ch10 概况介绍(证券投资学,南京审计学院 张维)
1,第十八讲 1、关注最近的证券市场； 2、CH9的简单回顾 3、CH10之概况介绍,证券投资学 ON INVESTMENTS,2,3,4,本课堂讨论过的指标： 均线、MACD、KDJ、WR、RSI、ADL、OBOS、BIAS、PSY 其它常用的指标： OBV、CR 简要评述,5,On Balance Volume (“OBV“) is a momentum indicator that relates volume to price change. On Balance Volume was developed by Joe Granville and originally presented in his book New Strategy of Daily Stock Market Timing for Maximum Profits.,6,7,案例分析,8,案例分析,9,证券组合管理 Portfolio Construction Management,10,证券组合管理及其必要性,证券组合的含义 组合管理的必要性 1.降低风险。 2.实现收益最大化,11,证券组合的基本类型,避税型证券组合 收入型证券组合 增长型证券组合 收入-增长型证券组合 货币市场型证券组合 国际型证券组合 指数化证券组合,12,证券组合管理的基本步骤,1.确定组合管理目标。 2.制定组合管理政策。 3.构建证券组合。 4.修订证券组合资产结构。 5.证券组合资产的业绩评估。,13,现代组合理论的形成与发展,现代组合理论最早是由美国著名经济学家哈里马科威茨于1952年系统提出的； 1963年，马科威茨的学生夏普根据马科威茨的模型建立了一个计算相对简化的模型单一指数模型； 在六十年代初期，金融经济学家们开始研究马科威茨的模型是如何影响证券的估值的，这一研究导致了资本资产标价模型CAPM的产生。1977年罗尔对其有效性提出质疑； 60年代中期，费马提出了一个假设：如果市场分析家都能快速有效的消化信息，则任何形式的证券分析都不可能产生异常的收益。同时，由于信息事件的发生是随机的，证券价格的运动也就是不规则的，这样，技术分析也就是毫无疑义的了。,14,I was born in Chicago in 1927, the only child of Morris and Mildred Markowitz who owned a small grocery store. We lived in a nice apartment, always had enough to eat, and I had my own room. I never was aware of the Great Depression. Autobiography of Harry Markowitz,15,You can divide the history of investing in the United States into two periods: before and after 1952. That was the year that an economics student at the University of Chicago named Harry Markowitz published his doctoral thesis. His work was the beginning of what is now known as Modern Portfolio Theory. How important was Markowitz's paper? He received a Nobel Prize in economics in 1990 because of his research and its long-lasting effect on how investors approach investing today.,16,Markowitz starts out with the assumption that all investors would like to avoid risk whenever possible. He defines risk as a standard deviation of expected returns. Rather than look at risk on an individual security level, Markowitz proposes that you measure the risk of an entire portfolio. When considering a security for your portfolio, don't base your decision on the amount of risk that carries with it. Instead, consider how that security contributes to the overall risk of your portfolio.,17,Markowitz then considers how all the investments in a portfolio can be expected to move together in price under the same circumstances. This is called “correlation,“ and it measures how much you can expect different securities or asset classes to change in price relative to each other. For instance, high fuel prices might be good for oil companies, but bad for airlines who need to buy the fuel. As a result, you might expect that the stocks of companies in these two industries would often move in opposite directions. These two industries have a negative (or low) correlation. You'll get better diversification in your portfolio if you own one airline and one oil company, rather than two oil companies.,18,When you put all this together, it's entirely possible to build a portfolio that has much higher average return than the level of risk it contains. So when you build a diversified portfolio and spread out your investments by asset class, you're really just managing risk and return.,19,马科威茨选择资产组合的方法,假定： （1）每一种投资都可由一种预期收益的可能分布来代表； （2）投资者都利用预期收益的波动来估计风险； （3）投资者仅以预期收益和风险为依据决策，在同一风险水平上，投资者偏好收益较高的资产或资产组合，在同一收益水平上，投资者偏好风险较小的资产或资产组合； （4）投资者在一定时期内总是追求收益最大化。,20,理性投资者的行为特征和决策方法,1.追求收益最大化的规律特征。 2.厌恶风险的规律特征。 3.追求效用最大化。 （1）风险厌恶的资金供应者的无差异曲线。 （2）资产组合的有效益边界。 （3）效用最大化。,21,22,资产的收益和风险特征,1.预期收益。 式中，ri为第i种收益预期;hi为ri可能发生的概率； E（r）为预期收益率.,23,资产的收益和风险特征,2.风险方差。,24,资产的收益和风险特征,3.样本平均值和样本方差。 证券甲的样本平均值是：,25,资产的收益和风险特征,3.样本平均值和样本方差。 证券甲的样本方差是这样计算的：,26,课后复习： 均值、方差的涵义？,
