收益管理与风险控制(英文版)(ppt 47页)

收益管理与风险控制(英文版)目录：
10.1 Individual Securities
10.2 Expected Return, Variance, and Covariance
10.3 The Return and Risk for Portfolios
10.4 The Efficient Set for Two Assets
10.5 The Efficient Set for Many Securities
10.6 Diversification: An Example
10.7 Riskless Borrowing and Lending
10.8 Market Equilibrium
10.9 Relationship between Risk and Expected Return (CAPM)
10.10 Summary and Conclusions

 

收益管理与风险控制(英文版)内容提要：
Summary and Conclusions：
The contribution of a security to the risk of a well-diversified portfolio is proportional to the covariance of the security's return with the market’s return. This contribution is called the beta.
The efficient set of risky assets can be combined with riskless borrowing and lending. In this case, a rational investor will always choose to hold the portfolio of risky securities represented by the market portfolio.
Then with borrowing or lending, the investor selects a point along the CML.
By varying wA, one can trace out the efficient set of portfolios. We graphed the efficient set for the two-asset case as a curve, pointing out that the degree of curvature reflects the diversification effect: the lower the correlation between the two securities, the greater the diversification.
The same general shape holds in a world of many assets.

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