CFA-组合思维导图

这是一篇关于CFA-组合的思维导图。该思维导图对整个CFA 体系中的重点组合管理进行了系统论述，方便备考的同学学习，掌握。

CFA-组合

组合管理基础知识

组合管理的实施过程

基本概念

Portfolio 组合

Portfolio is a group of financial assets such as stocks, bonds, and cash equivalents, as well as their mutual, exchange-traded funds, etc. 投资组合是一组金融资产，如股票、债券、现金等价物，以及它们的共同基金、交易所交易基金等。

• Portfolio diversification 组合多元化

投资组合多样化有助于投资者避免灾难性的投资结果

分散化风险，规避极端事件的产生

Portfolio diversification also generally offer equivalent expected returns with lower overall volatility of returns 投资组合多样化通常也提供同等的预期回报，而整体回报的波动性更低

Portfolio approach to investing 组合投资法

Portfolio approach to investing: evaluating individual securities in relation to their contribution to the risk and return of the whole portfolio 投资组合方法:根据单个证券对整个投资组合的风险和收益的贡献来评估单个证券

投资组合管理的基本步骤

1、Planning 计划

Understanding the clients' needs 了解客户的需求

Developing the investment policy statement (IPS) 制定投资政策声明(IPS)

2、Execution 执行

Asset allocation 资产配置

Security analysis 安全分析

Portfolio construction 资产组合构架

3、Feedback 反馈

Portfolio monitoring and rebalancing 投资组合监控和再平衡

Performance measurement and reporting 绩效测量和报告

投资策略说明(IPS)

The benchmark should be specified in IPS for evaluation 评价基准应在IPS中指定

IPS should be reviewed regularly 经常更新，至少1年1次

1、Investment objectives (RR)

（1） Return obiectives 收益率目标

Absolute return obiectives VS relative return obiectives 绝对收益率目标 vs 相对收益率目标

（2） Risk objectives( risk tolerance 风险目标）

Absolute risk objectives vs relative risk objectives 绝对风险目标 vs 相对风险目标

Ability to bear risk Vs willingness to bear risk 承担风险的能力 vs 承担风险的意愿

2、Investment constraints (TTLLU)

1. Time horizon 投资期限

2. Tax concerns 税收问题

3. Liquidity: the potential need for cash .流动性:对现金的潜在需求

4. Legal and regulatory 法律和监管

5. Unique needs and preferences 独特的需求和偏好

资产配置

Strategic asset allocation (SAA)战略资产配置

use objectives and constraints from IPS and long-term capital market expectations to select an optimal portfolio 利用来自IPS和长期资本市场预期的目标和约束来选择最优投资组合

更加宏观、期限更长，更关注资产大类

Specifications of asset classes

Correlations of returns of assets within an asset class should be relatively high 一个资产类别内的资产回报率的相关性应该是相对较高的

Correlations of returns between asset classes should below 不同资产类别之间的收益相关性应该比较低

Tactical asset allocation (TAA)战术资产配置

deviations from SAA according to short-term market expectation, and security selection as permitted and appropriate 根据短期市场预期偏离SAA，并在允许和适当的情况下选择证券

更关注短期、更关注个股，个券

基于ESG的考虑

ESG considertions

environmental issues, social issues, governance issues 环境问题， 社会问题， 公司治理问题

ESG Integration

Best-in-class 优先挑打分比较高的股票

identifying companies that rank most favorably based on ESG considerations 根据ESG的考虑，确定排名最靠前的公司

Shareholder engagement 股东参与

voting rights, shareholder proposals, dialogue with company managers 投票权，股东提案，与公司经理的沟通

Thematic investing 主题投资

focusing on a business theme that relate positively to ESG issues 专注于与ESG问题积极相关的业务主题

集合类投资产品

共同基金

Open-end mutual funds 开放式基金

Investors can buy and redeem the mutual fund shares at net asset value (NAV) 投资者可按资产净值购买及赎回共同基金股份

随时能够申购赎回

Not fully invested as some cash kept for redemption 没有完全投资作为一些现金保留赎回

保留部分资金，以备不时之需

Closed-end mutual funds 封闭式基金

No new investments are accepted 不接受新的投资

Could be fully invested 可以充分投资

Traded at a premium or discount to net asset value 以高于或低于资产净值的价格交易

交易所交易基金(ETFs)

