动态调整提升组合绩效

1/16(0755)[e-mail]„„„Markowitz-„rebalanceCPPI„„MarkowitzTreynor-BlackG50G50„2008/03/1450Mar-20082/16......................................................................31.1.Markowitz..........................................31.2.Sharpe....................................................................41.3.Treynor-Black........................................................................4....................................................................................5....................................................................................51.4.Black-Litterman.....................................................................61.5......................................................................6.........................................................................72.1....................................................................................72.2.CPPI......................................................................................82.3.............................................................................8......................................................................93.1.................................................93.2........................................................................................93.2.1...................................................................................103.2.1..............................................................103.2.2.......................................................113.2.3..........................................................133.3...........................................................................15Mar-20083/16uniqueriskorunsystematicrisksystematicriskMarkowitz1952Sharpe(SingleIndexModel)(CAPM)1.1.MarkowitzMarkowitz(1952)(EfficientFrontier)MarkowitzMarkowitzMarkowitzMarkowitzBlack-LittermanMarkowitz1234MarkowitzMarkowitzMar-20084/161.2.SharpeSharpe(1963)(SingleIndexModel)MarkowitzCAPMCAPMCAPME(Rp)=Rf+([(RM)-Rf]E(Rp)RfE(RM)=Cov(Ri,Rm)/Var(Rm)jVar(Rm)Cov(Ri,Rm)i=1,,()1,1,CAPM,SharpeMarkowitz1.3.Treynor-BlackTreynor-Black(1973)Markowitz1952Treynor-BlackalphaalphaalphaalphaSharpeCAPMTreynor-BlackMar-20085/16alpha1Treynor-BlackTreynor-BlackalphaalphaalphaalphaTreynor-Blackiαi/σ2(ei)αiialphaσ2(ei)ieiiCAPMαiσ2(ei)αi=ri-(rm-rf)βi-rfσ2(ei)=σi2-σm2βi2Treynor-Black(rf)5%()rm10%()σm20%()1(i)(ri)(σi)Beta(bi)120%30%0.0230%45%2.0315%15%0.5412%12%0.5αiσ2(ei)1alpha4alphaTreynor-Black2Treynor-Black(i)Alpha(αi)SpecificRisk2(σ2(ei))(αi/σ2(ei))Share115.00%9.00%1.677.78%215.00%4.25%3.5316.47%37.50%1.25%6.0028.01%44.50%0.44%10.2347.74%Total21.42100.00%Treynor-BlackMarkowitzTreynor-BlackTreynor-Black1AlphaTreynor-BlackMar-20086/16alpha447.74%10%10%Treynor-BlackTreynor-Black1.4.Black-LittermanBlack-Litterman-(GoldmanSachs)Markowitz--1.2.Black-Litterman1990Black-LittermanBlack-Litterman1.5.Mao(1970)MarkowitzJacob(1974)SharpeVaRCVaRDown-siderisk(Skewness)()()Konno(1990)KonnorobustportfoliooptimizationMar-20087/1622.1.ConstantMixStrategyRebalance50%60%69%90/130122JiangXie,SimaiHeandShuzhongZhang.Randomizedportfolioselection,withconstraints.PacificJournalofOptimization,Volume4,Number1,January2008,pp.89-112.Mar-20088/1632.2.CPPICPPICPPICPPICPPICPPICPPImmmmCPPICPPICPPICPPICPPI5%CPPI2.3.Mar-20089/16„Fedmodel300(E/P)300(E/P)„(termspread)()(creditspread)(Industrialproduction),„PBPEDamodaran,2002DDM„„3.1.10090100buy-and-hold90803.2.20075G50Mar-200810/16MarkowitzTreynor-BlackG503.2.1.G5020061112008352007510200835G503.2.1.1202007510G50-MarkowitzG50Markowitz1%102%40Markowitz1Markowitz801001201401601802002007-05-102007-06-142007-07-192007-08-232007-09-272007-11-082007-12-132008-01-212008-03-03G50(Markowitz)G50()Treynor-BlackG50102%Treynor-BlackMar-200811/162Treynor-Black801001201401601802002007-05-102007-06-142007-07-192007-08-232007-09-272007-11-082007-12-132008-01-212008-03-03G50(Treynor-Black)G50()3.2.2.VIXVIX500VIXVIXVIXAVIX30330(VIX30)30(VIX30)VIX30(VIX30)VIX30VIX30VIX30VIX30VIX303VIX30VIX30Mar-200812/1633080901001101201301401501602007-06-212007-07-262007-08-302007-10-112007-11-152007-12-202008-01-2800.511.522.533.5()(VIX30)30G5030VIX3030VIXG50G503030200710G5060%VIX30/430G500.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%2007-06-212007-07-192007-08-162007-09-132007-10-182007-11-152007-12-132008-01-14100110120130140150160170180(VIX30)G5010((VIX30))G50MarkowitzTreynor-BlackMar-200813/165MarkowitzG50()G50()MarkowitzTreynor-Black40%50%60%70%80%G50()G50()MarkowitzTreynor-BlackG506G50()G50()MarkowitzTreynor-Black1.9%2.1%2.3%2.5%G50()G50()MarkowitzTreynor-BlackSharpeG50MarkowitzMar-200814/16Treynor-BlackG507SharpeG50()G50()MarkowitzTreynor-Black0.050.070.090.110.130.15G50()G50()MarkowitzTreynor-Black3.2.3.MarkowitzTreynor-BlackG503383G50()G50()MarkowitzTreynor-Black-20%-10%0%10%20%30%40%50%60%1G50()G50()MarkowitzTreynor-BlackMar-200815/16696G50()G50()MarkowitzTreynor-Black0%10%20%30%40%50%60%G50()G50()MarkowitzTreynor-Black3.3.Markowitz610%6-10%10%610%504710518001TEL:[phone]FAX:[phone]E-MAIL:lzrd@lhz