1、投資組合管理國際經(jīng)濟(jì)貿(mào)易學(xué)院 金融系李莉INSTRUCTORName ：李莉（PhD)辦公室: 博學(xué)樓1203課程答疑時間: 星期三 4-5 pm上課地點(diǎn)：博學(xué)樓509上課時間：星期三 1:30 pm-3 pmWHY TAKE THIS COURSE?Investment：投入當(dāng)前的資金或者資源，以期望獲取未來收益的行為Get prepared for your career or further studyGet prepared for the CFA examLearn some investments knowledge for funMaybe earn some money in

2、the stock marketEarn some credit for your studyCourse Description本課程內(nèi)容與國際CFA Program考試所要求的部分內(nèi)容一致。本課程將系統(tǒng)地講授投資學(xué)的重要理論和方法。理論包括：投資組合理論，CAPM，APT，利率期限結(jié)構(gòu)理論。方法包括：投資組合分析，凈現(xiàn)值定價法，股票和債券的定價。本課程突出理論性和應(yīng)用性，對投資學(xué)中的各項(xiàng)基本理論（如投資組合理論，CAPM，APT等）應(yīng)用圖形、文字、數(shù)學(xué)推導(dǎo)和實(shí)例進(jìn)行講授，要求學(xué)生掌握這些理論的基本思想和意義，以及在投資實(shí)踐中的作用，并掌握以Excel為工具對投資學(xué)模型進(jìn)行分析求解。WHY

3、THERE DOES NOT EXIST ANY ADVICE ON “GUARANTEED” WAYS TO BEAT THE MARKET？Any system designed to beat the market, once known to more than a few people, carries the seeds of its own destruction.There are two reasons for not including advice on “guaranteed” ways to beat the market in this book.First, to

4、 do so would make a successful system public and hence unsuccessful.Second, the authors know of such system.This does not mean that financial analysis is useless. Although individuals should be skeptical when others tell them how to use financial analysis to beat the market, individuals can try to u

5、nderstand the market with the use of financial analysis.-W. Sharpe, etc.TEXTBOOK AND REFERENCE(1) 投資學(xué)（第6版）（影印版），美WilliamF. Sharpe, GordonJ. Alexander, JeffeyV. Bailey著，清華大學(xué)出版社，2002. ISBN: 9787302047407(2) Investments 7th ed, Zvi Bodie, Alex Kane, and Alan J. Marcus, Richard D. Irwin, McGraw-Hill Com

6、panies, Inc. 2008(3) Investment Analysis and Portfolio Management by Frank K. Reilly and Keith C. Brown, The Dryden Press 1997.(4) Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk by Richard Grinold, Ronald Kahn. 積極型投資組合管理：控制風(fēng)險獲取超額收益的數(shù)量方法（第2版），

7、清華大學(xué)出版社(5) 投資學(xué)：以Excel為分析工具（原書第3版）， 美格萊葛 W.霍頓（Craig W. Holden）著，蔡慶豐等譯，機(jī)械工業(yè)出版社(6) HandoutsTABLE OF CONTENTS (TENTATIVE)第一章 投資學(xué)導(dǎo)論 （1）第一至三章，（2）第一至四章）投資環(huán)境和投資過程證券市場證券的交易第二章 現(xiàn)代投資組合理論（1）第六、七、八章，（2）第五、六、七、八章）投資組合選擇問題投資組合分析無風(fēng)險借貸應(yīng)用：用Excel做投資組合的最優(yōu)化問題文獻(xiàn)：Harry M. Markowitz, Portfolio Selection, Journal of Finance

8、, 7(1):77-91, 1952.TABLE OF CONTENTS (TENTATIVE)第三章 資本資產(chǎn)定價模型(CAPM)（1）第九章，（2）第九章）CAPM理論CAPM理論的實(shí)證研究應(yīng)用：用Excel做CAPM模型估計，應(yīng)用CAPM給資產(chǎn)定價文獻(xiàn)：W. F. Sharpe, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 20(3):425-442, 1964.第四章 套利定價理論(APT)（1）第十、十一章，（2）第十章）因素模型套

