博迪投資學(xué)第九版ppt下載

素材大�。�: 1.61 MB

素材授權(quán)：: 免費(fèi)下載

素材格式：: .ppt

素材上傳：: chenrong

上傳時(shí)間：: 2018-10-09

素材編號(hào)：: 214807

素材類別：: 課件PPT

素材預(yù)覽

這是博迪投資學(xué)第九版ppt，包括了The optimization uses analysts’ forecasts of superior performance，The model is adjusted for tracking error and for analyst forecast error等內(nèi)容，歡迎點(diǎn)擊下載。

博迪投資學(xué)第九版ppt是由紅軟PPT免費(fèi)下載網(wǎng)推薦的一款課件PPT類型的PowerPoint.

CHAPTER 27ivD紅軟基地

The Theory of Active Portfolio Management

Overview

Treynor-Black model

The optimization uses analysts’ forecasts of superior performance.

The model is adjusted for tracking error and for analyst forecast error.

Black-Litterman model

Table 27.1 Construction and Properties of the Optimal Risky Portfolio

Spreadsheet 27.1 Active Portfolio Management

Spreadsheet 27.1

An active portfolio of six stocks is added to the passive market index portfolio.

Table D shows:

Performance increases are very modest.

M-square increases by only 19 basis points.

Table 27.2 Stock Prices and Analysts’ Target Prices for June 1， 2006

Figure 27.1 Rates of Return on the S&P 500 (GSPC) and the Six Stocks

Table 27.3 The Optimal Risky Portfolio

Results

The Sharpe ratio increases to 2.32， a huge risk-adjusted return advantage.

M-square increases to 25.53%.

Results

Problems:

The optimal portfolio calls for extreme long/short positions that may not be feasible for a real-world portfolio manager.

The portfolio is too risky and most of the risk is nonsystematic risk.

A solution: Restrict extreme positions.

This results in a lack of diversification.

Table 27.4 The Optimal Risky Portfolio with Constraint on the Active Portfolio (wA ≤1)

Figure 27.2 Reduced Efficiency when Benchmark is Lowered

Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts

Adjusting Forecasts for the Precision of Alpha

How accurate is your forecast?

Regress forecast alphas on actual， realized alphas to adjust alpha for the accuracy of the analysts’ previous forecasts.

Figure 27.4 Organizational Chart for Portfolio Management

The Black-Litterman Model

The Black-Litterman model allows portfolio managers to incorporate complex forecasts (called “views”) into the portfolio construction process.

Historical returns， even over long periods， have very limited power to infer expected returns for the next month.

The business cycle and other macroeconomic variables may be better forecasters of expected returns.

Historical variance is a good predictor of expected future variance.

Steps in the Black-Litterman Model

Estimate the covariance matrix from recent historical data.

Determine a baseline forecast.

Integrate the manager’s private views.

Develop revised (posterior) expectations.

Apply portfolio optimization.

Figure 27.5 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level

Figure 27.6 Sensitivity of Black-Litterman Portfolio Performance to Confidence Level

BL Conclusions

The Black-Litterman (BL) model and the Black-Treynor (TB) model are complements.

The models are identical with respect to the optimization process and will chose identical portfolios given identical inputs.

The BL model is a generalization of the TB model that allows you to have views about relative performance that cannot be used in the TB model.

BL vs. TB

Black-Litterman Model

Optimal portfolio weights and performance are highly sensitive to the degree of confidence in the views.

The validity of the BL model rests largely upon the way in which the confidence about views is developed.

Treynor-Black Model

TB model is not applied in the field because it results in “wild” portfolio weights.

The extreme weights are a consequence of failing to adjust alpha values to reflect forecast precision.

BL vs. TB

Black-Litterman Model

Use the BL model for asset allocation.

Views about relative performance are useful even when the degree of confidence is inaccurately estimated.

Treynor-Black Model

Use the TB model for the management of security analysis with proper adjustment of alpha forecasts.

Value of Active Management

Kane， Marcus， and Trippi show that active management fees depend on:

the coefficient of risk aversion，

the distribution of the squared information ratio in the universe of securities，

the precision of the security analysts.

Table 27.6 M-Square for the Portfolio， Actual Forecasts

Table 27.7 M-Square of Simulated Portfolios

Concluding Remarks

The gap between theory and practice has been narrowing in recent years.

The CFA Institute has worked to transfer investment theory to the asset management industry.

The TB and LB models are not yet widely used in industry， perhaps because of the issues in adjusting for analysts’ forecast errors.

投資學(xué)張中華ppt：這是投資學(xué)張中華ppt，包括了投資的含義與特征，投資的基本類型，投資學(xué)的產(chǎn)生與發(fā)展，投資學(xué)研究的對(duì)象和方法，本課程主要內(nèi)容間的邏輯聯(lián)系等內(nèi)容，歡迎點(diǎn)擊下載。

上海財(cái)經(jīng)大學(xué)投資學(xué)ppt課件：這是上海財(cái)經(jīng)大學(xué)投資學(xué)ppt課件，包括了投資環(huán)境，投資的概念與特點(diǎn)，廣義投資的分類，實(shí)體資產(chǎn)與金融資產(chǎn)含義，金融資產(chǎn)種類，固定收益型證券，實(shí)體投資與金融投資的聯(lián)系和區(qū)別，直接金融與間接金融，直接金融投資與間接金融投資，市場(chǎng)環(huán)境（是競(jìng)爭(zhēng)的），市場(chǎng)參與者，系統(tǒng)性風(fēng)險(xiǎn)的上升，系統(tǒng)性風(fēng)險(xiǎn)和實(shí)體經(jīng)濟(jì)等內(nèi)容，歡迎點(diǎn)擊下載。

投資學(xué)論文PPT課件：這是一個(gè)關(guān)于投資學(xué)論文PPT課件，主要介紹了導(dǎo)論、證券概述、證券市場(chǎng)、證券市場(chǎng)參與者、證券的發(fā)行與上市、有價(jià)證券投資價(jià)值分析等內(nèi)容。一、投資的定義 1、不同學(xué)科對(duì)投資的定義經(jīng)濟(jì)學(xué)認(rèn)為：“投資是指?jìng)€(gè)人或單位寄希望于不確定的未來收益，而將貨幣或其他形式的資產(chǎn)投入經(jīng)濟(jì)活動(dòng)的一種經(jīng)濟(jì)行為”。金融學(xué)認(rèn)為：“投資是指投資人以金融工具為投資對(duì)象，以期將來取得一定投資收益的行為”。財(cái)務(wù)學(xué)認(rèn)為：“投資是指投資人將從有關(guān)渠道取得的資金投入自身經(jīng)營(yíng)活動(dòng)或他人經(jīng)營(yíng)活動(dòng)，以取得未來收益的行為。西方投資學(xué)家威廉·夏普在其所著的《投資學(xué)》一書中，將投資概念表述為：“投資就是為獲得可能的不確定性的未來值而做出的確定的現(xiàn)值犧牲”，歡迎點(diǎn)擊下載投資學(xué)論文PPT課件哦。

PPT分類Classification

久久无码高潮喷水抽搐,极品馒头泬19p,久久人人爽精品玩人妻av,精品国产成人国产在线视,精品视频一区二区三区在线观看

博迪投資學(xué)第九版ppt下載

博迪投資學(xué)第九版ppt

素材評(píng)分榜

素材排行榜