[08.07.27 市场先知] 风险管理和组合优化

erihao

【链接】http://www.marketoracle.co.uk/Article5636.html
【声明】本译文仅供Anti-CNN使用，谢绝转载
【译者】Erihao From:Anti-CNN求实交流论坛www1.anti-cnn.com
【原文】

Risk Management and Portfolio Optimization  
Jul 27, 2008 - 10:43 AM
By: Peter_Johansson


Stock analysis based on technical analysis or fundamental analysis isgetting a lot of attention and often form the the basis for investmentdecisions. Many private investors combine perhaps 5-10 assets into aportfolio and let their intuition guide the allocate between theassets. How this allocation could be done in an optimal way,analytically, receives little attention in financial newspapers andmarketing from financial institutes although it has a greatsignificance for expected returns and portfolio risk.

For every level of expected return, there is one optimal assetcombination which offers the lowest possible risk, and for every levelof risk, there is one optimal combination which offers the highestexpected return. These portfolios are called "efficient portfolios" .When calculating efficient portfolios, three measures are needed:

• Expected returns for all portfolio assets (often estimated by averaging historical returns)  
• Risk for all portfolio assets (estimated by volatility or standard deviation)  
• Correlation between all portfolio assets

The correlation between two assets lies between -100% and 100%. Thehigher the correlation is between two assets, the more similar are theprice movements of the assets. A high correlation, for example 70%,indicates that the assets tend to move in the same direction. If thereis no relationship between the movements of two assets, then thecorrelation between them is zero. If correlation is negative the assetstend to move in opposite direction.


The risk of the portfolio will be less than the average of the riskof the individual assets. Portfolio risk also falls with correlation.The lower correlations are between assets of a portfolio, the lower therisk is of the portfolio . Diversification is thus be profitable whencombining assets which are not entirely the same. But How Do We CombineAssets Into A Well-Balanced Portfolio?


A portfolio composed of many assets that are not highly correlatedalways offer a lower risk, but there is only one single optimalcombination of assets which minimizes portfolio risk. There is no othercombination of assets which can achieve a smaller portfolio risk. Ifyour acceptable level of risk is higher you can optimize the portfolioso that risk is minimized while taking estimated returns in regard.


A lot of computer power is needed to identify efficient portfolios. With the Portfolio Optimizationtool in Optimal Trader, you can easily calculate efficient portfoliosfor stocks and mutual funds. Portfolio Optimization is a riskmanagement tools in Optimal Trader based on modern portfolio theory(for which Harry Markowitz received Nobel Prize in 1990).


Optimal Trader is a stock analysis software for analysis of stocks,funds, currencies, etc. In addition to risk management the softwareoffers technical analysis based on neural networks and PortfolioAnalysis.

【译文】

风险管理和组合优化

基于技术分析和基本分析的股票分析方法受到了极大的关注并常常成为投资决策的基础。许多私人投资者将5—10种资产放在一个组合之内，并凭借直觉指导他们在资产间进行配置。这种资产配置如何在深思熟虑后以最优的方式取得，尽管这一问题对期望收益和组合风险而言意义重大，但在财经报刊及金融机构的营销过程中并没有得到广泛的重视。

对于任一水平的期望收益而言，都存在一个具有最小或然风险的最优资产组合，而对于任一风险水平来说，也都有一个能够提供最高期望收益的最优组合。而这些组合被称作“有效组合”，当计算有效组合时，需要以下三个指标：

1、组合内所有资产的期望收益（通常用历史平均收益来估计）

2、组合内资产的风险（用方差或标准差估计）

3、组合内资产之间的相关系数

任意两种资产的相关系数处在-100%到100%的区间内。两种资产间的相关系数越高，则二者的价格变动幅度越是相近。某一高相关系数，如70%，表明资产价格将向同一方向变化。如果两种资产的价格变化没有关联度，那么二者的相关系数是0。如果相关系数为负数，则资产将向不同的方向变化。

投资组合的风险将小于单个资产的平均值。同时，组合风险跟随相关系数一同下降。组合中资产的相关系数越小，组合的风险也越小。因而将不完全相同的资产组合起来的分散化策略是有利可图的。但我们又如何将资产搭配到一个配置均衡的投资组合之中呢？

某个由多种非高度相关资产构成的投资组合总是能够提供较低的风险，但是只有一个最优资产搭配能够使投资组合风险最小化（这是因为尽管构成组合的资产种类一致但因投资权重不同使得投资组合的标准差最小，译者注）。如果你可接受的风险水平高于最优化后的投资组合，那么考虑到你的期望收益，组合风险已被最小化了。

要识别有效组合需要大量的计算机的运算能力。凭借Optimal Trader（软件名称，是Optimal Trader公司被广泛使用的数量化分析工具，译者注）中的“组合最优化“功能，你能轻而易举的计算股票和共同基金的有效边界。“组合最优化”是OptimalTrader中的一个风险管理工具，该软件基于现代投资组合理论而设计（哈利、马克维茨以此获得1990年的诺贝尔奖）。

Optimal Trader是一个用于分析股票、基金、货币等资产的分析软件。除了风险管理，软件还提供了基于神经网络和组合分析的技术分析功能。

[ 本帖最后由 erihao 于 2008-8-2 15:21 编辑 ]

空气稀薄

金融学的“大爆炸”始于1952年，是年马科维茨的论文“资产组合选择”在《金融杂志》上发表，这篇论文中，马科维茨第一次给出了风险和收益的精确定义，通过把收益和风险定义为均值和方差，马科维茨将强有力的数理统计方法引入了资产组合选择的研究中。Markowitz的主要贡献是，发展了一个概念明确的可操作的在不确定条件下选择投资组合的理论――这个理论进一步演变成为现代金融投资理论的基础。Markowitz的理论被誉为“华尔街的第一次革命”!

还有一件趣事。
Markowitz早年在芝大读博士时作金融学论文，弗里德曼认为那不是真正的经济学（数学太多）而差点没有给他学位。后来Markowitz因为创立金融学分支而与威廉.夏普，莫顿.米勒分享诺贝尔奖，获奖时他“耿耿于怀”地说现在大概没有人再会怀疑这的确是经济学。

补充一张风险和收益组合的有效边界图：