金融学课件第12章

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金融市场(第十二章)

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第三节
所以有这样的结果是因为投入的金额固定，在股票价格低的时候可以买进较多的股票，在股票价格高的时候只能买进较少的股票．
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第三节
采用成本均分计划的前提是股票价格发生较大的波动。如果股票价格保持不变，股票的平均成本将等于股票的平均价格。
成本均分计划的特点是风险不大，收益也不大。
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第三节
２、固定金额计划投资者分别买进股票和债券，但保持股票金额不变。假定某投资者支出6000美元购买股票和债券，并保持股票金额为5000美元，债券的价格不变。
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第三节
时期１２３４５６
股票价格 20 25 25 20 20 25
股票数量 250 200 200 250 250 200
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第二节
旗帜形
买
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第二节
头肩形
买
卖
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第二节
缺口
普通缺口
突破缺口
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第三节股票投资方法
一、股票种类的选择 1、收益型和增长型股票的选择如果投资者希望得到较高的股息，他应该选择市盈率低的股票；如果投资者希望获得长期差价，他应该选择虽然市盈率偏高但公司利润增长很快的股票。
买进数量 25 50 40 20 25 50
投资额 1000 1000 1000 1000 1000 1000
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第三节
股票的平均价格 =（40+20+25+50+40+20）÷ 6 = 32.5

《金融学》(清华大学出版社)PPT演示课件

对Finance解释：Monetary affairs，management of money，pecuniary resources…；前加public指财政；加company、加corporation ，加 business，指公司财务。
简言之，凡与钱有关的都可用Finance这个词。显然，这属于 “宽”口径。但其宽度却是宽口径的金融所难以比拟的。此外， Finance还有金融学的含意。
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第一章金融导论
【专栏1－1】
（三）西方对Finance的用法还有介于两者之间的口径，如：The system that includes the circula- tion of money，the granting of credit，the making of investments and the provi- sion of banking facilities(1986年Webster’s Third New international Dictiona- ry)。其范围与我们的宽口径相当。
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第一章金融导论
【专栏1－1】
（三）西方对Finance的用法 Palgrave新经济学词典对finance释则是：The primary focus of finance is the working of the capital market and the supply and the pricing of capital as— sets．中文译本是 “金融学最主要的研究对象是金融市场的运行机制，以及资本资产的供给和价格确定”。中文金融的窄口径即源于此。
系的货币供给，银行与非银行金融机构体系，短期资金拆借市场，证券市场，保险系统，以及通常以国际金融概括的这诸多方面在国际之间的存在，等等。而狭义金融是指有价证券及其衍生物的市场，指资本市场。

金融学课件PPT李健第三版第12章：金融监管

宏观金融风险；中观金融风险；微观金融风险
按照风险的来源
内源性金融风险；外源性金融风险
金融风险与金融监管的关系
金融风险需要通过监管来降低风险；但金融监管也有可能引发新的金融风险
金融创新与金融监管的关系
金融监管催生了金融创新金融创新对传统金融监管提出了挑战 ⚫ 金融创新使金融机构所面临的风险加大，难以识别与计量 ⚫ 逃避监管的创新加大了金融监管的难度 ⚫ 金融创新促进了金融监管的演进与创新
了解宏观审慎政策与货币政策的“双支柱”调控框架
⚫货币政策和宏观审慎政策都具有宏观管理的属性，虽各有侧重点，但都是为了维护金融稳定，有利于解决我国经济金融运行中的突出问题。 ⚫货币政策的实施与传导需要稳健的金融体系；宏观审慎政策的落实需要有货币政策的协调配合，两者可以相互补充和强化，共同维护金融体系稳定。 ⚫双支柱调控框架的关键是建立货币政策和宏观审慎政策协调配合良性互动的体制机制，完善“双支柱”的同时还需要创造良好的市场环境，疏通传导机制
第12章：金融监管
金融监管的必要性
金融体系的正效应 ➢ 金融是经济的核心，在资源配置中起着重要作用，具有特殊的公共性和全局性 ➢ 维护金融秩序，保护公平竞争，可以提高金融效率 ➢ 金融监管是实施货币政策和宏观调控的保障，金融安全是国家经济安全的核心
金融体系的负效应 ➢ 金融业是一个存在诸多风险的特殊行业，由于经营的对象特殊性、关系特殊性、方式特殊性导致风险贯穿始终，金融运行具有内在的不稳定性。同时因存在信息不完全、不对称可能转嫁风险，而一旦出险又会引起连锁反应，基于金融关系的普遍性造成大范围的破坏性和灾难 ➢ 金融体系对经济体系的负外部性很强，金融业的相对垄断经营可能使企业或消费者支付了额外的成本费用却又无法获得相应的补偿，尤其是风险外溢不仅造成微观经济主体的损失，而且引发的系统性风

