Suppose you could find 10,000 independent assets, then you could drive the uncertainty about the portfolio practically to 0.
假设你能找到一万项相互独立的资产,那么你就可以将这个投资组合的风险,降到几乎为零。
So, if you're a small college with only $20 million in a portfolio you don't come across as a qualified purchaser.
因此,如果是一个,只有2000万资产组合的小学院,是不能通过合格购买者的审核程序的
Indexed portfolios, you basically say, I want to own all of the stocks that there are, and if the stock market goes up, I make money, if the stock market goes down, I lose money.
指数化资产组合,使之我拥有这些股票,如果股市走高,那么我就赚钱,如果股市走低我就赔钱。
What I did in this diagram is I computed the efficient portfolio frontier-- now it's the blue line with three assets.
在这张图表中,我计算了有效边界-,蓝色线表示三种资产的组合。
What I have up there on the diagram are calculations I made for the efficient portfolio frontier with three assets.
上面的图形是我已经算好的,三种资产的有效投资组合边界。
If you accept my estimates and you accept the capital asset pricing model, that would have to be true.
如果你同意我的估算,而且认同资本资本资产定价模型,那这种投资组合就会带来最大收益。
This is a special case, though, because I've assumed that the assets are independent of each other, which isn't usually the case.
这是一个特例,因为我假设了,这个投资组合里的资产是相互独立的,但现实中通常都不是这样的。
Now, he's using a much longer sample than I did, so he's not going to get this tangency portfolio that I did.
他的样本跨度比我的要大多了,所以他得出的切线资产组合会和我的不同。
.. You want to get it-- if you keep adding assets, you can do better and better on your portfolio standard deviation.
你想得到-,如果不断增加资产,组合的标准差就会越来越小。
You can either have what's called an indexed portfolio, or a managed portfolio.
你可以选择指,数化资产组合,或者代管投资组合。
I showed them the slide that I just showed you, showing the optimal portfolio, and then I looked at the Norwegian Government's position.
我还给他们展示了刚刚给你们放的幻灯片,就是展示最佳投资组合的那张,然后我查看了挪威政府现在的资产状况。
In my diagram, I said that the tangency portfolio-- I estimated that the tangency portfolio is 9% oil, 27% stocks, and 64% bonds.
在我的曲线图里我有提到切线资产组合-,我估算出切线资产组合是9%的石油,27%的股票和64%的债券。
The pink line takes two assets, one is stocks and the other is bonds, actually government bonds.
粉色线包含两种资产的投资组合,一个股票,另一个是债券,实际上是政府债券。
The general principle of portfolio management is: you want to include as many assets as you can.
投资组合管理总的原则是:,不同的资产越多则组合越佳。
But I'm talking here--this is the actually the frontier-- the best possible portfolio consisting of three assets.
但在这里我说的是-,边界表示了三种资产最好的组合。
The first, asset allocation, basically deals with which assets you have in your portfolio and in which proportion you hold each of those assets.
首先,资产配置主要是指,你的投资组合包括哪些资产,以及每种资产所占的比例
Now, I want to talk about forming a portfolio where the assets are not independent of each other, but are correlated with each other.
现在我要建立这样的一个投资组合,在这个组合里各项资产并不是相互独立的,而是相互关联的。
The asset pricing model--and this is critical-- assumes everyone is rational and holds the tangency portfolio.
资本资产定价模型是非常重要的模型-,假设每人是理性的,并持有切线资产组合。
Portfolio management pools risks in a different way: by assembling a diversified portfolio or a portfolio that's negatively correlated with a risk that someone has.
而投资组合管理采用了不同的方式,多元化的资产配置,或者风险负相关性的,投资组合
From then on,if you accept the analysis and the assumptions or the estimates that underlie it, then we pretty much know how to construct portfolios.
如果你们理解了整个分析过程,假设前提以及各项资产的有关估算,就能知道该怎样建立一个投资组合
Are you going to hold the market portfolio, index your assets, match the markets results?
你是应该持有市场投资组合,指数化资产,获取与市场一致的回报率
I've made a very special case that this is the case of an equally-weighted portfolio.
在这里我假设了一个特例,即一个各项资产权重相等的投资组合。
In fact, I have it--suppose we have three assets and we want to compute the efficient portfolio frontier, the mean and variance of the portfolio.
事实上,假如我们拥有三种资产,我们想计算有效边界,及投资组合的均值和方差。
The best possible portfolio that you can get would be points along this straight line.
你所能得到的最佳资产投资组合,就是这条线上的一系列点。
.. If you can find assets that all have-- that are all independent of each other, you can reduce the variance of the portfolio very far.
如果你能找到这样的一些资产-,一些相互独立的资产,就能很大程度上缩小这个投资组合的方差。
I'm not going to tell you what you want to do except to say, you would never pick a point below the minimum variance portfolio, right?
我不是教你怎样去组合,当然了,你不会选择一个,曲线上最小方差点以下的资产组合,对吧?
A portfolio is the collection of assets that you have financial assets, tangible assets.
一个投资组合就是你拥有的资产的集合,例如金融资产,有形资产。
So,70% of the portfolio is in absolute return, real assets,private equity, alternatives--broadly defined.
因此资产的70%分布于绝对收益组合,不动产,私募权益等广泛的投资品种中
That means that you want to pick, ultimately, a point on this-- this line is tangent to the efficient portfolio frontier with all the other assets in it.
那意味着你会最终会在这上面选一个点-,这条直线是与有效边界相切的,后者包含了所有的资产组合。
The first problem set asked you to manipulate the model that I just presented-- the model of how you form portfolios and the model of the capital asset pricing model.
第一道习题,考察的是你们能否活用我刚刚给出的几个模型-,包括怎样构成投资组合的模型,和资本资产定价模型。
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