有开放型基金的特征

Exchange-traded funds (ETFs) can be bought and redeemed, or it can trade its share in the secondary market 交易所交易基金(etf)可以购买和赎回，也可以在二级市场交易其份额 Investors can buy and redeem with a basket of shares 投资者可以购买和赎回一篮子股票 Trading prices are close to the net asset value of the fund 交易价格接近基金的资产净值 ETFs are often having tax advantages over index mutual funds etf通常比指数共同基金有税收优势 Transaction costs are lower compared to mutual funds 交易成本比共同基金低

投资者类型

个人投资者

Individuals 个人

Defined contribution(DC)pension plan 设定提存的养老金计划

Individuals make specified contributions to pension plan 个人向养老金计划缴纳一定数额的款项 The benefits are not guaranteed 福利并没有得到保证 Individuals accept the investment risk and rewards 个人接受投资风险和回报

机构投资者

资管行业简介

Active management 积极管理

smart beta strategies

Passive management 被动式管理

replicate the returns of a market index 复制市场指数的回报

Traditional management

long-only equity, fixed-income 做多股票、做多债券市场

Asset-based management fees 基于资产的管理费用

Alternative management

hedge fund, private equity, venture capital strategies 对冲基金，私人股本，风险投资策略

Both management and performance fees 管理费用和绩效费用

风险管理

风险管理基础

基本概念

Risk

risk exposure to uncertainty 不确定性风险暴露

Risk exposure 风险敞口

Risk exposure: actual risk borne by a business or investor 风险暴露:企业或投资者承担的实际风险

Risk management 风险管理

Risk management: the process by which an organization or individual defines the level of risk to be taken, measures the level of risk being taken, and adjusts the latter toward the former, to maximize the portfolio's value 风险管理:一个组织或个人定义要采取的风险水平，衡量要采取的风险水平，并调整后者向前者，以使投资组合的价值最大化的过程 1、定义自己想要承担多少风险 2、计量现在实际承担多少风险 让我现在实际所承担的风险慢慢往我预期方向去靠，同时能够增加整体的价值。

Risk management framework

Risk infrastructure 风险管理基础设施

Risk infrastructure: the people and systems required to track risk exposures and perform the quantitative risk analysis to assess the organization's risk profile 风险基础设施: 跟踪风险暴露和执行定量风险分析以评估组织的风险概况所需的人员和系统

Risk governance 风险治理

Risk governance: the top-down process and guidance that directs risk management activities to the overall enterprise 风险治理:将风险管理活动导向整个企业的自顶向下的过程和指导

top-down process 高层次的概念

风险治理

Elements of effective risk governance 有效风险治理的要素

Enterprise risk management 全面风险管理

Enterprise risk management: provides an enterprise-view of risk management, and focus risk activities on the entire organization 企业风险管理:提供风险管理的企业视图，并将风险活动集中于整个组织

站在整个组织的角度去看

Risk tolerance (risk appetite) 风险容忍度(风险偏好)

Risk tolerance (risk appetite): identifies the extent to which the entity is wiling to experience losses or fail in meeting its objectives 风险承受能力(风险偏好):确定实体在达到目标时愿意遭受损失或失败的程度 • Risk tolerance serve as the high-level guidance for management in its strategic selection of risks 风险容忍度是管理人员进行风险战略选择的高层次指导

high-level guidance 最高层人员制定

定性

Risk budgeting 风险预算

Risk budgeting: quantifies and allocates the tolerable risk by specific metrics 风险预算:通过特定的度量来量化和分配可容忍的风险 • A means of bridging from the high-level governance risk decision to the many management decisions 一种连接高层治理风险决策和许多管理决策的方法

定量

Risk budgeting: quantifies and allocates the tolerable risk by specific metrics 风险预算:通过特定的度量来量化和分配可容忍的风险

一种连接高层治理风险决策和许多管理决策的方法

风险管理过程

风险识别

Financial risk

Market risk

Market risk: risks that arise from movements in interest rates, stock prices, exchange rates, and commodity prices 市场风险:由利率、股票价格、汇率和商品价格变动引起的风险

Credit risk

Credit risk: risk of loss if one party fails to pay an amount owed on an to another party 信用风险:因一方未能支付其欠另一方的款项而造成损失的风险

Liquidity risk

Liquidity risk: risk that cannot be quickly liquidated at fair value 流动性风险:不能以公允价值迅速清偿的风险

