现代资产组合理论和资本资产定价模型分析

Return-generating Processபைடு நூலகம்and Factor Models
– Implicit in the construction of a factor model is the assumption that the returns on two securities will be correlated only through common reactions to one or more of the specified in the model. Any aspect of a security’s return unexplained by the factor model is uncorrelated with the unique elements of returns on other securities.
Modern Portfolio Theory The Factor Models and The Arbitrage Pricing Theory
Chapter 8 By Ding zhaoyong
Return-generating Process and Factor Models
• Return-generating process – Is a statistical model that describe how return on a security is produced. – The task of identifying the Markowitz efficient set can be greatly simplified by introducing this process. – The market model is a kind of this process, and there are many others.
«It can also be used to characterize a portfolio’s sensitivity to movement in the factors.
Return-generating Process and Factor Models
• Factor models supply the necessary level of abstraction in calculating covariances. – The problem of calculating covariances among securities rises exponentially as the number of securities analyzed increase. – Practically, abstraction is an essential step in identifying the Markowitz set.
• The one-factor models refer to the returngenerating process for securities involves a single factor. These factors may be one of the followings: – The predicted growth rate in GDP – The expected return on market index – The growth rate of industrial production, etc.
– A primary goal of security analysis is to determine these factors and the sensitivities of security return to movements in these
factors.
One-Factor Models
Return-generating Process and Factor Models
• Factor models – These models assume that the return on a security is sensitive to the movements of various factors or indices. – In attempting to accurately estimate expected returns, variances, and covariances for securities, multiplefactor models are potentially more useful than the market model.
Return-generating Process and Factor Models
• Factor models provide investment managers with a framework to identify important factors in the economy and the marketplace and to assess the extent to which different securities and portfolios will respond to changes in these factors.
Return-generating Process and Factor Models
– A factor model is a powerful tool for portfolio management.
«It can supply the information needed to calculate expected returns, variances, and covariances for every security, which are the necessary conditions for determining the curved Markowitz efficient set.