成本会计—投资组合分析与市场模型的计算
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c
Chapter 7
portfolio analysis
LOGO
Class work
❖finish class work in the third class
your family site your site here
LOGO
question
❖If I say: your return is higher, your utility will be higher.
find the best proportion for each security of the portfolio? ❖we your site here will continue to learn in this chapter.
LOGO
Main contents
❖The feasible set ❖The efficient set ❖The market model use your family site this model, calculate each
F
0
X2 0 0.2 0.4 0.6 0.8 1
Rp
Qp
10(%) 12(%)
11.6
11.11
13.2
11.78
14.8
13.79
16.4
16.65
18
20
LOGO
1. The feasible set
rp
Utility
your family site your site here
p
LOGO
1. The feasible set
your family site
stock
your site here
A B
Expected return
10% 18%
Standard deviation
12% 20%
LOGO
portfolio X1
A
1
B C your family site
0.8 0.6
D
your site here
E
0Hale Waihona Puke Baidu4 0.2
LOGO
1. The feasible set
❖For example but when the correlation is -1, then the feasible set will be ?
your family site
your site here
LOGO
1. The feasible set
your site here
LOGO
1. The feasible set
❖For each proportion, the portfolio have a certain standard deviation and expected return (standard deviation, expected return). All
your family site
these points form the feasible set.
your site here
LOGO
1. The feasible set
❖ For example You choose stock A and stock B as your portfolio. their correlation is 0.2. the data as the follows:
The process to find the best proportion
❖For example, you decide to choose stock A and B as the portfolio, but how to decide the proportion ?
❖Step your family site 1, find all the feasible set. ❖Step 2, find all the efficient set. ❖Step 3, find the best proportion.
LOGO
rp X1R1 (1 X1)R2
X1(R1 R2 ) R2
your family site
p
[
X
2 1
11
2 X 1 (1
X1)1 2
(1
X1)2 22 ]1/2
X X X ( ) your site here
11 2 2
11 2
2
so : rp M p C0
rp
Utility
your family site your site here
❖Right or wrong? ❖For your family site example as the follows:
your site here
LOGO
Return
I2
I1
your family site
A
B
your site here
Standard Deviation
LOGO
❖Which have the higher return? ❖which have the higher utility? ❖So, how to decide your return and risk your family site levels for a portfolio, how to
❖For example but when the correlation is 1, then the feasible set will be ?
your family site
your site here
LOGO
1. The feasible set
rp
Utility
your family site your site here
p
LOGO
1. The feasible set
❖when the correlation is 1, Why is the feasible set being a straight line?
r X R X R your family site p
11
22
your site here
p [X1X111 2X1X212 X2 X222]1/2
security return and risk. use this model, calculate portfolio return your site here and risk. ❖ Diversification portfolio market risk and unique risk
LOGO
Chapter 7
portfolio analysis
LOGO
Class work
❖finish class work in the third class
your family site your site here
LOGO
question
❖If I say: your return is higher, your utility will be higher.
find the best proportion for each security of the portfolio? ❖we your site here will continue to learn in this chapter.
LOGO
Main contents
❖The feasible set ❖The efficient set ❖The market model use your family site this model, calculate each
F
0
X2 0 0.2 0.4 0.6 0.8 1
Rp
Qp
10(%) 12(%)
11.6
11.11
13.2
11.78
14.8
13.79
16.4
16.65
18
20
LOGO
1. The feasible set
rp
Utility
your family site your site here
p
LOGO
1. The feasible set
your family site
stock
your site here
A B
Expected return
10% 18%
Standard deviation
12% 20%
LOGO
portfolio X1
A
1
B C your family site
0.8 0.6
D
your site here
E
0Hale Waihona Puke Baidu4 0.2
LOGO
1. The feasible set
❖For example but when the correlation is -1, then the feasible set will be ?
your family site
your site here
LOGO
1. The feasible set
your site here
LOGO
1. The feasible set
❖For each proportion, the portfolio have a certain standard deviation and expected return (standard deviation, expected return). All
your family site
these points form the feasible set.
your site here
LOGO
1. The feasible set
❖ For example You choose stock A and stock B as your portfolio. their correlation is 0.2. the data as the follows:
The process to find the best proportion
❖For example, you decide to choose stock A and B as the portfolio, but how to decide the proportion ?
❖Step your family site 1, find all the feasible set. ❖Step 2, find all the efficient set. ❖Step 3, find the best proportion.
LOGO
rp X1R1 (1 X1)R2
X1(R1 R2 ) R2
your family site
p
[
X
2 1
11
2 X 1 (1
X1)1 2
(1
X1)2 22 ]1/2
X X X ( ) your site here
11 2 2
11 2
2
so : rp M p C0
rp
Utility
your family site your site here
❖Right or wrong? ❖For your family site example as the follows:
your site here
LOGO
Return
I2
I1
your family site
A
B
your site here
Standard Deviation
LOGO
❖Which have the higher return? ❖which have the higher utility? ❖So, how to decide your return and risk your family site levels for a portfolio, how to
❖For example but when the correlation is 1, then the feasible set will be ?
your family site
your site here
LOGO
1. The feasible set
rp
Utility
your family site your site here
p
LOGO
1. The feasible set
❖when the correlation is 1, Why is the feasible set being a straight line?
r X R X R your family site p
11
22
your site here
p [X1X111 2X1X212 X2 X222]1/2
security return and risk. use this model, calculate portfolio return your site here and risk. ❖ Diversification portfolio market risk and unique risk
LOGO