股票的投资组合
虽然资产在投资组合中包含已经决定,它也是至关重要的,确定的权重不同的股票投资组合。而巴克莱银行的预期收益最高,其风险也最高。这个要求需要最大化回报投资组合的风险率。
计算投资组合的ββ的加权平均的投资组合,而平均回报也以类似的方式计算。构建投资组合的目的是最大化的比例投资组合的超额收益与风险组件。这是通过使用特雷诺的比例的概念。
特雷诺比率的计算公式(麦克林,平托& Pirie,2011):
特雷诺比率=(投资组合回报率-基准回报率)/投资组合的β。
在这种情况下,基准的回报被认为是10年期英国国债收益率等于2%(彭博社,2012)。这个基准测试已经被选择,因为这是最安全的返回,可以获得在目前的经济动荡,因此投资组合应该超过这个返回同时最小化设计投资组合的风险。特雷诺比率是通过求解函数最大化的Excel和各自的权重四特易购的股票,英国石油公司(BP Plc)、巴克莱集团(Barclays Plc)和沃达丰股价被发现70%,分别为10%、10%和10%。
股票的投资组合
Though the assets to be included in the portfolio have been decided upon, it is also essential to determine the weights of the different stocks in the portfolio. While the expected return of Barclays is highest, its risk is also the highest. This calls for the need to maximize the reward to risk ratio of the portfolio.
The beta of a portfolio is computed as the weighted average of the beta of the portfolio, while the average return is also computed in the similar manner. The aim of constructing the portfolio is to maximize the ratio of the excess return of the portfolio in relation to its risk component. This is done by using the concept of Treynor’s Ratio.
The Treynor Ratio is computed by the formula (McMillian, Pinto & Pirie, 2011):
Treynor Ratio = (Portfolio Return – Benchmark Return)/Beta of the Portfolio.
In this case, the benchmark return has been assumed to be the return on 10 year UK Government Bonds which equals 2% (Bloomberg, 2012). This benchmark has been chosen as this is the safest return that can be earned in the present economic turmoil and hence the portfolio should be designed to exceed this return while minimizing the riskiness of the portfolio. The Treynor Ratio was maximized through the Solver function in Excel and the respective weights of the four stocks of Tesco Plc, BP Plc, Barclays Plc and Vodafone Plc were found to be 70%, 10%, 10% and 10% respectively.