2024年度-精品课程《金融学》PPT课件(完整版)

富增值。
金融市场的构成与功能
货币市场
短期资金供求的场所，包括同业拆借、回购协议等短期金融
工具的交易。
资本市场
长期资金供求的场所，包括股票、债券等长期金融工具的交易。
外汇市场
进行外汇买卖的场所，涉及汇率的变动和风险管理。
衍生品市场
进行金融衍生品交易的场所，如期货、期权等。
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金融机构与金融市场的互动关系
精品课程《金融学》 PPT课件(完整版)
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目录
• 课程介绍与教学目标 • 货币与货币制度 • 信用与利息 • 金融机构与金融市场 • 货币供求与均衡 • 中央银行与货币政策 • 国际金融与汇率制度 • 金融创新与金融监管
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课程介绍与教学目标
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课程背景与意义
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金融学在现代经济中的重要地位
金融学作为研究资金融通和货币信用活动的学科，在现代经济中发挥着
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金融监管的原则与方法
依法监管原则
金融监管必须依据法律法规进行，确保监管的合法性和权威性。
公正公开原则
金融监管应公正对待所有市场主体，公开监管标准和程序，保障市场公平竞争。
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金融监管的原则与方法
• 风险为本原则：金融监管应重点关注金融机构的风险状况，采取针对性措施进行风险防范和化解。
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金融机构是金融市场的参与者，通过金融市场进行资金筹措和运
用。
金融市场为金融机构提供了交易平台，促进了资金的流通和资源
的优化配置。
金融机构和金融市场的互动推动了经济的发展和繁荣。
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货币供求与均衡
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货币需求理论与实证
货币需求理论

《金融学》课件超级完整版

《金融学》课件超级完整版
《金融学》课件超级完整版
金融学是一门涵盖广泛领域的学科，从投资策略到资本市场，从金融创新到风险管理，它对于理解我们的经济和金融市场至关重要。

在这个课程中，我们将深入探讨金融学的各个方面，为大家提供一个全面而深入的金融学知识体系。

第一部分：金融学基础
1.1 金融学的定义和目标 1.2 金融市场的基本组成 1.3 金融工具和资产管理 1.4 金融风险和风险管理
第二部分：资本市场和投资策略
2.1 资本市场的概述 2.2 投资组合理论 2.3 资本资产定价模型2.4 效率市场假说
第三部分：金融机构和金融市场
3.1 金融机构的作用和类型 3.2 金融市场的功能和结构 3.3 货币市场和资本市场 3.4 衍生市场和外汇市场
第四部分：金融创新和风险管理
4.1 金融创新的概念和类型 4.2 风险管理的基本原理 4.3 衡量和
管理市场风险 4.4 衡量和管理信用风险
第五部分：金融学应用
5.1 个人金融管理 5.2 公司金融管理 5.3 国际金融管理 5.4 未来金融学的挑战和机遇
总结：
通过这个课程，我们深入探讨了金融学的各个方面，从基础概念到应用实践。

