week 1, short sales
Capital asset pricing model...the optimal portfolio decision of all investors in equilibrium will be symmetric or identical....no single investor will ever short a stock in equilibrium because then everybody in our model would be shorting that stock.
the United States government has historically allowed short sales, but they were briefly abolished. The US government got so scared that there would be a 1929-style stock market crash, that it made a temporary law against short sales. No one was allowed to short these 799 stocks.
3. 最优投资，假设投资人都仔细计算均值方差做优化决策，David Swenson提出类似的高效投资，他曾管理Yale投资组合，业绩并不好，并非最优
We're going to assume that everyone does careful calculations of the mean and standard deviaof their portfolio return....optimal portfolio...efficient portfolio frontier...this is from David Swenson's book about how he moved Yale to the optimal portfolio. When he took over management of Yale's portfolio, it was originally not well managed, and it was not optimal.
How are sort of unsophisticated, middle-class people supposed to invest their money now with interest rates so low? Well, interest rates are starting to go up, so maybe wait five years. ... Should we have the government invest for them? ... the governments don't have a particularly good record of deciding how to investments either. ...But on balance, over 100 or 200 years the US system has looked pretty good and it's become spread. I mean, not just the US's but I'm saying having free markets and involving people at large in some investing decisions, it has worked out well, even though it doesn't work out well for everyone.