投资组合管理.pptx

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1、投资组合管理投资组合管理INSTRUCTORName ：李莉PhD)办公室: 博学楼1203课程答疑时间: 星期三 4-5 pm上课地点：博学楼509上课时间：星期三 1:30 pm-3 pmInvestment：投入当前的资金或者资源，以期望获取未来收益的行为Get prepared for your career or further studyGet prepared for the CFA examLearn some investments knowledge for funMaybe earn some money in the stock marketEarn some cred

2、it for your studyCourse Description本课程内容与国际CFA Program考试所要求的局部内容一致。本课程将系统地讲授投资学的重要理论和方法。理论包括：投资组合理论，CAPM，APT，利率期限结构理论。方法包括：投资组合分析，净现值定价法，股票和债券的定价。本课程突出理论性和应用性，对投资学中的各项根本理论如投资组合理论，CAPM，APT等应用图形、文字、数学推导和实例进行讲授，要求学生掌握这些理论的根本思想和意义，以及在投资实践中的作用，并掌握以Excel为工具对投资学模型进行分析求解。WHY DO WE STUDY THE THEORY？Managers

3、learn from experience how to cope with routine problems. But the best manager are also able to respond to change. To do this you need more than time-honored rules of thumb; you must understand why companies and financial markets behave the way they do. In other words, you need a theory of finance.Go

4、od theory helps you grasp what is going on in the world around you. It helps you to ask the right questions when times change and new problems must be analyzed. It also tells you what things you do not need to worry about.-Brealey and MyersWHY THERE DOES NOT EXIST ANY ADVICE ON “GUARANTEED WAYS TO B

5、EAT THE MARKET？Any system designed to beat the market, once known to more than a few people, carries the seeds of its own destruction.There are two reasons for not including advice on “guaranteed ways to beat the market in this book.First, to do so would make a successful system public and hence uns

6、uccessful.Second, the authors know of such system.This does not mean that financial analysis is useless. Although individuals should be skeptical when others tell them how to use financial analysis to beat the market, individuals can try to understand the market with the use of financial analysis.-W

7、. Sharpe, etc.TEXTBOOK AND REFERENCE(1) 投资学第6版影印版，美WilliamF. Sharpe, GordonJ. Alexander, JeffeyV. Bailey著，清华大学出版社， . ISBN: 9787302047407(2) Investments 7th ed, Zvi Bodie, Alex Kane, and Alan J. Marcus, Richard D. Irwin, McGraw-Hill Companies, Inc. (3) Investment Analysis and Portfolio Management by

8、Frank K. Reilly and Keith C. Brown, The Dryden Press 1997.(4) Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk by Richard Grinold, Ronald Kahn. 积极型投资组合管理：控制风险获取超额收益的数量方法第2版，清华大学出版社(5) 投资学：以Excel为分析工具原书第3版， 美格莱葛 W.霍顿Craig W. Holden著，蔡庆丰等译，机械工业出版

9、社(6) Handouts第一章 投资学导论第二章 现代投资组合理论第三章 资本资产定价模型(CAPM)第四章 套利定价理论(APT)第五章 普通股分析*第六章 有效市场假说TABLE OF CONTENTS (TENTATIVE)第一章第一章 投资学导论投资学导论 1第一至三章，第一至三章，2第一至四章第一至四章投资环境和投资过程投资环境和投资过程证券市场证券市场证券的交易证券的交易第二章第二章 现代投资组合理论现代投资组合理论1第六、七、八章，第六、七、八章，2第五、六、七、八章第五、六、七、八章投资组合选择问题投资组合选择问题投资组合分析投资组合分析无风险借贷无风险借贷应用：用应用：用E