希望这个课程能够为大家提供一个全面而深入的金融学知识体系，帮助大家更好地理解金融市场和投资策略，更好地管理金融风险和实现个人金融目标。

也希望大家能够把握未来金融学的挑战和机遇，不断创新和发展金融理论和实践。

金融学第12章图文模板

根据国际货币基金组织《国际收支手册》(第五版)规定，国际收支平衡表由经常项目、资本和金融项目、净误差与遗漏项目构成。
(一) 经常项目经常项目是对外经常发生的，并在整个国际收支总额中占重要份额的收支项目，是国际收支平衡表中最基本、最主要的项目，主要反映一国与其他国家在货物进出口、服务提供与引进、
3．货币性因素在一定汇率下，由于国内货币供应增加、一般物价水平上升引起国际收支的失衡。例如，某个国家内部发生通货膨胀，物
第十二章国际金融
5．偶然性因素偶然性因素如政治、经济事变、严重自然灾害等，会影响一段时期内的国际收支平衡。 (三) 国际收支失衡的调节方式国际收支失衡的调节方式主要有以下几种： (1) 实行直接管制政策。直接管制包括外汇管制和贸易管制。外汇管制主要是对外汇买卖直接进行管制来控制外汇的供求，影响商品劳务的进出口和资本流动，以改善国际收支，诸如对外汇收支实行统收统支，收入的外汇全部卖给中央银行，控制进口用汇和出口结汇，对外汇收支进行限制等。贸易管制则是通过关税、配额、许可证制度等经济与行政的手段来直接控制进出口，以调节国际收支，缩减贸易逆差。 (2) 实施财政货币政策。当一个国家由于总需求过度而引起
第十二章国际金融
中美贸易摩擦随着中国国际收支经常项目持续顺差，中国与贸易伙伴国的贸易纠纷日益增多，其中与美国的贸易纠纷尤为严重。美方将其对中国的贸易逆差归结为人民币汇率制度，美国参议员舒默 (Charles Schumer)和格雷厄姆(Lindesy Granham)为此提出了一项议案，即“舒默—格雷厄姆修正案”。他们措辞非常严厉地说“如果中国不在6个月内让人民币自由浮动，就对中国进口的所有商品征收27.5%的关税”，并将这一提案的表决日期定为 2006年9月29日。根据美国政府公布的数据，2006年1月份，美国对华贸易逆差从163亿美元攀升到179亿美元。但是对于中美贸易逆差，中

大学《金融学》第十二章知识点归纳

大学《金融学》第十二章知识点归纳
一、金融发展与经济发展的相互作用
（一）金融发展对于经济发展的积极作用
1、金融发展有助于实现资本的积聚与集中，可以帮助实现现代化的大规模生产经营，实现规模经济的效益。

2、金融发展有助于提高资源的使用效率，从而提高社会经济效率。

3、金融发展有助于提高金融资产的储蓄比例，有助于提高社会投资水平。

（二）经济发展对于金融发展的作用
1、经济的发展使社会的收入水平不断提高，因而提高人们对金融投资和理财服务的需求。

2、经济发展形成越来越多的大企业集团，这些大的企业集团要求与其融资需求相匹配的现代金融机构为其提供服务。

二、金融压抑的定义
金融压抑，是指市场机制的作用没有得到充分发挥的发展中国家中存在的过多金融管制、利率限制、信贷配额、金融资产单调等现象。

三、金融压抑战略对经济发展和经济成长有四个负效应：
负收入效应
负储蓄效应
负投资效应
负就业效应
四、金融深化的含义
金融抑制是欠发达国家经济发展的一大障碍，要想实现经济迅速增长，就必须实现一系列的金融自由化政策，这就是所谓“金融深化”。

1。

《金融学第十二章》PPT课件

4、以纳税为基础的收入政策：对过多增加工资的
企业课以特别税款。
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下一章
2021/7/12
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定义为：价格总水平可观察（可察觉）到的上涨。
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二、通胀的测量（观察）
物价上涨幅度即物价总水平的变动。使用指标：
物价指数（Price Index）=本期物价水平/基期物价水平
通常：基期物价水平定为100（%）。
物价指数多以采样商品或劳务的价格为基础，用加权平均法计算。
名义收入和财富的增长幅度小于物价上涨幅度的阶级和阶层受损失。
名义收入和财富的增长幅度大于物价上涨幅度的阶级和阶层获利。
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（一）受害者：
工人阶级 ——“收入指数化政策”
小生产者——其产品价格受操纵
固定货币收入者——（退休人员等）
债权人
（二）收益者：
从事商业活动者，特别是投机商——哄抬物价、
（一） 1、公开型通胀（Open Inflation）：通胀动因不受限制地通过P表现出来。(市场机制发挥主要作用) 2、抑制型（隐蔽型）通胀（Suppressed Inflation）：受价格控制，通胀压力以非价格的方式表现出来。（计划机制发挥主要作用：价格“双轨”；凭票供应）
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债务人
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二、通货膨胀的经济后果
初始阶段，对经济有一定的刺激作用（通胀预期），但不会持久（过多的货币供应量会刺激总需求的增加）。Biblioteka 通货膨胀对经济的消极影响：
（一）对金融的影响
1、妨碍了货币各职能的正常发挥。