Non-financial risk

• Model risk: the risk of a valuation error from improperly using a model 模型风险:由于不正确使用模型而导致的估值错误的风险 • Tail risk: the probability of extreme losses is higher than predicted 尾部风险:极端亏损的概率高于预期 • Operational risk: risk that arises from the people and processes 操作风险:来自人员和过程的风险 • Solvency risk: the entity does not survive or succeed because it runs out of cash 偿付风险:实体无法生存或成功，因为它耗尽了现金 • Settlement risk 结算风险 • Legal risk 法律风险 • Compliance risk 合规风险

风险计量

Measurement of market risk 市场风险的度量

• Probability 可能性 • Standard deviation 标准偏差 • Beta β • Sensitivity (Delta, Gamma, Duration) 灵敏度 • Value at Risk (VaR) & Conditional VaR (CVaR) 风险价 • A measure of the minimum amount of loss expected for a given period at a given level of probability 给定的概率水平下，在给定的时间内预期的最小损失金额的一种度量 • Extreme value theory (EVT) 极值理论 • Scenario analysis and stress testing 场景分析和压力测试

Measurement of credit risk 信用风险度量

• Credit rating 信用等级 • Solvency ratios 偿债比率 • Profitability ratios 盈利能力比率 • Leverage measures 杠杆量测量 • Credit VaR, probability of default, expected loss given default, and the probability of a credit rating change 信用VaR，违约概率，违约时的预期损失，以及信用评级变化的概率 • Ex-ante risk cost 事前的风险成本

风险处置

Methods of risk modification 风险修正方法

1. Risk prevention and avoidance 风险防范和规避 2. Risk acceptance: self-insurance and diversification 风险接受:自我保险和多元化 3. Risk transfer 风险转移 4. Risk shifting 风险转移

Factor considered in choosing the methods 在选择方法时要考虑的因素

Trade-off between costs and benefits

现代投资组合理论

收益率计算

基本概念

Arithmetic mean return 算术平均回报率

Arithmetic mean return: focus on average single-period performance 算术平均回报:关注单期平均表现

单期

Geometric mean return 几何平均收益率

Geometric mean return: focus on multi-period performance 几何平均回报:关注多时段表现

多期、复利

Holding period return( HPR) 持有期间回报率

Holding period return( HPR)is the return that an investor earns over a specified holding period 持有期收益(HPR)是指投资者在特定的持有期内获得的收益

HPR=(p1+d1) /p0 - 1 p1:期末price d1 : coupon , dividend p0:期初的price

Annualized return 年化回报率

时间加权收益率

Time-weighted return(TWR)is the compound return that $1 initially invested in the portfolio over a stated measurement period 时间加权回报(TWR)：是指最初投资于投资组合的1美元在规定的衡量期内的复合回报

货币加权收益率

Money-weighted return(MWR)is the IRR based on the cash flows related to the investment 货币加权回报(MWR)：是基于与投资相关的现金流的内部收益率

TWR与MWR的比较

效用理论

风险偏好

Risk averse 风险厌恶

• Investors want to minimize risk for the same amount of return 投资者希望最小化风险，获得相同的回报 • Investors want to maximize return for the same risk 投资者希望在相同的风险下获得最大的回报

Risk neutral 风险中立

• Investors are indifferent about gamble or guaranteed outcome 投资者对赌博或有保证的结果漠不关心 • Investors care only about return 投资者只关心回报

Risk seeking 风险偏好

• Investors get extra "utility" from the uncertainty 投资者从这种不确定性中获得了额外的“效用” • Investors love higher risk given certain expected return 投资者喜欢有一定预期回报的高风险

效用函数

Utility function reflects the relative satisfaction that an investor drives from different investment portfolios 效用函数反映了投资者从不同投资组合中获得的相对满意度

A：风险规避的度量

A越大，当事人对风险越厌恶；同样承担一单位的风险，越厌恶的人，所要求的额外补偿越多

• A > 0. when investor is risk-averse 风险规避 • A = 0. when investor is risk-neutral 风险中性 • A < 0, when investor is risk-seeking 风险寻求

无差异曲线 Indifference curve

Indifference curve plots the combinations of risk-return pairs that an investor would accept to maintain a given level of utility 无差异曲线绘制的是投资者为了维持给定的效用水平而接受的风险-回报组合 For a risk-averse investor, the curves are upward sloping and convex (get steeper) because of diminishing marginal utility of return 对于一个风险厌恶的投资者，曲线是向上倾斜和凸(变得更陡峭)，因为边际效用递减的回报 · As risk increases, an investor needs greater return to compensate for higher risk at an increasing rate 随着风险的增加，投资者需要以更高的速度来补偿更高的风险