10、xcel做投资组合的最优化问题做投资组合的最优化问题文献：文献：Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952.TABLE OF CONTENTS (TENTATIVE)第三章第三章 资本资产定价模型资本资产定价模型(CAPM)1第九章，第九章，2第九章第九章CAPM理论理论CAPM理论的实证研究理论的实证研究应用：用应用：用Excel做做CAPM模型估计，应用模型估计，应用CAPM给资产定价给资产定价文献：文献：W. F. Sharpe, Capital Asset Prices: A

11、 Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 20(3):425-442, 1964.第四章第四章 套利定价理论套利定价理论(APT)1第十、十一章，第十、十一章，2第十章第十章因素模型因素模型套利定价理论套利定价理论(APT)应用：应用： 基于基于Excel的的APT模型模型文献：文献：S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360,

12、1976.TABLE OF CONTENTS (TENTATIVE)第五章第五章 普通股分析普通股分析1第十六、十七、十八章，第十六、十七、十八章，2第十七、十八章第十七、十八章宏观分析宏观分析行业分析行业分析股权估值模型股权估值模型*第六章第六章 有效市场假说有效市场假说1第四章，第四章，2第十一、十二章第十一、十二章有效市场假说有效市场假说关于效率市场假说的实证研究关于效率市场假说的实证研究行为金融行为金融GRADING(1)作业：本课程将布置几次平时作业，平时作业需在布置后第二周上交(以小组为单位完成作业)。课题：每个小组需完成一个课题，以PPT形式上交。考试：期末考试闭卷笔试。成绩计算

13、方法：平时作业 (20%) + 期末课题(20%) + 期末考试60%讲座：VC/PE，IPO，私募基金，大家的需求？GRADING(2)作业1作业2project期末总评最低分9295956175.8最高分1001009610098.6均分97.2 98.4 95.7 87.1 91.0 PROJECT GUIDELINESTeam Work (5 members/team)第三周上课之前将小组成员名单上交运用自上而下的分析，选择一个行业，运用股票估值定价模型，研究该行业中一只股票的估值及投资时机。上交Word文档以及25页左右的PPT最后两次上课内容为小组报告PPT第一章第一章 投资学导论

14、投资学导论1.投资学所处的位置2.实物资产投资与金融资产投资3.企业组织形式的开展与公司治理4.投资环境5.证券的买卖6.股票价格指数7.金融市场的作用8.新趋势1. 投资学所处的位置Introduction to FinanceFinance is a subfield of economics distinguished by both its focus and its methodology. The primary focus of finance is the workings of the capital markets and the supply and the pricin

15、g of capital assets. The methodology of finance is the use of close substitutes to price financial contracts and instruments. This methodology is applied to value instruments whose characteristics extend across time and whose payoffs depend upon the resolution of uncertainty. Basic Areas of FinanceC

16、orporate finance (公司金融or公司理财) Investments (投资学)Financial institutions (金融市场与机构)International finance (国际金融)CORPORATE FINANCE(公司金融)企业管理者所做的与理财活动相关的决策企业的投资决策Capital budgeting(资本预算)M&A企业的融资决策Capital structure (资本结构)IPO企业的流动性与营运资本管理现金、应收账款股利政策Work with financial assets(金融资产) such as stocks and bondsValu

17、e of financial assets, risk versus return, and asset allocationJob opportunitiesStockbroker or financial advisor(经纪、咨询、理财参谋)Portfolio manager(基金经理、资管、理财)Security analyst(分析师、行研)FINANCIAL INSTITUTIONS金融市场与机构Companies that specialize in financial mattersBanks commercial (存款性金融机构，存贷业务)Investment (证券承销与

18、经纪、企业融资、兼并收购，创业投资等)混业与分业Insurance companies(财产保险，人寿保险)Brokerage firms, investment companies et al.Job opportunitiesThis is an area of specialization within each of the areas discussed so far (国际收支、国际汇兑、国际结算、国际信用、国际投资和国际货币体系)It may allow you to work in other countries or at least travel on a regular

