投资学:Chap027.ppt
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1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 27 The Theory of Active Portfolio Management INVESTMENTS | BODIE, KANE, MARCUS 27-2 Overview Treynor-Black model The optimization uses analysts forecasts of superior per
2、formance. The model is adjusted for tracking error and for analyst forecast error. Black-Litterman model INVESTMENTS | BODIE, KANE, MARCUS 27-3 Table 27.1 Construction and Properties of the Optimal Risky Portfolio INVESTMENTS | BODIE, KANE, MARCUS 27-4 Spreadsheet 27.1 Active Portfolio Management IN
3、VESTMENTS | BODIE, KANE, MARCUS 27-5 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. INVESTMENTS | BODIE, KANE, MARCUS 27-6 Table 27.2 Stock Prices and
4、 Analysts Target Prices for June 1, 2006 Lets add these new forecasts to the spreadsheet model and re-calculate Table D. INVESTMENTS | BODIE, KANE, MARCUS 27-7 Figure 27.1 Rates of Return on the S&P 500 (GSPC) and the Six Stocks INVESTMENTS | BODIE, KANE, MARCUS 27-8 Table 27.3 The Optimal Risky Por
5、tfolio INVESTMENTS | BODIE, KANE, MARCUS 27-9 Results The Sharpe ratio increases to 2.32, a huge risk-adjusted return advantage. M-square increases to 25.53%. INVESTMENTS | BODIE, KANE, MARCUS 27-10 Results Problems: The optimal portfolio calls for extreme long/short positions that may not be feasib
6、le 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. INVESTMENTS | BODIE, KANE, MARCUS 27-11 Table 27.4 The Optimal Risky Portfolio with Constraint on the Activ
7、e Portfolio (wA 1) INVESTMENTS | BODIE, KANE, MARCUS 27-12 Figure 27.2 Reduced Efficiency when Benchmark is Lowered Benchmark risk is the standard deviation of the tracking error, TE = RP-RM. Control it by restricting WA. INVESTMENTS | BODIE, KANE, MARCUS 27-13 Table 27.5 The Optimal Risky Portfolio
8、 with the Analysts New Forecasts INVESTMENTS | BODIE, KANE, MARCUS 27-14 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. INVESTMENTS | BODIE, KANE, MA
9、RCUS 27-15 Figure 27.4 Organizational Chart for Portfolio Management INVESTMENTS | BODIE, KANE, MARCUS 27-16 The Black-Litterman Model The Black-Litterman model allows portfolio managers to incorporate complex forecasts (called “views”) into the portfolio construction process. Historical returns, ev
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