第四章 MPT 现代组合理论

1.有效性边界：风险最小，收益最大

加入无风险资产（借贷）时，

(1)short sales

(2)lending and borrowing

(3)neither

2.utility function

select the best from efficient frontier

(1) prefer more money

first derivative > 0

(2) risk preference

if risk averse, second derivative < 0

absolute vs relative:  

 (3)alternatives

1)risk tolerance function

T: risk tolerance

(2) safety first

focus on bad outcomes

1) roy

 

give RL, std < RL

want max K, max slope

 

 2) kataoka

 

 3) telser

 

cross point

(3) geometric mean return

 

 

if utility function is log, max geometric mean return pf is preferred

(4) markowitz

 

lambda is risk aversion

(5) calculate efficient frontier

sharpe's model