19、basisNeed to be familiar with exchange rates and political riskNeed to understand the customs of other countries现代金融学的理论基石H. M. Markowitz 均值-方差模型 (Mean-variance model)Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952.W. F. Sharpe , J. Lintner, J. Mossin 资本资产定价模型 Capital A

20、sset Pricing Model (CAPM)W. F. Sharpe, Capital Asset Prices: A Theory od Market Equilibrium Under Conditions of Risk, Journal of Finance, 20(3):425-442, 1964.S. A. Ross 套利定价理论Arbitrage Pricing Theory(APT)S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341

21、-360, 1976.F. Modigliani M. H. Miller Modigliani - Miller 定理 Modigliani, F., and M. H. Miller, The Cost of Capital, Corporation Finance, and the Theory of Investment, American Economic Review, June 1958, 261-297.F. Black M. Scholes R. Merton 期权定价的Black-Scholes 公式F. Black and M. Scholes, The Pricing

22、of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654.R. Merton, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1):141-183.2. 实物资产投资与金融资产投资实物资产：用以提供产品和效劳的资产，比方土地，建筑物，知识，机械设备，工人等 K，L金融资产：对实物资产所创造的利润或收入有要求权claims，如股票，债券各自的特点实物资产代表一个经济

23、的生产能力，决定一个社会的财富金融资产不代表一个社会的财富，但对生产能力具有间接的作用所有权和经营权的别离使得资金流向具有好的投资时机的企业代表持有者的财富金融资产能够为持有的个人或者公司带来财富实物资产是创造收入的资产，金融资产只是收入或者财富在投资者之间的配置两者之间是一种互补关系，而不是替代关系例子：房地产VARIOUS FORMS OF FINANCIAL AND REAL ASSETS在对全社会的资产负债表汇总时，金融资产会相互抵消家庭户的金融资产对企业来说是负债国民财富净值只包括实物资产Balance Sheet of U.S. Households, Domestic Net W

24、orth3.企业组织形式的开展与公司治理Forms of Business OrganizationThree major formsSole proprietorship(独资企业，个体业主制)A business owned by one person.Partnership(合伙制-一般合伙，有限合伙)A business formed by two or more individuals or entities.Corporation(公司制)A corporation is a legal “person separate and distinct from its owners.可

25、比较的优缺点Advantages and DisadvantagesLiquidity and Marketability of OwnershipControlLiabilityContinuity of ExistenceTax ConsiderationsSOLE PROPRIETORSHIP独资企业AdvantagesEasiest to startLeast regulatedSingle owner keeps all of the profitsTaxed once as personal incomeDisadvantagesLimited to life of ownerEq

26、uity capital limited to owners personal wealthUnlimited liabilityDifficult to sell ownership interestPARTNERSHIP合伙制AdvantagesTwo or more ownersMore capital availableRelatively easy to startIncome taxed once as personal incomeDisadvantagesUnlimited liabilityGeneral partnershipLimited partnership(有限合伙

27、制)General Partner(普通合伙人Limited Partner有限合伙人Partnership dissolves when one partner dies or wishes to sellDifficult to transfer ownershipCORPORATION 公司制AdvantagesLimited liabilityUnlimited lifeSeparation of ownership and managementTransfer of ownership is easyEasier to raise capitalDisadvantagesDouble

28、 taxationSeparation of ownership and management agency problem CorporationPartnershipLiquidityShares can easily be exchanged.Subject to substantial restrictions.Voting RightsUsually each share gets one voteGeneral Partner is in charge; limited partners may have some voting rights.TaxationDoublePartn

29、ers pay taxes on distributions.Reinvestment and dividend payoutBroad latitudeAll net cash flow is distributed to partners.LiabilityLimited liabilityGeneral partners may have unlimited liability. Limited partners enjoy limited liability.Continuity Perpetual lifeLimited life合伙制与公司制的比较Separation of own

30、ership and management can be both an advantage and a disadvantageAdvantagesYou can benefit from ownership in several different businesses (diversification)You can take advantage of the expertise of others (comparative advantage)It is easier to transfer ownershipDisadvantageAgency problems if managem

