欢迎来到淘文阁 - 分享文档赚钱的网站! | 帮助中心 好文档才是您的得力助手!
淘文阁 - 分享文档赚钱的网站
全部分类
  • 研究报告>
  • 管理文献>
  • 标准材料>
  • 技术资料>
  • 教育专区>
  • 应用文书>
  • 生活休闲>
  • 考试试题>
  • pptx模板>
  • 工商注册>
  • 期刊短文>
  • 图片设计>
  • ImageVerifierCode 换一换

    第十章收益和风险CAPM.ppt

    • 资源ID:92664189       资源大小:4.27MB        全文页数:47页
    • 资源格式: PPT        下载积分:12金币
    快捷下载 游客一键下载
    会员登录下载
    微信登录下载
    三方登录下载: 微信开放平台登录   QQ登录  
    二维码
    微信扫一扫登录
    下载资源需要12金币
    邮箱/手机:
    温馨提示:
    快捷下载时,用户名和密码都是您填写的邮箱或者手机号,方便查询和重复下载(系统自动生成)。
    如填写123,账号就是123,密码也是123。
    支付方式: 支付宝    微信支付   
    验证码:   换一换

     
    账号:
    密码:
    验证码:   换一换
      忘记密码?
        
    友情提示
    2、PDF文件下载后,可能会被浏览器默认打开,此种情况可以点击浏览器菜单,保存网页到桌面,就可以正常下载了。
    3、本站不支持迅雷下载,请使用电脑自带的IE浏览器,或者360浏览器、谷歌浏览器下载即可。
    4、本站资源下载后的文档和图纸-无水印,预览文档经过压缩,下载后原文更清晰。
    5、试题试卷类文档,如果标题没有明确说明有答案则都视为没有答案,请知晓。

