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cfa有多难考,先看看投资组合管理

2018-09-18dgh

 
 cfa有多难考,先看看投资组合管理。经过上节课的学习,我们已经知道了身为一个基金经理要了解不同的投资主体,了解自己的客户,包括他们的风险和收益要求等情况,也知道了该怎么组建一个投资组合。那么这一次,我们就要来一起看一看金融学历史上最著名的三个组合管理的理论,其中蕴含了什么样的道理呢?

cfa有多难考,cfa考试,cfa,

 
我们CFA考试学习的进程来到了Reading 41: Portfolio Risk and Return: Part I和Reading 42: Portfolio Risk and Return: Part II,在我们历年的CFA一级考试中,这一部分一直以来占据了组合管理中的大部分考点,重要程度不言而喻。
 
 
1、CFA市场配置理论
 
 
首先就是市场配置理论,我们从两个资产的组合方差的计算开始,
 
推知两种资产组合在相关系数从-1到1的情况,
 
最后得到我们MPT理论中最重要的图形:
 
在市场配置理论中,我们需要着重掌握以下概念:
 
Minimum-variance frontier of risky assets: the investment portfolios of risky assets that provide minimum variance (the lowest risk) given a certain level of return.
 
Global minimum-variance portfolio: the investment portfolio that has the lowest variance on minimum-variance frontier of risky assets.
 
Efficient frontier of risky assets: the portfolios that not only provide the lowest risk given a certain level of return, but also offer the highest return given certain level of risk.
 
The investment portfolios on minimum-variance frontier that are above the global minimum-variance portfolio.
 
Portfolios above efficient frontier is not achievable, and portfolios below efficient frontier is un-efficient. Also called Markowitz efficient frontier.
 
2、CFA资本市场理论
 
接下来是第二个重要理论Capital Market Theory(资本市场理论)。
 
CML线的含义和性质Capital market line (CML) is a special CAL that includes all possible combinations of risk-free asset and market portfolio.
 
CML is tangent to the efficient frontier at a point representing market portfolio.
 
系统性风险和非系统性风险的区分并引入了β的概念,要记住非系统性风险可以通过资产配置完全消除,所以只有承担系统性风险会被补偿。
 
Beta (β) can be used to measure the systematic risk of an asset, representing how sensitive an asset’s return is to the market as a whole.
 
这一部分最后一个重要的模型叫做资本资产定价模型(CAPM),是用来给系统性风险定价的模型,我们通过公式算出一个资产的合理收益,如果它现在在市场上的收益高于这个理论收益,就相当于价格被低估,我们应该买入;反之,我们则选择卖出该资产。

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