31、ent goals and owner goals are not alignedAgency relationship(代理关系)Principal(委托人) hires an agent代理人 to represent its interestsStockholders (principals) hire managers (agents) to run the companyAgency problemConflict of interest between principal and agent (利益冲突)For example, stockholder vs. managersMA

32、NAGERIAL GOALS(经理人的目标) Managerial goals may be different from shareholder goals Expensive perquisites Survival Independence Increased growth and size are not necessarily the same thing as increased shareholder wealth.CORPORATE GOVERNANCE公司治理1Board of Directors董事会NominationCompensationAuditingRisk Ma

33、nagementIndependent Non-executive directorManagerial compensation薪酬鼓励机制Incentives can be used to align management and stockholder interestsThe incentives need to be structured carefully to make sure that they achieve their goalTying bonuses to profits might encourage management to pursue short-run p

34、rofits and forgo projects that require a large initial outlay. Stock options may work, but there may be an optimal level of insider ownership (manipulation of stock price by managers, entrenchment effect, tunneling effect) Market for corporate control(公司控制权市场)Why the threat of a takeover might make

35、managers work toward the goals of stockholders?Other stakeholders such as banks其他利益相关者的监督They can provide a valuable monitoring tool, but they can also try to force the firm to do things that are not in the owners best interest.FINANCIAL CRISIS AND CORPORATE GOVERNANCE(金融危机与公司治理)Internal control内部控制

36、Managerial compensation薪酬鼓励机制BonusShareholdingOptions包括证券的种类、在哪里及如何进行证券的买卖等证券：用来证明持有人享有的某种特定权益的凭证。(1)证券种类凭证证券活期存款单、借据、收据等有价证券有价证券Capital Market资本证券，如股票、债券等 Money Market货币证券，包括银行券、银行票据等 财物证券，如货运单、提单、栈单等4.投资环境(1)证券种类金融资产的分类Fixed income or debt securities(固定收益型)收益受发行公司财务状况影响小Equity securities (权益型)收益受经

37、营绩效影响大Common stockResidual claimLimited liabilityPreferred stockFixed dividends -limitedPriority over commonDerivative securities(衍生产品)股票债券（公司债券）持有者与公司的关系所有关系，所有权凭证债权债务关系，债权凭证期限无到期日一般有到期日收益形式股息红利利息收益支付根据公司经营状况支付按利率如期支付享有的权利有经营管理权无经营管理权，有优先清偿权风险较大较小发行影响自有资本负债Money Market 货币市场Short-Term (maturity 1 ye

38、ar) plus equitiesBonds债券：中长期国债、企业债等Equity股票：普通股，优先股Derivatives衍生工具4.投资环境(1)证券种类 衍生证券DERIVATIVES SECURITIES期权 OptionsCall: option to buy some assetPut: option to sell some asset Basic PositionsLong (Buy)Short (Sell)TermsExercise PriceExpiration DatePremium or Option PriceAssets期货Futures Basic Positio

39、nsLong (Buy)Short (Sell)TermsDelivery DateAssets4.投资环境(2) 收益率与风险收益率(Rate of return)指在某一时期内(持有期)某项投资所带来的财富变动的百分比(HPY)(2.1) 历史收益率 (事后)收益率=期末财富-期初财富/期初财富例子：收益率(2.2) 平均历史收益率(TIME SERIES ANALYSIS OF PAST RATES OF RETURN)假设你的投资持有期包含n个相等的时段，每一时段的收益率为ri, i=1, 2, ., nArithmetic mean (算术平均收益率AM return earned

40、in an average period over multiple periods(平均回报率)Geometric mean几何平均收益率GM average compound return per period over multiple periods (复合平均回报率)1/12(1) (1).(1)1GnnGMrrrr12.2nrrrAMr例子：平均历史收益率小结：AM=GMAM等于GM的条件？GM的优势例子：100-0.280.72-0.280.722.3%0.2%预期收益率是投资者在评估某项未来可选投资时预期或期望获得的收益率预期收益率：例子风险指未来收益率的不确定性，通常用所估计

