Optimal Risky Capital Portfolio

第七章 最优风险资产组合

Chapter 7 Optimal Risky Portfolio

1. Diversification and portfolio risk

1) Diversification: include additional securities in the portfolio

2) Insurance principle: the reduction of risk to very low levels in the case of independent risk resources is sometimes called the insurance principle

保险原则：当所有的风险都是对特有公司有影响时，分散化就可以把风险降低至任意低的水平。所有风险来源都是独立的，任何一种风险来源的暴露使风险降低至一个很低的水平，有时被称作保险原则

3) Market risk: the risk that remains even after extensive diversification is called market risk

市场风险：在最充分的分散条件下还存在的风险

4) Systematic risk/nondiversifiable risk: risk that is attributable to marketwide risk sources

它来源于与市场有关的因素，这种风险亦被称为系统风险，或不可分散风险

5) Nonsystematic risk/diversifiable risk: the risk that can be eliminated by diversification is called ~

那些可被分散化消除的风险被称作独特风险，特有公司风险，非系统风险，或可分散风险

2. Portfolios of two risky assets两种风险资产的资产组合

1) 协方差矩阵式对称的

2) 若协方差为负，方差将减小。尽管协方差项是正的，资产组合的标准差仍然低于个别证券标准差的加权平均值，除非两种证券是完全正相关的

3) 具有完全正相关的资产组合的标准差恰好是资产组合中各证券标准差的加权平均值

4) 其他情况下，相关系数小于1，这将使资产组合的标注差小于资产组合中各证券标准差的加权平均值

5) 非完全相关资产组成的资产组合的风险-收益机会总是优于资产组合中各证券单独的风险-收益机会。各资产间的相关性越低，所得的有效性就越高

6) Minimum-variance portfolio: it had a SD < that of either of the individual component assets, this illustrates the effect of diversification 最小方差的资产组合

7) Portfolio opportunity set: it shows all combinations of portfolio expected return and SD deviation that can be constructed from the two available assets资产组合的机会集合

3. Asset allocation with stocks, bonds, and bills资产在股票，债券与国库券之间的配置

1) The optimal risky portfolio with two risky assets and a risk-free asset最优风险资产组合：两种风险资产和一种无风险资产

4. The Markowitz portfolio selection model马克维兹的资产组合选择模型

1) Security selection

* Minimum-variance frontier 最小方差边界: this frontier is a graph of the lowest possible variance than can be attained for a given portfolio expected return

* Efficient frontier of risky assets风险资产的有效边界: the part of the frontier that lies above the global minimum-variance...