《金融学（第二版）》讲义大纲及课后习题答案详解十二章

《⾦融学（第⼆版）》讲义⼤纲及课后习题答案详解⼗⼆章CHAPTER 12CHOOSING AN INVESTMENT PORTFOLIOObjectivesTo understand the process of personal investing in theory and in practice.To build a quantitative model of the tradeoff between risk and reward.Outline12.1 The Process of Personal Portfolio Selection12.2 The Trade-off between Expected Return and Risk12.3 Efficient Diversification with Many Risky AssetsSummaryThere is no single portfolio selection strategy that is best for all people.Stage in the life cycle is an imp ortant determinant of the optimal composition of a person’s optimal portfolio of assets and liabilities.Time horizons are important in portfolio selection. We distinguish among three time horizons: the planning horizon, the decision horizon, and the trading horizon.In making portfolio selection decisions, people can in general achieve a higher expected rate of return only by exposing themselves to greater risk.One can sometimes reduce risk without lowering expected return by diversifying more completely either withina given asset class or across asset classes.The power of diversification to reduce the riskiness of an investor’s portfolio depends on the correlations among the assets that make up the portfolio. In practice, the vast majority of assets are positively correlated with each other because they are all affected by common economic factors. Consequently, one’s ability to reduce risk through diversification among risky assets without lowering expected return is limited.Although in principle people have thousands of assets to choose from, in practice they make their choices from a menu of a few final products offered by financial intermediaries such as bank accounts, stock and bond mutual funds, and real estate. In designing and producing the menu of assets to offer to their customers theseintermediaries make use of the latest advances in financial technology.Solutions to Problems at End of Chapter1. Suppose that your 58-year-old father works for the Ruffy Stuffed Toy Company and has contributed regularly to his company-matched savings plan for the past 15 years. Ruffy contributes $0.50 for every $1.00 your father puts into the savings plan, up to the first 6% of his salary. Participants in the savings plan can allocate their contributions among four different investment choices: a fixed-income bond fund, a “blend” option that invests in large companies, small companies, and the fixed-income bond fund, a growth-income mutual fund whose investments do not include other toy companies, and a fund whose sole investment is stock in the Ruffy Stuffed Toy Company. Over Thanksgiving vacation, Dad realizes that you have been majoring in finance and decides to reap some early returns on that tuition money he’s been investing in your education. He shows you the most recent quarterly statement for his savings plan, and you see that 98% of its current value is in the fourth investment option, that of the Ruffy Company stock..a.Assume that your Dad is a typical risk-averse person who is considering retirement in five years. Whenyou ask him why he has made the allocation in this way, he responds that the company stock has continually performed quite well, except for a few declines that were caused by problems in a division that the company has long since sold off. Inaddition, he says, many of his friends at work have done the same. What advice would you give your dad about adjustments to his plan allocations? Why?b.If you consider the fact that your dad works for Ruffy in addition to his 98% allocation to the Ruffy stockfund, does this make his situation more risky, less risky, or does it make no difference? Why? SOLUTION:a.Dad has exposed himself to risk by concentrating almost all of his plan money in the Ruffy Stock fund. This is analogous to taking 100% of the money a family has put aside for investment and investing it in a single stock.First, Dad needs to be shown that just because the company stock has continually performed quite well is no guarantee that it will do so indefinitely. The company may have sold off the divisions which produced price declines in the past, but future problems are unpredictable, and so is the movement of the stock price. “Past performance is no guarantee of future results” is the lesson.Second, Dad needs to hear about diversification. He needs to be counseled that he can reduce his risk by allocating his money among several of the options available to him. Indeed, he can reduce his risk considerably merely by moving all of his money into the “blend” fund because it is diversifi ed by design: it has a fixed-income component, a large companies component, and a small companies component. Diversification isachieved not only via the three differing objectives of these components, but also via the numerous stocks that comprise each of the three components.Finally, Dad’s age and his retirement plans need to be considered. People nearing retirement age typically begin to shift the value of their portfolios into safer investments. “Safer” normally connotes less variability, so that the risk of a large decline in the value of a portfolio is reduced. This decline could come at any time, and it would be very unfortunate if it were to happen the day before Dad retires. In this example, the safest option would be the fixed-income bond fund because of its diversified composition and interest-bearing design, but there is still risk exposure to inflation and the level of interest rates. Note that the tax-deferred nature of the savings plan encourages allocation to something that