Principles of Finance · 免费预览
多种资产的风险与收益
投资组合的期望收益率是其各资产期望收益率的加权平均，但只要资产间的相关性低于 1，其风险就小于各资产风险的加权平均，因此分散化能够在不牺牲期望收益率的前提下消除风险。
1. The portfolio's expected return
The portfolio's expected return
2. The covariance machinery
The covariance machinery
3. Diversification and the asset count
Diversification and the asset count
4. The opportunity set and the efficient frontier
The opportunity set and the efficient frontier
5. The portfolio expected return
A portfolio holds 60 percent in an asset expected to return 10 percent and 40 percent in one expected to return 5 percent. What is the portfolio's expected return?
6. Diversification's source
What allows a portfolio's risk to fall below the weighted average of its assets' risks?
7. The two-stock computation
Two stocks each have 20 percent standard deviation and are held equally, with correlation 0.3. Approximately what is the portfolio standard deviation?
8. Why twenty to thirty assets suffice
Why does diversification's benefit largely flatten beyond twenty to thirty well-chosen assets?
9. Unsystematic versus systematic
Which statement correctly distinguishes the two risk components?
10. The frontier's bow
Why does the two-asset opportunity set bow toward the upper left when correlation is below one?
11. The cross term's driver
In the two-asset portfolio variance formula, what Greek letter names the correlation driving the cross term? Write the letter.
12. The undiversifiable risk's name
What two-word term names the market-wide risk that no portfolio can remove? Answer in lowercase.
13. The boundary's name
What two-word term names the upper-left boundary of the opportunity set, the portfolios with the most return for each risk level? Answer in lowercase.
14. The diversifiable component
What two-word term names the firm-specific risk that averaging across assets cancels? Answer in lowercase.