金融学概论讲义(北大光华管理学院)lecture04.

The Portfolio Standard Deviation0.25Standard Deviation0.20.150.10.05000.250.5Portfolio Weights0.751

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The Risk-Return Trade-Off Curve0.160.14Expected ReturnS V R 0.120.100.080.060.040.020.0000.050.10.150.20.25Stansard Deviation 26

Minimum-Variance Portfolio

??w??2w?1?w??12?1?2??1?w??

2P221222

??22?2w?1?2?1?w??12?1?2?2w?12?1?2?2?1?w??2?0?w

2?2??12?1?2 wmin?2 2?1??2?2?12?1?2

20.15?0.36 wmin?220.20?0.15

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2PEfficient Portfolio & Efficient Frontier

? Efficient portfolio: the portfolio that offers the highest expected return at a specified level of risk (standard deviation) or the lowest degree of risk for a specified expected return

? Efficient frontier: the boundary line VS defines the efficient set of portfolios

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