produces interest or dividends. As it stands now, Dad is very exposed to a large decline in the value of his savings plan because it is dependent on the value of one stock.Individual equities over time have proven to produce the most variable of returns, so Dad should definitely move some, probably at least half, of his money out of the Ruffy stock fund. In fact, a good recommendation given his retirement horizon of five years would be to re-align the portfolio so that it has 50% in the fixed- income fund and the remaining 50% split between the Ruffy stock fund (since Dad insists) and the “blend” fund.Or, maybe 40% fixed-income, 25% Ruffy, 15% growth-income fund, and 20% “blend” fund. This latterallocation has the advantage of introducing another income-producing component that can be shielded by the tax-deferred status of the plan.b.The fact that Dad is employed by the Ruffy Company makes his situation more risky. Let’s say that the companyhits a period of slowed business activities. If the stock price declines, so will th e value of Dad’s savings plan. If the company encounters enough trouble, it may consider layoffs. Dad’s job may be in jeopardy. At the same time that his savings plan may be declining in value, Dad may also need to look for a job or go onunemployment. Thus, Dad is exposed on two fronts to the same risk. He has invested both his human capital and his wealth almost exclusively in one company.2. Refer to Table 12.1.a.Perform the calculations to verify that the expected returns of each of the portfolios (F, G, H, J, S) in thetable (column 4) are correct.b.Do the same for the standard deviations in column 5 of the table.c.Assume that you have $1million to invest. Allocate the money as indicated in the table for each of the fiveportfolios and calculate the expected dollar return of each of the portfolios.d.Which of the portfolios would someone who is extremely risk tolerant be most likely to select? SOLUTION:d.An extremely risk tolerant person would select portfolio S, which has the largest standard deviation but also thelargest expected return.3. A mutual fund company offers a safe money market fund whose current rate is4.50% (.045). The same company also offers an equity fund with an aggressive growth objective which historically has exhibited an expected return of 20% (.20) and a standard deviation of .25.a.Derive the equation for the risk-reward trade-off line.b.How much extra expected return would be available to an investor for each unit of extra risk that shebears?c.What allocation should be placed in the money market fund if an investor desires an expected return of15% (.15)?SOLUTION:a.E[r] = .045 + .62b.0.62c.32.3% [.15 = w*(.045) + (1-w)*(.020) ]4. If the risk-reward trade-off line for a riskless asset and a risky asset results in a negative slope, what does that imply about the risky asset vis-a-vis the riskless asset?SOLUTION:A trade-off line wit h a negative slope indicates that the investor is “rewarded” with less expected return for taking on additional risk via allocation to the risky asset.5. Suppose that you have the opportunity to buy stock in AT&T and Microsoft.a.stocks is 0? .5? 1? -1? What do you notice about the change in the allocations between AT&T andMicrosoft as their correlation moves from -1 to 0? to .5? to +1? Why might this be?b.What is the variance of each of the minimum-variance portfolios in part a?c.What is the optimal combination of these two securities in a portfolio for each value of the correlation,assuming the existence of a money market fund that currently pays 4.5% (.045)? Do you notice any relation between these weights and the weights for the minimum variance portfolios?d.What is the variance of each of the optimal portfolios?e.What is the expected return of each of the optimal portfolios?f.Derive the risk-reward trade-off line for the optimal portfolio when the correlation is .5. How much extraexpected return can you anticipate if you take on an extra unit of risk?SOLUTION:a.Minimum risk portfolios if correlation is:-1: 62.5% AT&T, 37.5% Microsoft0: 73.5% AT&T, 26.5% Microsoft.5: 92.1% AT&T, 7.9% Microsoft1: 250% AT&T, short sell 150% MicrosoftAs the correlation moves from -1 to +1, the allocation to AT&T increases. When two stocks have negativec orrelation, standard deviation can be reduced dramatically by mixing them in a portfolio. It is to the investors’benefit to weight more heavily the stock with the higher expected return since this will produce a high portfolio expected return while the standard deviation of the portfolio is decreased. This is why the highest allocation to Microsoft is observed for a correlation of -1, and the allocation to Microsoft decreases as the correlationbecomes positive and moves to +1. With correlation of +1, the returns of the two stocks will move closely together, so you want to weight most heavily the stock with the lower individual standard deviation.b. Variances of each of the minimum variance portfolios:62.5% AT&T, 37.5% Microsoft Var = 073.5% AT&T, 26.5% Microsoft Var = .016592.1% AT&T, 7.9% Microsoft Var = .0222250% AT&T, short 150% Microsoft Var = 0c. Optimal portfolios if correlation is:-1: 62.5% AT&T, 37.5% Microsoft0: 48.1% AT&T, 51.9% Microsoft.5: 11.4% AT&T, 88.6% Microsoft1: 250% AT&T, short 150% Microsoftd. Variances of the optimal portfolios:62.5% AT&T, 37.5% Microsoft Var = 048.1% AT&T, 51.9% Microsoft Var = .022011.4% AT&T, 88.6% Microsoft Var = .0531250% AT&T, short 150% Microsoft Var = 0e. Expected returns of the optimal portfolios:62.5% AT&T, 37.5% Microsoft E[r] = 14.13%48.1% AT&T, 