# Open Yale Courses Financial Markets: Lecture 4 Portfolio Diversification and Supporting Financial Institutions (CAPM Model)

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Professor Robert Shiller: Today's lecture is about portfolio diversification and about supporting financial institutions, notably mutual funds. It's actually kind of a crusade of mine — I believe that the world needs more portfolio diversification. That might sound to you a little bit odd, but I think it's absolutely true that the same kind of cause that Emmett Thompson goes through, which is to help the poor people of the world, can be advanced through portfolio diversification — I seriously mean that. There are a lot of human hardships that can be solved by diversifying portfolios. What I'm going to talk about today applies not just to comfortable wealthy people, but it applies to everyone. It's really about risk. When there's a bad outcome for anyone, that's the outcome of some random draw. When people get into real trouble in their lives, it's because of a sequence of bad events that push them into unfortunate positions and, very often, financial risk management is part of the thing that prevents that from happening.

The first — let me go — I want to start this lecture with some mathematics. It's a continuation of the second lecture, where I talked about the principle of dispersal of risk. I want now to carry that forward into something a little bit more focused on the portfolio problem. I'm going to start this lecture with a discussion of how one constructs a portfolio and what are the mathematics of it. That will lead us into the capital asset pricing model, which is the cornerstone of a lot of thinking in finance. I'm going to go through this rather quickly because there are other courses at Yale that will cover this more thoroughly, notably, John Geanakoplos's Econ 251. I think we can get the basic points here.

Let's start with the basic idea. I want to just say it in the simplest possible terms. What is it that — First of all, a portfolio, let's define that. A portfolio is the collection of assets that you have — financial assets, tangible assets — it's your wealth. The first and fundamental principle is: you care only about the total portfolio. You don't want to be someone like the fisherman who boasts about one big fish that he caught because it's not — we're talking about livelihoods. It's all the fish that you caught, so there's nothing to be proud of if you had one big success. That's the first very basic principle. Do you agree with me on that? So, when we say portfolio management, we mean managing everything that gives you economic benefit.

Now, underlying our theory is the idea that we measure the outcome of your investment in your portfolio by the mean of the return on the portfolio and the variance of the return on the portfolio. The return, of course, in any given time period is the percentage increase in the portfolio; or, it could be a negative number, it could be a decrease. The principle is that you want the expected value of the return to be as high as possible given its variance and you want the variance of the return on the portfolio to be as low as possible given the return, because high expected return is a good thing. You could say, I think my portfolio has an expected return of 12% — that would be better than if it had an expected return of 10%. But, on the other hand, you don't want high variance because that's risk; so, both of those matter. In fact, different people might make different choices about how much risk they're willing to bear to get a higher expected return.

The first — let me go — I want to start this lecture with some mathematics. It's a continuation of the second lecture, where I talked about the principle of dispersal of risk. I want now to carry that forward into something a little bit more focused on the portfolio problem. I'm going to start this lecture with a discussion of how one constructs a portfolio and what are the mathematics of it. That will lead us into the capital asset pricing model, which is the cornerstone of a lot of thinking in finance. I'm going to go through this rather quickly because there are other courses at Yale that will cover this more thoroughly, notably, John Geanakoplos's Econ 251. I think we can get the basic points here.

Let's start with the basic idea. I want to just say it in the simplest possible terms. What is it that — First of all, a portfolio, let's define that. A portfolio is the collection of assets that you have — financial assets, tangible assets — it's your wealth. The first and fundamental principle is: you care only about the total portfolio. You don't want to be someone like the fisherman who boasts about one big fish that he caught because it's not — we're talking about livelihoods. It's all the fish that you caught, so there's nothing to be proud of if you had one big success. That's the first very basic principle. Do you agree with me on that? So, when we say portfolio management, we mean managing everything that gives you economic benefit.

Now, underlying our theory is the idea that we measure the outcome of your investment in your portfolio by the mean of the return on the portfolio and the variance of the return on the portfolio. The return, of course, in any given time period is the percentage increase in the portfolio; or, it could be a negative number, it could be a decrease. The principle is that you want the expected value of the return to be as high as possible given its variance and you want the variance of the return on the portfolio to be as low as possible given the return, because high expected return is a good thing. You could say, I think my portfolio has an expected return of 12% — that would be better than if it had an expected return of 10%. But, on the other hand, you don't want high variance because that's risk; so, both of those matter. In fact, different people might make different choices about how much risk they're willing to bear to get a higher expected return.

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