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Father of Investment Portfolio

perfect portfolio
险量化
推导出预期收益率
 定持有期内预期收益的概率分布

return 单期预期效 最 化

预期回报率的变化
Eg Invest 10
Expect toge
120

Eg Same level of risk

prefer higher return
62 0

25 2215
Depends on economic situation

Return Probability

X
x

1
 weightage

WÉX ECR
A WB ECR

9 for asset
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I
Z
 6

6 probability
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IT

E Ri E Ri Rj ELR
Formula Froblability
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Choose investment in oppositedirection

for a portfolio

EP.EE EYRi
Formula 2
JxERj ELRD
 共变差

Correlation
G G

G
G
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相关性系数

Eg CIMB Maybank are a we correlation

risk is lesser
 c relation

will be given in exam

rijo b
0
6 E E
2 different investments
weightage

E
66
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mkis
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g

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t ve correlation

same

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best
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risk different standard deviation r sk
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risk

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6 0 corij 0
whole
p Portfoliorisk

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EE W G wjGj
Portfolio Allocation of 2 investments risk

is
lowest
risk
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risk highest
risk
highreturn

yyqyg
any y
this line Efficient frontier
is acceptable Acceptable

risk
Optimum Portfolio

BE asset with highest lowest ris

impossible
 60 0 invested in 40 invested in
Year Stock A Stock B

2019 0.12 0.13

2018 0.15 0.06

2017 0.06 0.01

R 0.12 0.15 0.06 0.134 0.06 0.01

3 3
0.11 0.06

5 deviation Gi R ECR
N I

A 0.12 0.11 0.15 0.11 0.06 0.11

3 1

0.045

B 0.13 0.06 0.06 0.06 0.01 0.06

3 1

0.07
 n of A n l of B
Covariance ER ECR x R ECR R ECR n
n l

Cov AB 0.12 0.11 0.13 0.06

0.15 0.11 x 0.06 0.06 n

0.06 0.11 0.01 0.06

0.0021

Correlation R Cov
GA OB

RA B 0.0021
0.045 0.07

0.65
E R portfolio w ECR

E Rp 0.6 0.11 0.4 0.06

0.09

G WE 6 W B 6 B 2 WAX WB COY
2
0.6 0.0021 0.4 0.0049

2 0.6 0.4 0.0021

62 0.0025

0 0 05