51.9% Microsoft E[r] = 15.71%11.4% AT&T, 88.6% Microsoft E[r] = 19.75%250% AT&T, short 150% Microsoft E[r] = -6.5%f.Risk-reward trade-off line for optimal portfolio with correlation = .5:E[r] = .045 + .66/doc/31dbf23b580216fc700afd59.html ing the optimal portfolio of AT&T and Microsoft stock when the correlation of their price movements is 0.5, along with the results in part f of question 12-5, determine:a.the expected return and standard deviation of a portfolio which invests 100% in a money market fundreturning a current rate of 4.5%. Where is this point on the risk-reward trade-off line?b.the expected return and standard deviation of a portfolio which invests 90% in the money market fundand 10% in the portfolio of AT&T and Microsoft stock.c.the expected return and standard deviation of a portfolio which invests 25% in the money market fundand 75% in the portfolio of AT&T and Microsoft stock.d.the expected return and standard deviation of a portfolio which invests 0% in the money market fundand 100% in the portfolio of AT&T and Microsoft stock. What point is this?SOLUTION:a.E[r] = 4.5%, standard deviation = 0. This point is the intercept of the y (expected return) axis by the risk-rewardtrade-off line.b.E[r] = 6.03%, standard deviation = .0231c.E[r] = 15.9%, standard deviation = .173d.E[r] = 19.75%, standard deviation = .2306. This point is the tangency between the risk-reward line from 12-5part f and the risky asset risk-reward curve (frontier) for AT&T and Microsoft.7. Again using the optimal portfolio of AT&T and Microsoft stock when the correlation of their price movements is 0.5, take $ 10,000 and determine the allocations among the riskless asset, AT&T stock, and Microsoft stock for:a. a portfolio which invests 75% in a money market fund and 25% in the portfolio of AT&T and Microsoftstock. What is this portfolio’s expected return?b. a portfolio which invests 25% in a money market fund and 75% in the portfolio of AT&T and Microsoftstock. What is this portfolio’s expect ed return?c. a portfolio which invests nothing in a money market fund and 100% in the portfolio of AT&T andMicrosoft stock. What is this portfolio’s expected return?SOLUTION:a.$7,500 in the money-market fund, $285 in AT&T (11.4% of $2500), $2215 in Microsoft. E[r] = 8.31%, $831.b.$2,500 in the money-market fund, $855 in AT&T (11.4% of $7500), $6645 in Microsoft. E[r] = 15.94%, $1,594.c.$1140 in AT&T, $8860 in Microsoft. E[r] = 19.75%, $1,975.8. What strategy is implied by moving further out to the right on a risk-reward trade-off line beyond the tangency point between the line and the risky asset risk-reward curve? What type of an investor would be most likely to embark on this strategy? Why?SOLUTION:This strategy calls for borrowing additional funds and investing them in the optimal portfolio of AT&T and Microsoft stock. A risk-tolerant, aggressive investor would embark on this strategy. This person would be assuming the risk of the stock portfolio with no risk-free component; the money at risk is not onl y from this person’s own wealth but also represents a sum that isowed to some creditor (such as a margin account extended by the investor’s broker).9. Determine the correlation between price movements of stock A and B using the forecasts of their rate of return and the assessments of the possible states of the world in the following table. The standard deviations for stock A and stock B are0.065 and 0.1392, respectively. Before doing the calculation, form an expectation of whether that correlation will be closer to1 or -1 by merely inspecting the numbers.SOLUTION:Expectation: correlation will be closer to +1.E[r A] = .05*(-.02) + .15*(-.01) + .60*(.15) + .20*(.15) = .1175, or, 11.75%E[r B] = .05*(-.20) + .15*(-.10) + .60*(.15) + .20*(.30) = .1250, or, 12.50%Covariance = .05*(-.02-.1175)*(-.20-.125) + .15*(-.01-.1175)*(-.10-.125) +.60*(.15-.1175)*(.15-.125) + .20*(.15-.1175)*(.30-.125) =.008163Correlation = .008163/(.065)*(.1392) = .90210.Analyze the “expert’s” answers to the following questions:a.Question:I have approx. 1/3 of my investments in stocks, and the rest in a money market. What do you suggestas a somewhat “safer” place to invest another 1/3? I like to keep 1/3 accessible for emergencies.Expert’s answer:Well, you could try 1 or 2 year Treasury bonds. You’d get a little bit more yie ld with no risk.b.Question:Where would you invest if you were to start today?Expert’s answer:That depends on your age and short-term goals. If you are very young – say under 40 –and don’tneed the money you’re investing for a home or college tuition or such, you would put it in a stockfund. Even if the market tanks, you have time to recoup. And, so far, nothing has beaten stocks overa period of 10 years or more. But if you are going to need money fairly soon, for a home or for yourretirement, you need to play it safer.SOLUTION:a.You are not getting a little bit more yield with no risk. The real value of the bond payoff is subject to inflationrisk. In addition, if you ever need to sell the Treasury bonds before expiration, you are subject to the fluctuation of selling price caused by interest risk.b.The expert is right in pointing out that your investment decision depends on your age and short-term goals. In addition, the investment decision also depends on other characteristics of the investor, such as the special character of the labor income (whether it is highly correlated with the stock market or not), and risk tolerance.Also, the fact that over any period of 10 years or more the stock beats everything else cannot be used to predict the future.。