这条曲线上所有的点，效用是没有差异的

马科维茨投资组合理论

投资组台的收益与风险

Return of the portfolio with two assets 两种资产组合的收益

Risk of the portfolio with two assets 两种资产组合的风险

有效前沿的概念

Minimum-variance frontier of risky assets 最小方差前沿

Global minimum-variance 全局最小方差点

Efficient frontier of risky assets 风险资产的有效边界

Efficient frontier of risky assets: portfolios above efficient frontier is not achievable, and portfolios below efficient frontier is inefficient 风险资产的有效边界:高于有效边界的投资组合是无法实现的，低于有效边界的投资组合是无效率的

有效前沿上的最优投资组合

Optimal portfolio along efficient frontier 沿着有效边界的最优投资组合

Investor (A=4)should choose portfolio “x”, the tangent point of indifference curve to efficient frontier 投资者(A=4)应选择投资组合“x”，即与有效边界无差异曲线的切点

Less risk-averse investor(A=2)will select portfolio“y”(more in risky asset） 风险厌恶程度较低的投资者(A=2)会选择“y”组合(风险资产较多)

资本配置线 CAL

资本配置线的概念

Capital allocation line (CAL) represents the portfolios available to an investor through combining the risk-free asset with one risky asset 资本配置线(CAL)表示投资者通过将无风险资产与一种风险资产结合而获得的投资组合 有效前沿上的随便一个点，跟无风险利率的连线，这条线叫做资本配置线。 有无数条。 资本配置线与有效前沿的切线，夏普比率最高

A是有效前沿曲线上的任意一点

利用杠杆，可将有效前沿扩充为一条射线

The Sharpe ratio of CAL(C) is the highest 夏普比率最高

应该选择CAL(C)，因为它在这三种CAL中提供了/最高的效用highest utility

资本配置线上的最优投资组合

引入无风险利率，把有效前沿从弯的黑线，变成绿颜色的射线，最佳的点从x点移动到P点，无论是从效用还是夏普比率，都得到了提升。

Investor should choose "Y" as the optimal risky portfolio, which will be combined with risk-free asset 投资者应选择“Y”作为最优风险投资组合，与无风险资产组合

Investor should choose portfolio "P" as the optimal investor portfolio 投资者应选择P组合作为最优投资组合

资本市场线 CML

market portfolio（M）

Assuming all investors have a homogeneous expectation 假设所有投资者都有一个同质预期 • All investors have identical efficient frontier and identical optimal risky portfolio, which is the market portfolio (M) 所有投资者具有相同的有效边界和相同的最优风险组合，即市场组合(M)

包含风险资产，不包含无风险资产

前提:一致预期:所有投资者对asset的return&risk预期一致—不符合实际的 基于一致预期情况下,所有最优CAL变成了1根线 (CML) CML是一个特殊的CAL CML和有效前沿的切点M:市场组合

Capital market line (CML)

Capital market line (CML) is a special CAL that includes all possible combinations of Rf asset and market portfoli 资本市场线(CML)是一种特殊的CAL，包括Rf资产和市场投资组合的所有可能的组合

假定：投资者能够以无风险利率，没有限制的借和贷

Rm是CML与有效前沿曲线的切点

资本资产定价模型CAPM

系统性风险与非系统性风险

Systematic risk 系统性风险

Systematic risk is the risk affects the entire market or economy, which cannot be avoided and is inherent in the overall market 系统性风险是影响整个市场或经济的风险，是整个市场固有的、不可避免的风险

• Caused by macro factors: interest rates, exchange risk, policy risk 宏观因素造成:利率、汇率风险、政策风险 • Measured by Beta of the asset, which is a measure of systematic risk of an asset, representing how sensitive an asset's return is to the market as a whole 由资产的Beta衡量，这是一项资产的系统风险的衡量，代表了单一资产对于市场回报的敏感程度

Unsystematic risk 非系统性风险

Unsystematic risk is the risk can be reduced or eliminated by holding well-diversified portfolios 非系统风险是指通过持有多样化的投资组合可以降低或消除的风险 （通过增加组合中资产的种类可以起到分散化的作用-—降低组合非系统风险。前提:构建一个充分分散化的组合不需要额外的成本）

Because diversification is cost-free, investors are only rewarded for taking systemic risks 由于分散投资是无成本的，投资者只有承担系统性风险才能获得回报