9、利定價理論(APT)應(yīng)用： 基于Excel的APT模型文獻(xiàn)：S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360, 1976.TABLE OF CONTENTS (TENTATIVE)第五章 普通股分析（1）第十六、十七、十八章，（2）第十七、十八章）宏觀分析行業(yè)分析股權(quán)估值模型*第六章 有效市場假說（1）第四章，（2）第十一、十二章）有效市場假說關(guān)于效率市場假說的實(shí)證研究行為金融GRADING(2)作業(yè)1作業(yè)2project期末總評最低分9295

10、956175.8最高分1001009610098.6均分97.2 98.4 95.7 87.1 91.0 PROJECT GUIDELINESTeam Work (5 members/team)第三周上課之前將小組成員名單上交運(yùn)用自上而下的分析，選擇一個行業(yè)，運(yùn)用股票估值定價模型，研究該行業(yè)中一只股票的估值及投資機(jī)會。上交Word文檔以及25頁左右的PPT最后兩次上課內(nèi)容為小組報告PPT第一章 投資學(xué)導(dǎo)論1.投資學(xué)所處的位置2.實(shí)物資產(chǎn)投資與金融資產(chǎn)投資3.企業(yè)組織形式的發(fā)展與公司治理4.投資環(huán)境5.證券的買賣6.股票價格指數(shù)7.金融市場的作用8.新趨勢1. 投資學(xué)所處的位置Introduct

11、ion to FinanceFinance is a subfield of economics distinguished by both its focus and its methodology. The primary focus of finance is the workings of the capital markets and the supply and the pricing of capital assets. The methodology of finance is the use of close substitutes to price financial co

12、ntracts and instruments. This methodology is applied to value instruments whose characteristics extend across time and whose payoffs depend upon the resolution of uncertainty. Basic Areas of FinanceCorporate finance (公司金融or公司理財) Investments (投資學(xué))Financial institutions (金融市場與機(jī)構(gòu))International finance

13、(國際金融)CORPORATE FINANCE(公司金融)企業(yè)管理者所做的與理財活動相關(guān)的決策企業(yè)的投資決策Capital budgeting(資本預(yù)算)M&A企業(yè)的融資決策Capital structure (資本結(jié)構(gòu))IPO企業(yè)的流動性與營運(yùn)資本管理現(xiàn)金、應(yīng)收賬款股利政策INVESTMENTS(投資學(xué))Work with financial assets(金融資產(chǎn)) such as stocks and bondsValue of financial assets, risk versus return, and asset allocationJob opportunitiesStock

14、broker or financial advisor(經(jīng)紀(jì)、咨詢、理財顧問)Portfolio manager(基金經(jīng)理、資管、理財)Security analyst(分析師、行研)FINANCIAL INSTITUTIONS（金融市場與機(jī)構(gòu)）Companies that specialize in financial mattersBanks commercial (存款性金融機(jī)構(gòu)，存貸業(yè)務(wù))Investment (證券承銷與經(jīng)紀(jì)、企業(yè)融資、兼并收購，創(chuàng)業(yè)投資等)混業(yè)與分業(yè)Insurance companies(財產(chǎn)保險，人壽保險)Brokerage firms, investment c

15、ompanies et al.Job opportunitiesINTERNATIONAL FINANCE（國際金融）This is an area of specialization within each of the areas discussed so far (國際收支、國際匯兌、國際結(jié)算、國際信用、國際投資和國際貨幣體系)It may allow you to work in other countries or at least travel on a regular basisNeed to be familiar with exchange rates and politic