2020版金融计量学：时间序列分析视角(第三版)教学课件第12章第1节

(12.21)
如果能验证c 0, 1 1 ，并且 t 为平
稳时间序列，则问题得到验证。
可以看出，这是一个典型的长期均
衡问题，即协整关系问题。根据设计，
我们构造了序列 ft next ptUK ，构造出来的变量图示描绘在图12-6中。
图12-6英国物价的
美元价值nex变量时序图
0.75 nex
对于n个非平稳序列的误差修正
模型，可以直观地进行拓展。如果将n
个变量写成矩阵的形式，即：
X t (x1t x2t
xnt ) （12.13）
类似地，将涉及的扰动项和系数
等均表示成矩阵的形式，那么，向量
形式的误差修正模型可以写成：
Xt C0 et1 (L)Xt1 （t 12.14）
12.2 Engle-Granger 协整分析方法
yt 1.5 yt1 ut , ut NID(0,1) xt 1.2 xt1 vt , vt NID(0,1) (12.2) 其中：ut NID(0,1) 表示服从正态一致性分布、均值为0、方差为1的随机扰动项。
图12-1模型（12.2）随机生
成的带截距项的随机游走过程
350
300
表12-8 模型(12.21)对应的残差项单位根检验结果
12.3 向量ADF模型与协整分析
12.3.1 向量形式的ADF模型
对于向量形式的自回归模型，即 VAR(p)模型：
(L)Yt C t （12.25）
对于多个非平稳时间序列，有一种特殊的情况，就是由这几个非平稳时间序列变量的线性组合形成的变量，是平稳的序列。在这种情况下，我们说这些非平稳时间序列存在协整关系。
假定我们研究两个时间序列变量，

自考金融学第十二章PPT学习教案

1.信用的发展状况。 2.金融机构技术手段的先进程度和服务质量的优劣。 3.社会保障体制的健全与完善.
第30页/共72页
【例12-21 单选】在我国计划经济体制下，我国的货币需求基本上是（）
A．投机性的货币需求 B．预防性的货币需求 C．交易性的货币需求 D．投资性的货币需求
【例12-6 单选】实际货币需求指名义货币数量在扣除（）因素之后的货币余额。 A．价格变动 B．收入变动 C．消费变动 D．物价变动【答案】 D 教材P268
第10页/共72页
【例12-7 单选】对于货币需求者来说，重要的是（币数量的多寡。
A．货币需求的表现形式 B．货币资产职能的大小 C．货币贮藏职能的大小 D．货币实际具有的购买力的高低
。
第三，投机动机。人们持有货币资产，收益为零；持有债券资产，则有两种可能：如果利率上升，债券价格就要下跌；利率下降，债券价格就会上升。显然，人们对现存利率水平的估价就成为人们在货币和债券两种资产间进行选择的关键。由此可以得出一个基本原理：投机性货币需求最主要受利率影响，是利率的递减函数
持有的货币数量。用Md 表示（在不考虑价格变动情况下的货币需要量） ➢ 实际货币需求是指名义货币数量在扣除了物价变动因素之后的货币金额，它
等于名义货币需求除以物价水平。用Md / P表示（扣除价格变动以后的货币需要量）
第7页/共72页
【例12-4 多选】经济学者在说明货币数量变动对经济活动的影响过程中所使用的货币需求概念是（）。
）而非货
【答案】 D 教材P269