系统risk :对整个经济体都有影响 非系统风险∶只对某行业or某企业有影响 承担系统risk ：有reward 承担非系统risk ：无reward

模型的前提假定

Assumptions of Capital Asset Pricing Model(CAPM) 资本资产定价模型(CAPM)假设 ·Investors are risk averse, utility-maximizing, rational individuals 投资者是规避风险、追求效用最大化的理性个人 ·Investor plan for the same single holding period 投资者计划为同一单一持有期 ·Investor have homogeneous expectations or beliefs 投资者有同质的预期或信念，想法一样 ·Investors are price takers 投资者是价格接受者 ·All investments are infinitely divisible 所有的投资都是无限可分的 ·Markets are frictionless, including no cost and no taxes 市场是无摩擦的，包括没有成本和税收

模型的公式

• The expected return is only measured by beta (systematic risk) 期望回报只能用beta(系统风险)来衡量 • Used for assets valuation by investors and capital budgeting 用于投资者进行资产评估和资本预算

：market risk premium 市场的风险溢价

Rm ： market portfolio return

证券市场线

子主题

关业绩评价指标

技术分析

技术分析基础

技术分析与基本面分析

Technical Analysis

技术分析原理

• Analyzed using price and volume 分析使用价格和数量（过去式） • Prices are determined by supply and demand 价格由供给和需求决定 • Market reflects the collective knowledge and sentiment of many varied participants and the amount of buying and selling activity in a particular security 市场反映了许多不同参与者的集体知识和情绪，以及在某一特定证券的买卖活动的数量

Studying the price and volume data 研究价格和成交量数据

Trying to find the market price it will trade 试图找到它将交易的市场价格

Can work in commodities markets 能在大宗商品市场上工作

Fundamental Analysis

Numerous estimates and assumptions are added in financial statements 财务报表中添加了大量的估计和假设

Trying to find the intrinsic value it should trade 试图找到它应该交易的内在价值

May not work in commodities markets 在大宗商品市场可能不起作用

使用技术分析的前提假设

1. The trades determine volume and price 交易决定了交易量和价格 2. Market price reflects both rational and irrational behavior of market participants 市场价格反映了市场参与者的理性和非理性行为 3. The Efficient Market Hypothesis (EMH) does not hold 有效市场假说(EMH)并不成立 4. The securities are freely traded in the market 这些证券在市场上自由交易 5. The trends and patterns tend to repeat themselves which makes the price predictable 趋势和模式倾向于重复，这使得价格可以预测

技术分析的优缺点

Advantages of technical analysis 技术分析优势 ·It is based on actual trade data 它是以实际贸易数据为基础的 ·It can be used for assets with no cash flows to be discounted for valuation (e.g. commodities, currencies） 它可以用于没有现金流的资产贴现估值(例如商品、货币)

Disadvantages of technical analysis 技术分析的缺点 ·May not work in illiquid markets 在非流动性市场中可能不起作用 ·May not work in markets subiect to manipulation 可能在受操纵的市场中不起作用 ·May not work for valuing bankrupt companies 对评估破产公司可能不起作用

技术分析运用

常用的技术形态与技术指标

Patterns of charts 图表模式

Trend 趋势

Support line vs resistance line 支撑线和阻力线

Change in polarity 极性反转

Reverse patterns Vs continuing patterns 反向模式Vs持续模式

Technical analysis indicators 技术分析指标

Price-based indicators 基于价格的指标

Momentum indicators 动能指标

Sentiment indicators 情绪指标

Flow of funds indicators 资金流动指标

周期与波涛理论

Cycle analysis 周期分析

Kondratieff wave: 54-year

18-year cycle

Decennial cycle: 10 years

Presidential cycle: 4 years

Elliott wave theory 艾略特波浪理论

Up trends and down trends 上升趋势和下降趋势

Wave sizes conform to Fibonacci sequence 波的大小符合斐波那契数列

金融科技

金融科技基础

大数据分析

Sources of big data 大数据来源

Sources of traditional data 传统数据的来源

Financial markets 金融市场

Governments 政府

Sources of non-traditional ( alternative) data 非传统(替代)数据的来源

Individuals

Business process

Sensors

Characteristics of big data 大数据特点

Volume 大量的

Velocity 速度快

Variety 多样化

人工智能 Artificial Intelligence(AI)

Computer systems that exhibit cognitive and decision-making ability comparable or superior to that of human beings 计算机系统表现出的认知和决策能力可与人类媲美或优于人类

Neural networks: programming based on how our brain learns and process information 神经网络:基于我们的大脑如何学习和处理信息的编程