16、al riskNeed to understand the customs of other countriesS. A. Ross 套利定價理論Arbitrage Pricing Theory(APT)S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360, 1976.F. Modigliani M. H. Miller Modigliani - Miller 定理 Modigliani, F., and M. H. Miller, The Cos

17、t of Capital, Corporation Finance, and the Theory of Investment, American Economic Review, June 1958, 261-297.F. Black M. Scholes R. Merton 期權(quán)定價的Black-Scholes 公式F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654.R. Merton, Theory of

18、 Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1):141-183.VARIOUS FORMS OF FINANCIAL AND REAL ASSETS在對全社會的資產(chǎn)負(fù)債表匯總時，金融資產(chǎn)會相互抵消家庭戶的金融資產(chǎn)對企業(yè)來說是負(fù)債國民財富凈值只包括實(shí)物資產(chǎn)Balance Sheet of U.S. Households, 2007Domestic Net Worth3.企業(yè)組織形式的發(fā)展與公司治理Forms of Business OrganizationThree major fo

19、rmsSole proprietorship(獨(dú)資企業(yè)，個體業(yè)主制)A business owned by one person.Partnership(合伙制-一般合伙，有限合伙)A business formed by two or more individuals or entities.Corporation(公司制)A corporation is a legal “person” separate and distinct from its owners.可比較的優(yōu)缺點(diǎn)Advantages and DisadvantagesLiquidity and Marketability o

20、f OwnershipControlLiabilityContinuity of ExistenceTax ConsiderationsSOLE PROPRIETORSHIP（獨(dú)資企業(yè)）AdvantagesEasiest to startLeast regulatedSingle owner keeps all of the profitsTaxed once as personal incomeDisadvantagesLimited to life of ownerEquity capital limited to owners personal wealthUnlimited liabi

21、lityDifficult to sell ownership interestPARTNERSHIP（合伙制）AdvantagesTwo or more ownersMore capital availableRelatively easy to startIncome taxed once as personal incomeDisadvantagesUnlimited liabilityGeneral partnershipLimited partnership(有限合伙制)General Partner(普通合伙人）Limited Partner（有限合伙人）Partnership d

22、issolves when one partner dies or wishes to sellDifficult to transfer ownershipCORPORATION （公司制）AdvantagesLimited liabilityUnlimited lifeSeparation of ownership and managementTransfer of ownership is easyEasier to raise capitalDisadvantagesDouble taxationSeparation of ownership and management agency

23、 problem CorporationPartnershipLiquidityShares can easily be exchanged.Subject to substantial restrictions.Voting RightsUsually each share gets one voteGeneral Partner is in charge; limited partners may have some voting rights.TaxationDoublePartners pay taxes on distributions.Reinvestment and divide

24、nd payoutBroad latitudeAll net cash flow is distributed to partners.LiabilityLimited liabilityGeneral partners may have unlimited liability. Limited partners enjoy limited liability.Continuity Perpetual lifeLimited life合伙制與公司制的比較THE AGENCY PROBLEM(代理問題）Separation of ownership and management can be b

25、oth an advantage and a disadvantageAdvantagesYou can benefit from ownership in several different businesses (diversification)You can take advantage of the expertise of others (comparative advantage)It is easier to transfer ownershipDisadvantageAgency problems if management goals and owner goals are

26、not alignedTHE AGENCY PROBLEM (代理問題）Agency relationship(代理關(guān)系)Principal(委托人) hires an agent（代理人） to represent its interestsStockholders (principals) hire managers (agents) to run the companyAgency problemConflict of interest between principal and agent (利益沖突)For example, stockholder vs. managersMANAG

27、ERIAL GOALS(經(jīng)理人的目標(biāo))Managerial goals may be different from shareholder goalsExpensive perquisitesSurvivalIndependenceIncreased growth and size are not necessarily the same thing as increased shareholder wealth.CORPORATE GOVERNANCE（公司治理1）Board of Directors（董事會）NominationCompensationAuditingRisk Manage

