单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,*,第4章 指数模型,按马科维茨投资组合理论，为得到投资者的最优风险投资组合，要求知道：,收益率均值向量,收益率方差-协方差矩阵,无风险收益率,估计量和计算量随着证券种类的增加以指数级增加,对风险溢价的估计无指导作用,基于以上认识，产生了指数模型(Sharpe,1963),以简化计算,1,4.1证券市场的单因素模型,4.1.1 马科维茨模型的输入表,马科维茨模型运用的成功与否取决于输入表的质量即期望收益率和协方差的估计值,例：如果证券分析师要分析50只股票的投资组合,，那么马科维茨模型输入表包括：,n=50个期望收益的估计值,n=50个方差的估计值,(n2-n)/2=1225个协方差的估计值,共1335个估计值,(n2+3n)/2个估计值,2,4.1.2 收益分布的正态性与系统风险,假定某一宏观因素影响着整个证券市场，除此外，公司所有剩余的不确定性都是公司特有的，那么证券持有期收益及相关的风险为：,3,单因素模型,4,4.2 单指数模型,4.2.1 单指数模型的,回归方程,5,期望收益与,值之间的关系,6,单指数模型的风险与协方差,教材P163概念检查1和概念检查2,7,单指数模型的优缺点,优点：,计算量简化为(3n+2)个,对实际投资有意义：把握证券分析的重点,缺点：,资产收益不确定性结构上的限制，例如：未考虑行业的因素。,残差项的相关性,教材P163表8-2,8,4.2.5 指数模型与分散化,9,图4.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient,p,in the Single-Factor Economy,10,4.3 估计单指数模型,11,图4.2 Excess Returns on HP and S&P 500 April 2001 March 2006,12,图 4.3 Scatter Diagram of HP,the S&P 500,and the Security Characteristic Line(SCL)for HP,13,表4.3 Excel Output:Regression Statistics for the SCL of Hewlett-Packard,14,图4.4 Excess Returns on Portfolio Assets,15,TEST,1.You purchased a share of stock for$20.One year later you received$1 as dividend and sold,the share for$29.What was your holding period return?,(A)45%,(B)50%,(C)5%,(D)40%,Key:B,16,2.In the mean-standard deviation graph an indifference curve has a _ slope.,(A)negative,(B)zero,(C)positive,(D)cannot be determined,Key:C,17,3.According to the mean-variance criterion,which one of the following investments dominates all,others?,(A)E(r)=0.15;Variance=0.20,(B)E(r)=0.10;Variance=0.20,(C)E(r)=0.10;Variance=0.25,(D)E(r)=0.15;Variance=0.25,Key:A,18,4.The standard deviation of a portfolio that has 20%of its value invested in a risk-free asset and,80%of its value invested in a risky asset with a standard deviation of 20%is _%.,(A)18,(B)14,(C)12,(D)16,Key:D,19,5.Which of the following statements regarding the Capital Allocation Line(CAL)is,false,?,(A)The CAL shows risk-return combinations.,(B)The slope of the CAL equals the increase in,the expected return of a risky portfolio per,unit of additional standard deviation.,(C)The slope of the CAL is also called the,reward-to-variability ratio.,(D)The CAL is also called the efficient frontier of,risky assets in the absence of a risk-free asset.,Key:D,20,6.Market risk is also referred to as,(A)systematic risk,diversifiable risk.,(B)systematic risk,nondiversifiable risk.,(C)unique risk,nondiversifiable risk.,(D)unique risk,diversifiable risk.,Key:B,21,7.Consider an investment opportunity set formed with two securities that are perfectly negatively,correlated.The global minimum variance portfolio has a standard deviation that is always,(A)greater than zero.,(B)equal to zero.,(C)equal to the sum of the securities standard,deviations.,(D)equal to-1.,Key:B,22,8.The line representing all combinations of portfolio expected returns and standard deviations that can be constructed from two available assets is called the,(A)Capital Allocation Line,(B)Security Market Line,(C)efficient frontier,(D)portfolio opportunity set,Key:D,23,9.You invest$600 in security A with a beta of 1.2 and$400 in security B with a beta of 0.90.,The beta of the resulting portfolio is,(A)1.40,(B)1.00,(C)0.36,(D)1.08,Key:D,24,10.Security A has an expected rate of return of 0.10,and a beta of 1.1.The market expected rate of,return is 0.08 and the risk-free rate is 0.05.The,alpha of the stock is,(A)1.7%.,(B)-1.7%.,(C)8.3%.,(D)5.5%.,Key:A,25,