合这个切线投资组合比例的投资，即9%的石油27%的股票和64%的债券，你们都弄懂这个结论了吧，开始的时候我讲了等权重的..，我开始时讲了股票，几支拥有相同方差的股票，彼此间相互独立，不过我已经放弃了那个假定，我现在假定，我们需要考虑它们彼此间的相关性，它们有着不同期望收益，不同的协方差和方差，这是我们所学到的，这是一个著名的框架，我认为这张图表，是金融学理论中最有名的一幅图了，也是第一幅理论图形，这幅图是我根据自己的数据画出来的，有效边界的图形大致就是如此，随着人们采用不同的估计值，其位置会发生微小的变化，实际上这幅图我是公开展示过的，我跟我的同事去了挪威，其实我还有两张照片，那是我的同事罗内特·沃尼和我，这张照片摄于奥斯陆的国会大楼前，我们去挪威与挪威政府，讨论他们的投资组合，这是一张我放给他们看的幻灯片，我还给他们展示了刚刚给你们放的幻灯片，就是展示最佳投资组合的那张，然后我查看了挪威政府现在的资产状况，挪威政府拥有大量的养老基金，在2006年其数额，是两万亿挪威克朗差一点，不过他们还拥有北海油田，如果你知道的话，它是由英国与挪威共同开发的，挪威的人口比英国的要少得多，而且他们在北海拥有大量的石油，我计算了当时他们拥有的北海石油的价值，这是我的计算结果，它价值35亿挪威克朗，[注释:此处应为3.5万亿老师口误了]，你们看出其中的差别了吗，实际上挪威政府所持有的资产中，大概有三分之二的石油和三分之一的政府养老基金，这部分政府养老基金，换算成美元我估计大概值2000亿，他们管理着一大笔钱，不过我试图说服他们，采取一些措施来应对他们手里石油的风险，因为他们过于侧重在石油上的投资，那运用有效边界分析会如何呢，他们的投资组合里包含64%的石油，那会使他们位于图上的什么地方呢，其实它已经到图的外面去了，这图上离原点最远的点包含28%的石油，这已经到了图上那里了，因此如果他们...如果你们想的话，那一点会在哪儿，它就会在那里图外那一带的某个地方，挪威政府做的不对的地方就在于...，这引起了一些。

耶鲁公开课笔记3

美国耶鲁大学网络公开课《金融市场》视频笔记3耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第3课] 金融中的技术与发明（时长1小时14分）开课伊始，希勒先对前两次课做了重点回顾。

第一次课的主题是金融界的道德目标和使命，谈了年轻人对金融行业的一些偏见，认为进入金融界的人都是金钱至上，而不尊重他人。

希勒再次重申，他的看法截然不同。

希勒说，他昨天刚在蒙特利的魁北克投资集团作了一个演讲，该投资集团是魁北克省的一家大型财产管理基金机构，在那里见到了很多人，并没有感觉到任何罪恶或者贪婪的气息，（笑）。

希勒认为他们都有一个共同的道德目标，要保护魁北克省居民的生活。

只有亲身面对这些人，就会得到对事情的非常不同的看法。

希勒觉得，娱乐行业喜欢制作的一些金融界人士的影片，总将他们描绘成邪恶之人。

（笑）也不知是为什么。

好像没有哪部主题影片表演一位金融界人士最终成为慈善家的，这是为什么呢（笑）？人们不喜欢而宁愿去厌恶，真不明白是因为什么，（“金融界人士成为慈善家”）不是好的电影主题吗？希勒呼吁学生们要克服这种偏见，建议学生们换一种想法，即，如果你进入金融界，你成功了，你最终就会成为慈善家。

但是，不会有电影记录你的人生（笑），而且在人生道路上，你可能会遭受敌视。

特别是在目前的次贷危机中，更是如此，人们都把所遇到的麻烦归罪到金融界，人们确实在看到，有些人被赶出自己的房屋，在某些案例中，由于一些相当可疑的金融操作，让人们做了本不该做的抵押贷款。

但是，希勒认为，总体而言，从事金融业的人士是好人（good people）。

在第二次课，讲了风险汇聚和分摊，主题是数学理论即概率论。

学了概率论，可以意识到，概率论提供了非常重要的技术，即通过分散风险，能够提高人类的福利。

经济、技术、气候等等所有各种因素都会引起风险，但是，真正的技术是用于减轻风险，通过汇聚风险，将其分散出去，由许多不同的人们来分担。

耶鲁公开课笔记之二

美国耶鲁大学网络公开课《金融市场》视频笔记1耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第1课] 金融和保险在经济和社会中的强大作用（时长1小时14分）希勒教授上来就通报自己姓氏，随即介绍本课程的5位助教，都是来自世界各地的博士生，希望由此能有助于本课程的国际化视角，因为金融行业关系到世界各个国家，并不是仅仅局限于美国国内。

这5名助教分别来自巴基斯坦、美国（印度人）、加纳、中国（2位女生），都在作着不同的经济学题目。

希勒教这门课已经20多年了，他很为自己的毕业生而骄傲，很多毕业生都在金融领域工作。

希勒常出去做讲座，当在华尔街或世界其他地方讲座时，他就会问到，“你们有谁上过我的课吗？”有时会有一、两个人举手，说上过他所教的经济学252号课程，希勒就非常高兴。