28、mentIndependent Non-executive directorCORPORATE GOVERNANCE（公司治理2）Managerial compensation（薪酬激勵機(jī)制）Incentives can be used to align management and stockholder interestsThe incentives need to be structured carefully to make sure that they achieve their goalTying bonuses to profits might encourage managem

29、ent to pursue short-run profits and forgo projects that require a large initial outlay. Stock options may work, but there may be an optimal level of insider ownership (manipulation of stock price by managers, entrenchment effect, tunneling effect) CORPORATE GOVERNANCE （公司治理3）Market for corporate con

30、trol(公司控制權(quán)市場)Why the threat of a takeover might make managers work toward the goals of stockholders?Other stakeholders such as banks（其他利益相關(guān)者的監(jiān)督）They can provide a valuable monitoring tool, but they can also try to force the firm to do things that are not in the owners best interest.FINANCIAL CRISIS

31、AND CORPORATE GOVERNANCE(金融危機(jī)與公司治理)Internal control（內(nèi)部控制）Managerial compensation（薪酬激勵機(jī)制）BonusShareholdingOptions4.投資環(huán)境包括證券的種類、在哪里及如何進(jìn)行證券的買賣等證券：用來證明持有人享有的某種特定權(quán)益的憑證。(1)證券種類憑證證券活期存款單、借據(jù)、收據(jù)等有價證券Capital Market資本證券，如股票、債券等 Money Market貨幣證券，包括銀行券、銀行票據(jù)等 財物證券，如貨運(yùn)單、提單、棧單等4.投資環(huán)境(1)證券種類金融資產(chǎn)的分類Fixed income or de

32、bt securities(固定收益型)收益受發(fā)行公司財務(wù)狀況影響小Equity securities (權(quán)益型)收益受經(jīng)營績效影響大Common stockResidual claimLimited liabilityPreferred stockFixed dividends -limitedPriority over commonDerivative securities(衍生產(chǎn)品)股票債券（公司債券）持有者與公司的關(guān)系所有關(guān)系，所有權(quán)憑證債權(quán)債務(wù)關(guān)系，債權(quán)憑證期限無到期日一般有到期日收益形式股息紅利利息收益支付根據(jù)公司經(jīng)營狀況支付按利率如期支付享有的權(quán)利有經(jīng)營管理權(quán)無經(jīng)營管理權(quán)，有優(yōu)先

33、清償權(quán)風(fēng)險較大較小發(fā)行影響自有資本負(fù)債4.投資環(huán)境(1)證券種類Money Market （貨幣市場）Short-Term (maturity 1 year) plus equitiesBonds（債券）：中長期國債、企業(yè)債等Equity（股票）：普通股，優(yōu)先股Derivatives（衍生工具）4.投資環(huán)境(1)證券種類 衍生證券（DERIVATIVES SECURITIES）期權(quán) （Options）Call: option to buy some assetPut: option to sell some asset Basic PositionsLong (Buy)Short (Sell)

34、TermsExercise PriceExpiration DatePremium or Option PriceAssets期貨（Futures） Basic PositionsLong (Buy)Short (Sell)TermsDelivery DateAssets4.投資環(huán)境(2) 收益率與風(fēng)險收益率(Rate of return)指在某一時期內(nèi)(持有期)某項(xiàng)投資所帶來的財富變動的百分比(HPY)(2.1) 歷史收益率 (事后)收益率=（期末財富-期初財富）/期初財富例子：收益率(2.2) 平均歷史收益率(TIME SERIES ANALYSIS OF PAST RATES OF RE

35、TURN)假設(shè)你的投資持有期包含n個相等的時段，每一時段的收益率為ri, i=1, 2, ., nArithmetic mean (算術(shù)平均收益率AM） return earned in an average period over multiple periods(平均回報率)Geometric mean（幾何平均收益率GM） average compound return per period over multiple periods (復(fù)合平均回報率)例子：平均歷史收益率小結(jié)：AM=GMAM等于GM的條件？GM的優(yōu)勢例子：100-0.280.72-0.280.722.3%0.2%(2.