机器学习

types of machine learning 机器学习的类型

Supervised learning 监督式学习

输出的结果是在表单里选择的

Unsupervised learning 无监督学习

输出的变量无法定义

Deep learning 深度学习

以上两者的结合

Limitations of machine learning 机器学习的局限性

Machine learning still requires human judgement 机器学习仍然需要人类的判断

Overfitting and underfitted 过度拟合(将某些噪音当成正常数据处理）； 欠拟合（本身是一个正常数据，却当做噪音没有处理）

金融科技运用

文本分析与自然语言处理

Text analytics 文本分析

Text analytics the use of computer programs to analyze and derive meaning from typically large, unstructured text or voice-based datasets 文本分析是指使用计算机程序从大型、非结构化文本或基于语音的数据集中分析并得出含义

Natural language processing (NLP)自然语言处理

Natural language processing(NLP): computer programs developed to analyze and interpret human language NLP is an application of text analytics 自然语言处理(NLP):为分析和解释人类语言而开发的计算机程序

机器人投顾

Fully automated digital wealth managers 全自动数字财富管理器

Adviser-assisted digital wealth managers 顾问协助的数字财富经理

风险分析

Monitoring risk in real time 实时监控风险

Assess data quality 评估数据质量

Stress tests and scenario analysis 压力测试和情景分析

算法交易 Algorithmic trading

High speed of execution, anonymity, and lower transaction costs 高执行速度、匿名性和较低的交易成本

High-frequency trading are executed on ultra-high-speed, low- latency networks 高频交易是在超高速、低延迟的网络上执行的

分布式记账技术

Distributed ledger is a type of database that may be shared among entities in a network 分布式分类账是一种可以在网络实体之间共享的数据库

哈希函数，去中心化

Permissionless networks 无需许可的网络

Permissioned networks 需要许可网络

去中心化

Application of DLT

Cryptocurrencies 加密货币

Initial coin offering (ICO) 首次代币发行

Compared With IPO, ICO will have ： 与IPO相比，ICO将有: ·Unregulated process 不受监管的过程 ·Lower issuance cost 降低发行成本 ·Shorter capital raising time frames 较短的筹资时间 ·Do not typically have attached voting rights 通常没有附加表决权

Tokenization 资产代币化

Post-trade clearing and settlement 交易后清算和结算

Compliance

技术分析---price量 基本面分析---财报数据

大宗商品产品没有cash flow—基本面分析不适用，但是技术分析适用

风险承担能力---客观因素 风险承担意愿---主观因素

充分分散化=无非系统风险=系统风险=beta treynor ratio= Rp-Rf/beta

买入无风险资产=借出资金="lending" portfolios. 用无风险利幸借入资金给M加杠杆=借入资金="borrowing" portfolios.

market portfolio =特殊的最优风险组合

所有cal的截距都是 Rf 每个cal的斜率是构成该cal的风险资产的夏普比率

The optimal CAL has the greatest slope among all availableCALs. 最优CAL的斜率是所有可用CAL中最大的。

最优CAL左上方的点，是任何资产无法达到的;最优CAL上的点是左右资产组合中最优的一批,

最优CAL是无风险资产和最优风险组合构成

最优风险组合：Rf与有效前沿构成的切线上的切点

The efficient frontier,which is the part of theminimum-variance frontier,lies above the global minimum-variance portfolio. 有效边界位于全局最小方差边界之上，是最小方差边界的一部分。

有效前沿不受到无风险资产的影响； CAL受到无风险资产的有影响, （CAL的截距是Rf斜率是夏普比率）

其他因素不变的情况下，资产之间的相关系数越小，组合整体的risk越小

无差异曲线与y轴的截距是该曲线代表的效用(utility) 无差异曲线的弯曲程度越大:风险厌恶系数越大，越是厌恶风险

1.根据重大现全流分成n的自区间 2.计算每个子区间的HPR 3.带入TWR计算公式 （TWR :年化几何平均retum） 计算TWR整体开N次，N:整个持有期的年数 MWR=IRR

DB plan 养老金 需要考量的因素：1、雇员服务年限 ；2、退休时薪资水平

Interactions of risks: Risks do not usually arise independently, but generally interact with one another 风险的相互作用:风险通常不是独立产生的，但通常是相互作用的

Key trends in the asset management industry 资产管理行业的主要趋势 1. Growth of passive investing 被动投资的增长 2. Big data in the investment process 投资过程中的大数据 3. Robo-advisers in the wealth management industry 财富管理行业的机器人顾问