Microsoft PowerPoint - PoF.ppt

(lu) #1
Minimum variance and efficient setƒ 33

The case of

perfect positive correlation

Single-period random cash flows: Mean-variance portfolio theory


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(^0) )
(^1) (
(^10) ,
0
)
(
A
A
P
x
x
r
E



  • =
    B A A A B A A A P
    x
    x
    x
    x
    r
    σ
    σ
    σ
    σ
    σ
    )
    (^1) (
    2
    )
    (^1) (
    )
    (
    2
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  • =
    ()
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    )
    (^1) (
    )
    (
    B
    A
    A
    A
    P
    x
    x
    r
    σ
    σ
    σ




  • =
    (^10) ,
    (^0) )
    (^1) (
    (^05) ,
    0
    )
    (
    A
    A
    P
    x
    x
    r




  • =
    σ
    AB
    E(r)
    0.10
    0.04
    SD(r)
    0.05
    0.10
    Security



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