证券组合管理

证券组合的含义 组合管理的必要性 1.降低风险。 2.实现收益最大化
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证券组合的基本类型



避税型证券组合 收入型证券组合 增长型证券组合 收入-增长型证券组合 货币市场型证券组合 国际型证券组合 指数化证券组合
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证券组合管理的基本步骤

1.确定组合管理目标。 2.制定组合管理政策。 3.构建证券组合。 4.修订证券组合资产结构。 5.证券组合资产的业绩评估。
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现代组合理论的形成与发展
现代组合理论最早是由美国著名经济学家哈里•马科威茨于
1952年系统提出的； 1963年，马科威茨的学生夏普根据马科威茨的模型建立了 一个计算相对简化的模型——单一指数模型； 在六十年代初期，金融经济学家们开始研究马科威茨的模 型是如何影响证券的估值的，这一研究导致了资本资产标价 模型CAPM的产生。1977年罗尔对其有效性提出质疑； 60年代中期，费马提出了一个假设：如果市场分析家都能 快速有效的消化信息，则任何形式的证券分析都不可能产生 异常的收益。同时，由于信息事件的发生是随机的，证券价 格的运动也就是不规则的，这样，技术分析也就是毫无疑义 的了。
For instance, high fuel prices might be good for oil companies, but bad for airlines who need to buy the fuel. As a result, you might expect that the stocks of companies in these two industries would often move in opposite directions. These two industries have a negative (or low) correlation. You'll get better diversification in your portfolio if you own one airline and one oil company, rather than two oil companies.
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Markowitz then considers how all the investments in a portfolio can be expected to move together in price under the same circumstances. This is called "correlation," and it measures how much you can expect different securities or asset classes to change in price relative to each other.
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马科威茨选择资产组合的方法
假定： （1）每一种投资都可由一种预期收益的可能分布 来代表； （2）投资者都利用预期收益的波动来估计风险； （3）投资者仅以预期收益和风险为依据决策，在 同一风险水平上，投资者偏好收益较高的资产或 资产组合，在同一收益水平上，投资者偏好风险 较小的资产或资产组合； （4）投资者在一定时期内总是追求收益最大化。
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The second fact you need to face is that in order to receive an increased return from your investment portfolio, you need to accept an increased amount of risk. Keeping your money in a savings account reduces your risk, but it also reduces your potential reward.
While risk in your portfolio may be unavoidable, it is manageable. The riddle of controlling risk and return is that you need to maximize the returns and minimize the risk. When you do this, you ensure that you'll make enough on your investments, with an acceptable amount of risk.
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理性投资者的行为特征和决策方法

1.追求收益最大化的规律特征。 2.厌恶风险的规律特征。 3.追求效用最大化。 （1）风险厌恶的资金供应者的无差异曲线。 （2）资产组合的有效益边界。 （3）效用最大化。
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资产的收益和风险特征

1.预期收益：
E (r )
h r
i 1
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Hale Waihona Puke i i 0.158
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资产组合的收益与方差
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No matter what you decide to do with your savings and investments, your money will always face some risk. You could stash your dollars under your mattress or in a cookie jar, but then you'd face the risk of losing it all if your house burned down. You could keep your money in the bank, but the buying power of your dollars would barely keep up with inflation over the years, leaving you with possibly less dollars in real terms than when you started. Investing in stocks, bonds, or mutual funds carries risks of varying degrees.
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Most full-service brokerage firms maintain a suggested asset allocation for their customers. The firm's chief investment strategist determines the optimal percentage of a typical portfolio that should be invested in particular asset classes at any time, and updates the asset allocation strategy on a regular basis. There are also advisors who recommend a portfolio that's always invested 100 percent in stocks, on the theory that this asset class delivers the best return.
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证券组合管理
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证券组合管理及其必要性
r i 1 N 0 10% 20% 30% 40% 5 20%
r
N
i
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资产的收益和风险特征

3.样本平均值和样本方差。 证券甲的样本方差是这样计算的：
2 i 1

N
(ri r ) 2
N 1
(10% 20%) 2 (10% 20%) 2 (20% 20%) 2 (30% 20%) 2 (40% 20%) 2 5 1 0.025
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Markowitz starts out with the assumption that all investors would like to avoid risk whenever possible. He defines risk as a standard deviation of expected returns. Rather than look at risk on an individual security level, Markowitz proposes that you measure the risk of an entire portfolio. When considering a security for your portfolio, don't base your decision on the amount of risk that carries with it. Instead, consider how that security contributes to the overall risk of your portfolio.
式中，ri为第i种收益预期;hi为ri可能发生的概率； E（r）为预期收益率.
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资产的收益和风险特征

2.风险—方差。
2

i 1
n
hi [ ri E ( r )]2


i 1
n
hi [ r E ( r )]2 i
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资产的收益和风险特征

3.样本平均值和样本方差。 证券甲的样本平均值是：
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You can divide the history of investing in the United States into two periods: before and after 1952. That was the year that an economics student at the University of Chicago named Harry Markowitz published his doctoral thesis. His work was the beginning of what is now known as Modern Portfolio Theory. How important was Markowitz's paper? He received a Nobel Prize in economics in 1990 because of his research and its long-lasting effect on how investors approach investing today.
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When you put all this together, it's entirely possible to build a portfolio that has much higher average return than the level of risk it contains. So when you build a diversified portfolio and spread out your investments by asset class, you're really just managing risk and return.
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I was born in Chicago in 1927, the only child of Morris and Mildred Markowitz who owned a small grocery store. We lived in a nice apartment, always had enough to eat, and I had my own room. I never was aware of the Great Depression. Autobiography of Harry Markowitz