36、3)預(yù)期收益率(事前)預(yù)期收益率是投資者在評估某項(xiàng)未來可選投資時預(yù)期或期望獲得的收益率預(yù)期收益率：例子(2.4) 收益率的風(fēng)險風(fēng)險指未來收益率的不確定性，通常用所估計出的預(yù)期收益率的方差或者標(biāo)準(zhǔn)差衡量風(fēng)險：例子歷史收益率的風(fēng)險相對變動性指標(biāo)：變異系數(shù)CV(2.5) 必要收益率的決定與構(gòu)成REQUIRED RATE OF RETURN投資：投入當(dāng)前的資金或者資源，以期望獲取未來收益的行為延遲當(dāng)前消費(fèi)投資一般具有兩個特性：時間和風(fēng)險投資者要求補(bǔ)償以下三部分：投入資金的時間價值預(yù)期的通貨膨脹未來收益的不確定性，風(fēng)險(2.5.1)真實(shí)無風(fēng)險收益率REAL RISK-FREE RATE基礎(chǔ)利率，貨幣的純

37、時間價值。在沒有通貨膨脹的經(jīng)濟(jì)中，投資者推遲當(dāng)前消費(fèi)并允許他人似乎用這部分儲蓄而要求得到的收益率影響因素：主觀：消費(fèi)的時間偏好客觀：經(jīng)濟(jì)中存在的投資機(jī)會(2.5.2)預(yù)期通貨膨脹率ANTICIPATED RATE OF INFLATION(2.5.3)風(fēng)險溢價 RISK PREMIUMCommon to all investments無風(fēng)險投資的收益率未來收益的數(shù)量、時間確定Peculiar to each investment風(fēng)險資產(chǎn)：風(fēng)險溢價要求較高的投資收益率對任何不確定性做出補(bǔ)償，這種在無風(fēng)險收益率之上的必要收益率的增加為風(fēng)險溢價經(jīng)營風(fēng)險(Business risk)財務(wù)風(fēng)險(Fina

38、ncial risk) 流動風(fēng)險(Liquidity risk)違約風(fēng)險(Default risk)利率風(fēng)險通貨膨脹風(fēng)險國家經(jīng)濟(jì)狀況(2.6)風(fēng)險與必要收益率之間的關(guān)系4.投資環(huán)境(3)金融中介與證券市場金融中介間接融資直接融資證券市場一級市場二級市場Direct FinanceBorrowers borrow directly from lenders in financial markets by selling financial instruments which are claims on the borrowers future income or assetsIndirect F

39、inanceBorrowers borrow indirectly from lenders via financial intermediaries (established to source both loanable funds and loan opportunities) by issuing financial instruments which are claims on the borrowers future income or assetsPrimary（一級市場、證券發(fā)行市場）New security issues sold to initial buyersTypic

40、ally involves an investment bank who underwrites the offeringKey factor: issuer receives the proceeds from the sale.Secondary（二級市場、證券交易市場）Securities previously issued are bought and soldExamples include the NYSE, Nasdaq, Hong Kong Stock Exchange (HKex), Shanghai Stock Exchange (SSE)Involves both bro

41、kers and dealersIssuing firm doesnt receive proceeds and is not directly involved.證券市場FirmsInvestorsSecondary MarketmoneySueBobStocks and BondsMoneyPrimary MarketStocks and Bonds證券發(fā)行市場投資銀行作用？證券的承銷Initial public offering (IPO)Seasoned new issuespublic offering and private placementIPOUnderwriting (承銷

42、) vs. Best Efforts(代銷)Underwritting: firm commitment (堅定承諾) on proceeds to the issuing firm.If the investment bank and company reach an agreement to do an underwritingalso known as a firm commitmentthen the investment bank will buy the new securities for an agreed price, and resell the securities to