希勒同时调侃到，他也为那些上过他的课，但没在金融领域工作的毕业生自豪。

希勒认为，《金融市场》这门课，不仅是为立志从事金融业的学生所开设，因为金融是一门很重要的技术（important technology），要理解现实世界发生了什么，了解金融知识是很重要的，因为人类的任何行为都与金融有关。

“我想做个诗人，跟金融有关吗？”希勒举例说明，“作为一个诗人，你想发表诗作，就得和出版商谈谈，他们会说自己的财务状况，看你是否适合在他们公司出版，”这就理所当然地与金融有联系啦，这是非常重要的。

《金融市场》这门课不是为就业所设计的课程，并不集中探讨业务知识，而是一门关于事件实际运作的智慧课程（an intellectual course about how things really work）。

希勒认为金融是所有发生诸多事件的基础，是蕴含在各种现象之中的一股强大力量。

他希望能通过本课程将其描绘出来（I hope we can draw that out in this course）。

耶鲁金融市场第6课

美国耶鲁大学网络公开课《金融市场》视频笔记6耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第6课] 有效市场与过度波动之争（时长1小时8分）本课主题是有效市场假说（Efficient Markets Hypothesis）。

上节课讲的是保险业，介绍了保险的理论、保险业历年来怎样演进的、是如何产生出一些实际的好处。

希勒在讲课时，尽力将这些内容结合已经发生或将要发生的形成重大事件的保险业亮点来讲述，由此指出保险机构的优势和弱点。

几年前，新奥尔良经历了一场严重的飓风，这场称为卡特里娜的飓风狂袭了这座城市，（希勒在开始讲的是洛杉矶，在意识到说错之后，笑着说，当我说得明显错的时候，你们要制止我呀，我的大脑有时也会失误的，呵呵~~，应该是新奥尔良，据我所知，洛杉矶是不会担心飓风的~~呵呵~~，除非气候剧变啦~~。

）在新奥尔良，卡特里娜飓风摧毁了城市周围的堤坝，造成洪水进城。

主要是什么救助了城市的人们呢？应该说，就是保险机构。

由于城市受到严重损坏，而房屋基本都有保险。

每当这种巨大的灾难降临，就会产生一些争议，一些人有风暴险，一些人有水灾险，这就成为难题，即灾难是风暴还是水灾？（笑）因为风暴引起了水灾，那么，如果只有风暴险，能包括在内吗？随后引发了大量的争吵和辩论。

然而，实际运作挺好的。

在灾难过后，客户满意度调查表明，总体而言，人们对所选择的保险公司是满意的，当然，也有不满意的，就是那些没有包括在内的人们。

但对于整体来说，实际运作良好。

在上节课中，还有一个内容，就是随着金融进步的持续发展，保险与风险管理的其他形式就会变得几无区别。

正在发生着一件非常有意思的事，就是我们开始看到，已经有了另外一种（避险）机制，称为巨灾债券（Catastrophe Bond）。

这是人们应对巨大灾难保护自己的另一种方式，而这不是保险。

耶鲁公开课笔记五

美国耶鲁大学网络公开课《金融市场》视频笔记5耶鲁大学网络公开课《金融市场》由罗伯特.J.希勒（Robert J. Shiller）教授主讲。

共26课（集），每课时长均为一个多小时，配有字幕。

[第5课] 保险:典型的风险管理制度（时长1小时15分）本课内容是保险（Insurance），这是另一种风险管理工具。

习惯上，保险与上节课讲的证券业相互独立，但在基本原理上完全相同。

先请大家回顾一下证券业多元化的情况，再引入到保险问题。

为此，先简要回顾上节课的内容。

（在上节课）讲了（投资组合的）核心理论框架，即均值-方差理论；由此引申到资本资产定价模型，而基本的是要求大家运用这些框架。

首先，必须形成估算值，即各项资产的预期收益率r、各项资产收益的标准差、各项资产收益之间的协方差；其次，将估算值代入上节课讲的公式中，得出投资组合的标准差、预期收益率。

通过以上过程，如果大家认可了这些分析，认可所有的假设，认可由此所得的估算值，就能很好地知道如何构建投资组合。

这些估算值可能与你的信念或你的直觉不一致。

上节课还提到，在股票市场的预期收益率与短期债券预期收益率之间，似乎存在着一个巨大的差异，即发现了股票溢价，在西格尔书中给出，股票溢价为每年4%。

有些人们觉得难以置信，一项资产怎么能比另一项资产在一年多出4%呢？有些人会说，若果真如此，那我就只投资那一项资产了，我为何还要去做那些收益欠佳的事情呢？西格尔更进一步地说明，自从19世纪中期以来，没有哪一个30年的周期发生过股票收益低于债券的情况。

所以，股票确是如此。

如果任何一个人的投资周期为30年，那你会想，为什么要持有债券呢？由西格尔产生的数据似乎表明，股票市场（的收益）有如此难以置信之高，这就是股票溢价之谜。

“股票溢价之谜”是经济学家普雷斯科特（Prescott）和梅拉（Mehra）杜撰出来的术语，现在被普遍使用。

1这个术语只是表明，股票（收益）远超于其他各种投资（的收益）。