单指数模型构建方法(中英对照)

Once we has finished the securities analysis and has ensured the exponential model’s estimate of the securities and market, we can easily summarize the construction procedure of the optimal portfolio risk as follows:

1.Calculate the original positions of each securities in the active portfolio:

2.Adjust the original weight, so that the sum of the combination weights is 1:

3. Calculate the Alpha coefficients of the active portfolio:

4. Calculate the residual of the active portfolio:

5. Calculatethe original positions of the active portfolio:

6. Calculate the Beta coefficients of the active portfolio:

7. Adjust the original positions of active portfolio:

8. Then, the weights of the optimal portfolio is:

9.Calculate the risk premiumof the optimal portfolio. According to the risk premium of index portfolio and the alpha coefficient of active portfolio, we can conclude that the risk premium of

the optimal portfolio.

Attention: Because the beta coefficient is one in the index portfolio, the risk portfolio beta

coefficient is

10. Using the variance of the index portfolioand the residual of the active portfolio to

calculatethe variance of the optimal portfolio.

一旦证券分析securities analysis完成，证券securities和市场的指数模型估计值确定，可以总结最优风险组合optimal portfolio risk的构建程序如下：

1.计算积极组合中每个证券的原始头寸

2.调整这些原始权重，使组合权重和为1

3.计算积极组合的α值

4.计算积极组合的残差

5.计算积极组合的原始头寸

6.计算积极组合的β值

7.调整积极组合的原始头寸

8.此时最优风险组合的权重

9.计算最优风险组合的风险溢价。根据指数组合的风险溢价和积极组合的α系数，得出最优风险组合的风险溢价。

10.运用指数组合的方差和积极组合的残差计算最优风险组合的方差