43、 the public at a markup, bearing all of the expenses associated with the sale. The company gets the guaranteed funds even if the investment bank does not sell all of the securities. Thus, the investment bank takes a significant risk in a firm commitment. Often, the investment bank becomes a broker-d

44、ealer, or market-maker, in the new security.Best Efforts: no firm commitmentMost agreements for the sale of new securities are an underwriting, but sometimes the investment bank will agree to a best efforts approach because the company is perceived as a risky investment for a new issue. The investme

45、nt bank will do its best to sell all of the new securities, but it does not guarantee it. The company bears the risk that the investment bank may fail to sell all of the new issue, thereby lessening the amount of money that the company receives.IPOInitial Public Offerings (IPOs)Evidence of underpric

46、ingPerformanceLiteratureJay Ritter/ritter/LONG-TERM RELATIVE PERFORMANCE OF INITIAL PUBLIC OFFERINGS證券交易市場National and local securities exchangesTrades conducted in central locations (e.g., New York Stock Exchange, CBT, HKex, SSE) broker dealerOver -the-counter marketDealers at different locations b

47、uy and sellBest example is the market for Treasury securitiesNASDAQbid priceask pricedirect trading between two parties5.證券的買賣交易指令公司的名稱買還是賣買賣的數(shù)量交易指令的有效時間交易指令的類型交易指令的類型按時間劃分: day order, week order, open order (good-till-canceled order), fill-or-kill-order按對價格的限制劃分: market order，limit order, stop-loss

48、 order, stop limit order1厘錢買到海爾權(quán)證！ 南京股民一天狂賺700倍保證金交易現(xiàn)金賬戶保證金賬戶擔(dān)保協(xié)議保證金交易(1)買空(Margin buy)(2)賣空(Short sell)東阿阿膠(000423)201209042012101842.07(1)保證金交易：買空A、什么是買空交易B、買空后的保證金帳戶資產(chǎn)負(fù)債表C、三個保證金比例的定義D、三種保證金賬戶的狀態(tài)E、總結(jié)A、什么是買空(MARGIN PURCHASE)交易投資者預(yù)期證券價格將上漲，想多買一些該證券但手頭資金不足時利用該策略通過交納保證金向證券商借入資金買進(jìn)證券(Margin Purchase)，等待

49、價格漲到一定程度時再賣出證券以獲取價差，將所得的部分款項(xiàng)歸還證券商貸款，并結(jié)束買空地位買空交易利用保證金帳戶來進(jìn)行。以保證金方式購買的股票作為貸款抵押存放在保證金賬戶，股票登記所有人是證券商投資人手里既無足夠的資金，也不持有證券，所以稱為買空交易買空交易的杠桿作用擴(kuò)大金融風(fēng)險B、買空后的保證金帳戶資產(chǎn)負(fù)債表例子：投資者用保證金賬戶以50元每股的價格購買了100股D公司的股票，初始保證金比例為60%買空投資者的保證金賬戶(Margin Purchase)：T=0AssetLiability & EquityMarket value of stock（證券市值）$5,000Margin Loan(

50、貸款)$2,000Equity(凈值)$3,000 Total assets$5,000 Total liabilities and equity$5,000初始保證金比例IM (Initial margin requirement)投資者在用保證金賬戶購買證券時自己應(yīng)支付的購買成本的最小比例C、三個保證金比例的定義初始保證金比例IM (Initial margin requirement)投資者在用保證金賬戶購買證券時自己應(yīng)支付的購買成本的最小比例經(jīng)紀(jì)商規(guī)定：60%=3000/5000實(shí)際保證金比例AM (Actual margin)保證金賬戶凈值與證券市值的比例AM=(證券的市值-貸款)/

