Microsoft PowerPoint - PoF.ppt

Minimum variance and efficient setƒ 33

The case of

perfect positive correlation

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

(^04) ,
(^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
  2
  2
  2
  2
  −


• 
  

  −

  
  


• 
  

  =
  ()
  2
  2
  )
  (^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