北大光华证券投资春主要内容积极策略（Activestrategy）：attemptstoachievereturnsgreaterthantothosecommensuratewiththeriskborne.TradeoninterestratepredictionsTradeonmarketinefficiencies消极策略（Passivestrategy）：takesmarketpricesofsecuritiesasfairlyset.ControlriskBalanceriskandreturn1、利率风险利率风险利率风险利率风险利率风险：折价债券利率风险：溢价债券利率风险：公平合理的期望回报率Bond:couponrate8%,yieldtomaturity8%,parvalue1000,price1000,duration10whenyieldtomaturity8%9%ImmunizationImmunization在实际中的问题在8%，资产和债务的现值相等；债券定价定理：定性描述利率风险ratesfallto7%构造反映债券市场指标的证券组合两者认为市场价是公平的Thisistheinsightabouteffectivematurity.Createaportfoliothatmirrorsthecompositionofanindexthatmeasuresthebroadmarket.Interestratefluctuationsrepresentthemainsourceofriskinthefixed-incomemarket,andonekeyfactorthatdeterminesthatsensitivityisthematurityofthebond.债券价格受市场的影响，市场利率波动是固定收入证券市场的主要风险根源。Tradeonmarketinefficiencies证券选择(securityselection)和决定交易时间(markettiming)都是无用的，不会带来超平均的收益。Whatdeterminesduration?当到期收益保持不变时，证券组合duration是单个债券duration的加权和指标化策略:复制给定债券指标的行为1%,convexitywouldmatterless.债券定价定理：定性描述利率风险债券定价定理：定性描述利率风险债券定价定理：定性描述利率风险债券定价定理：定性描述利率风险ChangeinBondPriceasaFunctionofChangeinYieldtoMaturity债券定价定理：定性描述利率风险例子债券定价定理：定性描述利率风险2、Duration仅仅只用到期日描述利率风险是不够的例子：息率8%的债券（每年支付两次）与零息债券例子说明例子说明:有效到期日例子说明:有效到期日DurationCashflowspaidby9%coupon,annualpaymentbondwith8-yearmaturityand10y-t-m8%DurationDurationDuration和股票价格变化之间的关系例子Whatdeterminesduration?RulefordurationRulesforDuration(cont’d)RulesforDuration(cont’d)Themodifiedduration3、Convexity例子：息率8%的债券（每年支付两次）与零息债券是到期收益的变化例子：息率8%的债券（每年支付两次）与零息债券反过来，如果债券价格下降，则收益上升。RulesforDuration(cont’d)11永久性债券，投在零息债券上。当利率变化幅度很大时，资产和债务值的变化量不再相等。Rebalancingimmunizedportfolio设为零息债券的权Ageneralruleinevaluatingbondpriceriskisthat,keepingallotherfactorsthesame,thelongerthematurityofthebond,thegreaterthesensitivityofpricetofluctuationsintheinterestrate.Eachbondoffersinvestorsthefairtotalrateofreturn.仅仅只需Duration就够了吗？Asameasureofinterestratesensitivity,durationclearlyisakeytoolinfixedincomeportfoliomanagement.Mortgage-BackedThisist