什么是tangency portfolio?

原文链接：https://www.quora.com/What-is-the-tangency-portfolio-and-how-do-I-derive-it

We can define all portfolios (and their constituent investments) with two parameters: expected return and standard deviation. Given those two parameters, you have a “frontier” of possible portfolios which gives you the highest return for the lowest possible risk. Portfolios outside of this frontier are not possible to achieve, and portfolios below the frontier are irrational, because you could get higher return with less risk:

我们可以将所有资产组合的参数定义为两个：预期收益（收益），标准差（风险） 

Fronrier: 即代表这最高的收益、最低的风险。Frontier以外的组合不可能实现，Frontier以下的组合是不理性的。

 

if you define all portfolios with these two parameters, why wouldn’t you want the portfolio which generates the most return for every unit of risk taken? In other words, why wouldn’t you want the most efficient portfolio? The Sharpe ratio gives us that answer: (p−f)/σ

where p is the expected return of the portfolio, f is the risk-free rate, and σ is the portfolio standard deviation (a proxy for risk). Therefore, the most efficient portfolio from a risk-reward standpoint is the portfolio with the highest Sharpe ratio.This is also called the tangency portfolio because MPT goes one step further. If you think of any potential portfolio as a mix of the tangency portfolio and cash, then you can actually combine those two to build any portfolio for a given risk tolerance.

给定一单位的风险，使其超额收益最大化，即最大化夏普率: most efficient portfolio.

This range of portfolios starts on the y-axis wherever the risk-free rate is (so, if cash is paying 3%, then the line would cross the axis at 0.03), and runs tangent to the efficient frontier through the most efficient portfolio, or tangency portfolio:

以现金成本(无风险收益率?)为y轴截距，对Efficient Frontier作切线(Tangency来源)，其切点即为Tangency Portfolio.

 

See also how the tangency portfolio moves off to the northeast of the graph? That is because MPT also assumes that an investor with high enough risk tolerance could borrow at the risk-free rate and use that borrowed money to buy more of the risky portfolio. Of course, in real life, investors cannot borrow at the risk-free rate, so the real line is “kinked” like this:

MPT(Modern Portfolio Theory)假设投资者会以无风险利率借债，用于投资风险资产组合。但在现实生活中人们是难以做到以无风险利率的成本举债的，因此实际的线是“kinked”.

 

This graph takes into account the higher borrowing rate of the investor. At any rate, that line representing the combination of the tangency portfolio and risk free rate is called the Capital Allocation Line (CAL).

tangency portfolio和无风险利率连接起来叫CAL

以切点为界分为lending portfolio和borrow portfolio

Interestingly, this is an extremely important concept in markets because it also helps corporations understand where they fall on this line, and what sort of risk premium investors expect to receive. That informs their capital budgeting on projects, their ideal capital structure, and many other things.

That said, as an individual investor, it is usually not advisable to invest using margin (which is what the CAL would require). Most people will just move up the frontier if their risk-tolerance allows it, rather than borrow to invest in the tangency portfolio.

Though that is technically less efficient, it is practically the same in the real world—largely because MPT is subject to ample model error, which can compound over time. In other words, you will almost never be on the frontier in practice anyway, so going out of your way to remain “efficient” is not worth the extra risk and cost. As your risk-tolerance increases it is better to stay on the CAL until you reach the tangency portfolio, then jump to the frontier if you want to take more risk, rather than borrow to fund more tangency portfolio.