金融学(中文版)第12章

风险与预期收益权衡的影响因素：
生命周期：家庭结构、年龄、职业差异时间区间：退休前、子女、特定目标，最短为“交易即时跨度”，策略风险承受度：年龄、家庭、工作、财富，风险承受度影响投资决策专业资产管理人的作用：帮助资产组合，或提供“现成产品”
3 3
2、预期收益与风险的权衡
投资组合最优化过程：包括两步骤
则: W1 = (Ep - rf)/(E1 - rf)
= (0.20 - 0.05)/(0.15 - 0.05) = 150%
9 9
假设你正在管理一个$50,00万的组合 W1 为 1.5或 150% 意味着你投资 $75,00万， W2为-0.5或-50%，通过借款弥补$25,00万的缺口假设可以按照无风险收益率借款这一组合的风险多大?
sp = W1 * s1 = 1.5 * 0.20 = 0.30
该组合的波动性（标准差）为 30%
10 10
3、运用多种风险资产的有效分散化
3.1两个风险资产的组合
根据统计学原理，两个随机变量（如两个证券收益率）可以组合成一个新的随机变量
假设不同证券组合收益的线性模型:
rp w1r1 w2r2; with w1 w2 1
5 5
组合的预期收益是组合中每个证券预期收益的加权平均数
Ep = W1*E1 + W2*E2 Ep = W1*E1 + (1- W1)*E2
组合的波动性（风险）的计算就更为复杂:
s2 p
=
(W1
s1)2
+
2W1
W2ρ
s1
s2
+
(W2
s2)2
证券2是无风险资产，令s2 = 0, 则sp 为:
sp = ((W1* s1)2 + 2W1* s1* W2* 0 ρ + (W2* 0)2)1/2

行为金融学第12章行为金融学新进展

信用卡债务之谜
• 消费者对用于促销的优惠利率过于敏感，对随后的正常利率不敏感
• 接近半数的持卡人没有做出最优的选择
• 很多持卡人并不会利用信用卡套利
家庭负债决策的行为因素
• 心理因素 • 自我控制 • 认知与决策能力
心理因素
• 心理压力约束家庭负债水平 • 相同的负债水平给女性和失业者带来的心理压力更大
• 社会网络与家庭负债规模 • 电视节目增加人们购买欲，当现有经济状况无法满足时，会采用负债方式 • 同辈的平均收入会影响家庭负债且对低收入水平的人影响较大，因为他们通过负债赶上“朋友圈”的消费水平
自我控制
• 理性人不存在自我控制问题 • 信贷工具会让消费者产生过度消费的冲动 • 预先的自我控制以减少控制过度透支而付出的心理成本
• 特点
• 大规模性（high-volume） • 实时性（high-velocity） • 多样化（high-variety）
大数据与投资者情绪指标
• 通过搜索引擎信息量，衍生出投资关注度
• 通过语义提取关键词分析情绪 • 构建情绪代理指标
社交媒体用户众多
• Twitter用户平均每天的发帖量超过了4亿条 • 新浪微博的每月活跃用户数量已经高达3.76亿
401（k）计划
• 大萧条后，美国人的储蓄率在2005年首次为零 • 享受纳税优惠的个人退休账户以及401(K)养老保险方案 • 许多人承认自己的家庭开支“应当”更加节约
• 调查显示，68%的受访者认为自己的储蓄率“非常高”，31%认为 “过得去”，只有1%的受访者认为自己的储蓄率“过高”。
• 雇主以一定的比例承担员工的缴纳保险，显然不参加养老计划是大错特错！
• 在肯亚推出应用，超过数万客户贷出上百万美元。 • 还款率超过85%，90%的人会重复借款