摘要翻译：
对标准资本资产定价模型(CAPM)的主要投资组合进行了分析，发现其具有显著的对冲和杠杆性质。当允许卖空时，主投资组合将N种风险证券的任何相关资产集重新转换成等价但不相关的资产集。虽然确定主要投资组合通常需要详细了解资产集的协方差矩阵，但CAPM相当简单的结构允许对任何合理大的资产集进行精确求解，并揭示有趣的普遍性质。因此，对于规模为N的资产集，我们找到了一个与CAPM的市场组合相对应的市场对齐投资组合，以及N-1个市场正交投资组合，它们是市场中性的和强杠杆的。这些结果为CAPM的收益-波动结构提供了新的见解，并证明了无限制的杠杆作用对波动的影响。
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英文标题：
《Hedging and Leveraging: Principal Portfolios of the Capital Asset
Pricing Model》
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作者：
M. Hossein Partovi
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. While a determination of principal portfolios in general requires a detailed knowledge of the covariance matrix for the asset set, the rather simple structure of CAPM permits an accurate solution for any reasonably large asset set that reveals interesting universal properties. Thus for an asset set of size N, we find a market-aligned portfolio, corresponding to the market portfolio of CAPM, as well as N-1 market-orthogonal portfolios which are market neutral and strongly leveraged. These results provide new insight into the return-volatility structure of CAPM, and demonstrate the effect of unbridled leveraging on volatility.
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