Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 13

 A portfolio's expected return is the weighted average of the expected returns of the asset classes within it.

 Expected return is measured as the arithmetic average, not the geometric average.

 A portfolio's risk is measured as the variance of returns or its square root, the standard deviation.

 Portfolio risk must account for how asset classes co-vary with one another.

 Portfolio risk is less than the weighted average of the variances or stan- dard deviations of the asset classes within it.

 Diversification cannot eliminate portfolio variance entirely. It can only reduce it to the average covariance of the asset classes within it.

 The efficient frontier comprises portfolios that offer the highest expected return for a given level of risk.

 The optimal portfolio balances an investor's goal to increase wealth with the investor's aversion to risk.

 Mean-variance analysis is an optimization process that identifies effi- cient portfolios. It is remarkably robust. For a given time horizon or assuming returns are expressed in continuous units, it delivers the correct result if returns are approximately elliptically distributed, which holds for return distributions that are not skewed, have stable correlations, and comprise asset classes with relatively uniform kurtosis, or if investor preferences are well described by mean and variance.