41、出的预期收益率的方差或者标准差衡量风险：例子历史收益率的风险相对变动性指标：变异系数CV(2.5) 必要收益率的决定与构成REQUIRED RATE OF RETURN投资：投入当前的资金或者资源，以期望获取未来收益的行为延迟当前消费投资一般具有两个特性：时间和风险投资者要求补偿以下三局部：投入资金的时间价值预期的通货膨胀未来收益的不确定性，风险(2.5.1)真实无风险收益率REAL RISK-FREE RATE根底利率，货币的纯时间价值。在没有通货膨胀的经济中，投资者推迟当前消费并允许他人似乎用这局部储蓄而要求得到的收益率影响因素：主观：消费的时间偏好客观：经济中存在的投资时机(2.5.2)

42、预期通货膨胀率ANTICIPATED RATE OF INFLATION(2.5.3)风险溢价 RISK PREMIUMCommon to all investments无风险投资的收益率未来收益的数量、时间确定Peculiar to each investment风险资产：风险溢价要求较高的投资收益率对任何不确定性做出补偿，这种在无风险收益率之上的必要收益率的增加为风险溢价经营风险(Business risk)财务风险(Financial risk) 流动风险(Liquidity risk)违约风险(Default risk)利率风险通货膨胀风险国家经济状况(2.6)风险与必要收益率之间的关

43、系4.投资环境(3)金融中介与证券市场金融中介间接融资直接融资证券市场一级市场二级市场Direct FinanceBorrowers borrow directly from lenders in financial markets by selling financial instruments which are claims on the borrowers future income or assetsIndirect FinanceBorrowers borrow indirectly from lenders via financial intermediaries (establ

44、ished to source both loanable funds and loan opportunities) by issuing financial instruments which are claims on the borrowers future income or assetsPrimary一级市场、证券发行市场New security issues sold to initial buyersTypically involves an investment bank who underwrites the offeringKey factor: issuer recei

45、ves the proceeds from the sale.Secondary二级市场、证券交易市场Securities previously issued are bought and soldExamples include the NYSE, Nasdaq, Hong Kong Stock Exchange (HKex), Shanghai Stock Exchange (SSE)Involves both brokers and dealersIssuing firm doesnt receive proceeds and is not directly involved.证券市场F

46、irmsInvestorsSecondary MarketmoneySueBobStocks and BondsMoneyPrimary MarketStocks and Bonds证券发行市场投资银行作用？证券的承销Initial public offering (IPO)Seasoned new issuespublic offering and private placementIPOUnderwriting (承销) vs. Best Efforts(代销)Underwritting: firm commitment (坚决承诺) on proceeds to the issuing

47、firm.If the investment bank and company reach an agreement to do an underwritingalso known as a firm commitmentthen the investment bank will buy the new securities for an agreed price, and resell the securities to the public at a markup, bearing all of the expenses associated with the sale. The comp

48、any gets the guaranteed funds even if the investment bank does not sell all of the securities. Thus, the investment bank takes a significant risk in a firm commitment. Often, the investment bank becomes a broker-dealer, or market-maker, in the new security.Best Efforts: no firm commitmentMost agreem

49、ents for the sale of new securities are an underwriting, but sometimes the investment bank will agree to a best efforts approach because the company is perceived as a risky investment for a new issue. The investment bank will do its best to sell all of the new securities, but it does not guarantee i

50、t. The company bears the risk that the investment bank may fail to sell all of the new issue, thereby lessening the amount of money that the company receives.IPOInitial Public Offerings (IPOs)Evidence of underpricingPerformanceLiteratureJay RitterLONG-TERM RELATIVE PERFORMANCE OF INITIAL PUBLIC OFFE