51、證券市值維持保證金比例MM (Maintenance margin) 經(jīng)紀(jì)商為降低風(fēng)險而要求投資者在其賬戶中最低應(yīng)保留的實(shí)際保證金經(jīng)紀(jì)商規(guī)定：50%買空投資者的保證金賬戶(Margin Purchase): T=0AssetLiability & EquityMarket value of stock（證券市值）$5,000Margin Loan(貸款)$2,000Equity(凈值)$3,000 Total assets$5,000 Total liabilities and equity$5,000D、三種保證金賬戶的狀態(tài)a. Overmargined (AMIM)保證金盈余，可以將超出I

52、M的部分提現(xiàn)b. Restricted (MM=AM=IM)限制使用賬戶，不能提現(xiàn)無需追加保證金c. Undermargined (AMIM保證金盈余，可以將超出IM的部分提現(xiàn)b. MM=AM=IM限制使用賬戶，不能提現(xiàn)無需追加保證金c. AMIM)保證金盈余，可以將超出IM的部分提現(xiàn)b. Restricted (MM=AM=IM)限制使用賬戶，不能提現(xiàn)無需追加保證金c. Undermargined (AMMM)保證金不足，會收到追加保證金通知E、三種保證金賬戶的狀態(tài)（情形1）例子(續(xù)1) 情形一：H公司的股票在賣空交易后，價格從100元下降到90元該賬戶處于保證金盈余狀態(tài)賣空投資回報率為(1

53、00-90)*100+6000*0.05+10000*0.04/6000=28.3%實(shí)際保證金比例AM 保證金賬戶凈值與證券市值的比例 AM=(資產(chǎn)的市值-所欠證券市值)/證券市值賣空投資收益率interests:初始保證金利率rebate:賣空收入利率情形一：賣空投資回報率為(100-90)*100+6000*0.05+10000*0.04/6000=28.3%財務(wù)杠桿效應(yīng)E、三種保證金賬戶的狀態(tài)（情形2）例子(續(xù)2) 情形二：H公司的股票在賣空后，價格從100元上升到105元該賬戶為限制使用賬戶賣空投資回報率為(100-105)*100+6000*0.05+10000*0.04/6000=

54、3.33%實(shí)際保證金比例AM 保證金賬戶凈值與證券市值的比例 AM=(資產(chǎn)的市值-所欠證券市值)/證券市值E、三種保證金賬戶的狀態(tài)（情形3）例子(續(xù)3) 情形三：H公司的股票在賣空后，價格從100元上升到130元該賬戶保證金不足賣空投資回報率(100-130)*100+6000*0.05+10000*0.04/6000=-38.3%實(shí)際保證金比例AM 保證金賬戶凈值與證券市值的比例 AM=(資產(chǎn)的市值-所欠證券市值)/證券市值E、三種保證金賬戶的狀態(tài)小結(jié)：賣空交易中保證金賬戶的狀態(tài)與投資回報率賣空價格=$100初始保證金比例(IM)=60%維持保證金比例(MM)=50%股票現(xiàn)價$130$105

55、 $90 實(shí)際保證金比例23%52%78%保證金賬戶狀態(tài)保證金不足限制使用賬戶保證金盈余可采取的行動追加保證金無行動盈余部分提現(xiàn)賣空投資回報率-38.3%3.33%28.3%F、總結(jié)賣空后的保證金帳戶資產(chǎn)負(fù)債表三個保證金比例的定義初始保證金IM實(shí)際保證金AM維持保證金MM賣空投資者的保證金賬戶(Margin Purchase)：T=0AssetLiability & EquityCash proceeds of short sell（賣空所得）$10,000Market value of stock owed(所欠股票市值)$10,000Initial margin(初始保證金)$6,000Equity(凈值)$6,000 Total assets$16,000 Total liabilities and equity$16,000思考股價上升到多少會收到追加保證金通知？股價上升到多少時(P1)，AM=MM？AM=(賣空款+初始保證金-證券市值)/證券市值賣空款= Shares*P0初始保證金