    第十章收益和风险CAPM.ppt

    PPT PPT 文档演模板 文档演模板 Office Office PPT PPT11 六月 2023第十章收益和风险CAPMPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.1 Individual Securities The characteristics of individual securities that are of interest are the:Expected Return Variance and Standard Deviation Covariance and CorrelationPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and Covariance Consider the following two risky asset world.There is a 1/3 chance of each state of the economy and the only assets are a stock fund and a bond fund.PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.2 Expected Return,Variance,and CovariancePPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.3 The Return and Risk for PortfoliosNote that stocks have a higher expected return than bonds and higher risk.Let us turn now to the risk-return tradeoff of a portfolio that is 50%invested in bonds and 50%invested in stocks.PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.3 The Return and Risk for PortfoliosThe rate of return on the portfolio is a weighted average of the returns on the stocks and bonds in the portfolio:PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.3 The Return and Risk for PortfoliosThe rate of return on the portfolio is a weighted average of the returns on the stocks and bonds in the portfolio:PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.3 The Return and Risk for PortfoliosThe rate of return on the portfolio is a weighted average of the returns on the stocks and bonds in the portfolio:PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.3 The Return and Risk for PortfoliosThe expected rate of return on the portfolio is a weighted average of the expected returns on the securities in the portfolio.PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.3 The Return and Risk for PortfoliosThe variance of the rate of return on the two risky assets portfolio is where BS is the correlation coefficient between the returns on the stock and bond funds.PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.3 The Return and Risk for PortfoliosObserve the decrease in risk that diversification offers.An equally weighted portfolio(50%in stocks and 50%in bonds)has less risk than stocks or bonds held in isolation.PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.4 The Efficient Set for Two AssetsWe can consider other portfolio weights besides 50%in stocks and 50%in bonds 100%bonds100%stocksPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.4 The Efficient Set for Two AssetsWe can consider other portfolio weights besides 50%in stocks and 50%in bonds 100%bonds100%stocksPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.4 The Efficient Set for Two Assets100%stocks100%bondsNote that some portfolios are“better”than others.They have higher returns for the same level of risk or less.These compromise the efficient frontier.PPT PPT 文档演模板 文档演模板 Office Office PPT PPTTwo-Security Portfolios with Various Correlations 100%bondsreturn 100%stocks=0.2=1.0=-1.0PPT PPT 文档演模板 文档演模板 Office Office PPT PPTPortfolio Risk/Return Two Securities:Correlation Effects Relationship depends on correlation coefficient-1.0+1.0 The smaller the correlation,the greater the risk reduction potential If=+1.0,no risk reduction is possiblePPT PPT 文档演模板 文档演模板 Office Office PPT PPTPortfolio Risk as a Function of the Number of Stocks in the PortfolioNondiversifiable risk;Systematic Risk;Market RiskDiversifiable Risk;Nonsystematic Risk;Firm Specific Risk;Unique Risk n In a large portfolio the variance terms are effectively diversified away,but the covariance terms are not.Thus diversification can eliminate some,but not all of the risk of individual securities.Portfolio riskPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.5 The Efficient Set for Many SecuritiesConsider a world with many risky assets;we can still identify the opportunity set of risk-return combinations of various portfolios.return PIndividual AssetsPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.5 The Efficient Set for Many SecuritiesGiven the opportunity set we can identify the minimum variance portfolio.return Pminimum variance portfolioIndividual AssetsPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.5 The Efficient Set for Many SecuritiesThe section of the opportunity set above the minimum variance portfolio is the efficient frontier.return Pminimum variance portfolioefficient frontierIndividual AssetsPPT PPT 文档演模板 文档演模板 Office Office PPT PPTOptimal Risky Portfolio with a Risk-Free Asset In addition to stocks and bonds,consider a world that also has risk-free securities like T-bills100%bonds100%stocks rfreturn PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.7 Riskless Borrowing and LendingNow investors can allocate their money across the T-bills and a balanced mutual fund100%bonds100%stocks rfreturn Balanced fundCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.7 Riskless Borrowing and LendingWith a risk-free asset available and the efficient frontier identified,we choose the capital allocation line with the steepest slope return Pefficient frontierrfCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.8 Market EquilibriumWith the capital allocation line identified,all investors choose a point along the linesome combination of the risk-free asset and the market portfolio M.In a world with homogeneous expectations,M is the same for all investors.return Pefficient frontierrfMCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPTThe Separation Property The Separation Property states that the market portfolio,M,is the same for all investorsthey can separate their risk aversion from their choice of the market portfolio.return Pefficient frontierrfMCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPTThe Separation Property Investor risk aversion is revealed in their choice of where to stay along the capital allocation linenot in their choice of the line.return Pefficient frontierrfMCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPTMarket EquilibriumJust where the investor chooses along the Capital Asset Line depends on his risk tolerance.The big point though is that all investors have the same CML.100%bonds100%stocks rfreturn Balanced fundCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPTMarket EquilibriumAll investors have the same CML because they all have the same optimal risky portfolio given the risk-free rate.100%bonds100%stocks rfreturn Optimal Risky PorfolioCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPTThe Separation PropertyThe separation property implies that portfolio choice can be separated into two tasks:(1)determine the optimal risky portfolio,and(2)selecting a point on the CML.100%bonds100%stocks rfreturn Optimal Risky PorfolioCMLPPT PPT 文档演模板 文档演模板 Office Office PPT PPTOptimal Risky Portfolio with a Risk-Free Asset By the way,the optimal risky portfolio depends on the risk-free rate as well as the risky assets.100%bonds100%stocksreturn First Optimal Risky PortfolioSecond Optimal Risky PortfolioCML0CML1PPT PPT 文档演模板 文档演模板 Office Office PPT PPTDefinition of Risk When Investors Hold the Market Portfolio Researchers have shown that the best measure of the risk of a security in a large portfolio is the beta(b)of the security.Beta measures the responsiveness of a security to movements in the market portfolio.PPT PPT 文档演模板 文档演模板 Office Office PPT PPTEstimating b with regression Security Returns Security Returns Return on Return on market%market%Ri=a i+biRm+eiSlope=bi Characteristic Line Characteristic LinePPT PPT 文档演模板 文档演模板 Office Office PPT PPTEstimates of b for Selected StocksStock BetaBank of America 1.55Borland International 2.35Travelers,Inc.1.65Du Pont 1.00Kimberly-Clark Corp.0.90Microsoft 1.05Green Mountain Power 0.55Homestake Mining 0.20Oracle,Inc.0.49PPT PPT 文档演模板 文档演模板 Office Office PPT PPTThe Formula for BetaClearly,your estimate of beta will depend upon your choice of a proxy for the market portfolio.PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.9 Relationship between Risk and Expected Return(CAPM)Expected Return on the Market:Expected return on an individual security:Market Risk Premium This applies to individual securities held within well-diversified portfolios.PPT PPT 文档演模板 文档演模板 Office Office PPT PPTExpected Return on an Individual Security This formula is called the Capital Asset Pricing Model(CAPM)Assume bi=0,then the expected return is RF.Assume bi=1,thenExpected return on a security=Risk-free rate+Beta of the securityMarket risk premiumPPT PPT 文档演模板 文档演模板 Office Office PPT PPTRelationship Between Risk&Expected ReturnExpected return b1.0PPT PPT 文档演模板 文档演模板 Office Office PPT PPTRelationship Between Risk&Expected ReturnExpected return b1.5PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.10 Summary and Conclusions This chapter sets forth the principles of modern portfolio theory.The expected return and variance on a portfolio of two securities A and B are given by By varying wA,one can trace out the efficient set of portfolios.We graphed the efficient set for the two-asset case as a curve,pointing out that the degree of curvature reflects the diversification effect:the lower the correlation between the two securities,the greater the diversification.The same general shape holds in a world of many assets.PPT PPT 文档演模板 文档演模板 Office Office PPT PPT10.10 Summary and Conclusions The efficient set of risky assets can be combined with riskless borrowing and lending.In this case,a rational investor will always choose to hold the portfolio of risky securities represented by the market portfolio.Then with borrowing or lending,the investor selects a point along the CML.return Pefficient frontierrfMCML

    注意事项

    本文(第十章收益和风险CAPM.ppt)为本站会员(红****)主动上传,淘文阁 - 分享文档赚钱的网站仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。 若此文所含内容侵犯了您的版权或隐私,请立即通知淘文阁 - 分享文档赚钱的网站(点击联系客服),我们立即给予删除!

    温馨提示:如果因为网速或其他原因下载失败请重新下载,重复下载不扣分。




    关于淘文阁 - 版权申诉 - 用户使用规则 - 积分规则 - 联系我们

    本站为文档C TO C交易模式,本站只提供存储空间、用户上传的文档直接被用户下载,本站只是中间服务平台,本站所有文档下载所得的收益归上传人(含作者)所有。本站仅对用户上传内容的表现方式做保护处理,对上载内容本身不做任何修改或编辑。若文档所含内容侵犯了您的版权或隐私,请立即通知淘文阁网,我们立即给予删除!客服QQ:136780468 微信:18945177775 电话:18904686070

    工信部备案号:黑ICP备15003705号 © 2020-2023 www.taowenge.com 淘文阁 

    收起
    展开