第四章不确定下的 均值-方差分析
第四章 不确定下的 均值-方差分析
证券组合选择问题 ·投资过程的两个重要任务: 证券分析和市场分析:评估所有可能的投资 工具的风险和期望回报率特性 给定证券市场,投资者确定最优的证券组合: 从可行的投资组合中确定最优的风险-回报 机会,然后决定最优的证券组
证券组合选择问题 • 投资过程的两个重要任务： – 证券分析和市场分析：评估所有可能的投资 工具的风险和期望回报率特性 – 给定证券市场，投资者确定最优的证券组合： 从可行的投资组合中确定最优的风险-回报 机会，然后决定最优的证券组合
选择的目标:使得均值-标准差平面上无 差异曲线的效用尽可能的大 选择的对象:均值标准差平面上的可行 集 证券组合在均值-标准差平面上的显示
• 选择的目标：使得均值-标准差平面上无 差异曲线的效用尽可能的大 • 选择的对象：均值-标准差平面上的可行 集 • 证券组合在均值-标准差平面上的显示
通过分析资本市场,一个中心的事实是 风险资产的回报平均来说高于无风险资 的回报,而且回报越高,风险越大
• 通过分析资本市场，一个中心的事实是， 风险资产的回报平均来说高于无风险资 产的回报，而且回报越高，风险越大
Markowitz notes that this would generally be an unwise decision because the typical investor although wanting" returns to be high,, also wants returns to be as certain as possible This means that the investor, in seeking to both maximize expected return and minimize uncertainty, has two conflicting objectives that must be balanced against each other when making the purchasing decision at t=0 One interesting consequence of having these two conflicting objectives is that the investor should diversify by purchasing not just one security but several
• Markowitz notes that this would generally be an unwise decision because the typical investor, although wanting “returns to be high”, also wants “returns to be as certain as possible.” This means that the investor, in seeking to both maximize expected return and minimize uncertainty, has two conflicting objectives that must be balanced against each other when making the purchasing decision at t=0. • One interesting consequence of having these two conflicting objectives is that the investor should diversify by purchasing not just one security but several