《投资学前言》PPT课件.ppt

1,14/11/2019,投资学原理以及实务 蒋 冠 金融学博士 云南大学投资与保险研究所 jiangguan,14/11/2019,2,一、前言,1、定义 投资学：理论与实务之间难以达成统一。 作为理论，归纳的是高度抽象的逻辑精练，是一种一般性的学术指导；然而作为实务，投资行为所要求的目标和原则却是如此简单，以至于变化多端并难以把握； 于是，投资实践中不免广为存在和流传着一种“金融神秘主义”，或“投资崇拜主义”。模仿和跟随也就主导着大部分的市场行为。,14/11/2019,3,2、主题 风险和收益 (Risk Return) 贪婪和恐惧 (Greed Fear) 投资与投机 (Investment Speculation) “少年的时候，他们说我是游手好闲之徒；年轻的时候，他们又说我是不务正业而且难以理喻的好赌之徒；可是现在，他们却说我是一个银行家。哦上帝呀，这到底是怎么了？” “华尔街几百年的一台戏：潮起潮落、风起云涌、变幻万方、尘缘如梦、暗香飘过。投机追逐。,14/11/2019,4,3、不确定性 什么是未来 为什么有不确定性 如何应对不确定性 预期的重要性 这是投资定义难以在实践中把握的原因 “就哲学本质而言，投资是出于未来的预期目的，利用可以预期对未来进行估计，反过来又估计现在，从而进行投资与否的决策”,14/11/2019,5,二、教材的总结,1、评价 学术性 综合性 前沿性 体系创新性 “六大部分，涵盖了该领域全面而前沿的学术知识体系的总结、综合和评价，对于一个国内金融学硕士或博士掌握规范性内容体系而言是很有帮助。,14/11/2019,6,2、导论 投资过程 投资环境 交易机制与传导机制 市场 3、投资目标 风险与收益 系统性风险 风险度量 理性与行为,14/11/2019,7,4、投资策略 有效市场 有限理性 知情交易者 未知情交易者 理性预期 行为金融学 噪声交易者 投资者情绪 正反馈套利 套利策略与投资策略选择,14/11/2019,8,5、资产价值分析 收入资本化 债券价值 债券属性与债券定价原理（P198） 普通股价值 股息、贴现、市盈率 衍生证券：期货、期权 6、投资组合 资产组合和证券组合 CAPM、APT和BAPM：如何给风险定价,14/11/2019,9,如何理解“贝塔”系数在风险定价中的作用 行为资产定价和行为资产组合理论 7、业绩评价 市场风险 信用风险 流动性风险 操作风险 风险和收益率评价,14/11/2019,10,三、投资学的主要问题,1、学习重点问题： 可以投资的工具（标的）？ 这些投资工具的预期报酬与风险？ 影响投资工具的预期报酬与风险的因素？ 提高报酬（降低风险）的策略？ 这些问题的把握，是学术与理论上贯穿投资学研究和实践探索的中心思路。,14/11/2019,11,2、投资成功的因素 具备基本的投资知识 发展独特的投资策略 克服人性的弱点 感谢上帝的宠爱 对于中国目前的投资环境来说，如果现在以及以后不能把股票市场、债券市场建设好的话，那简直就是太愚蠢而不负责任的做法了。 然而，“天作孽，尤可法；自作孽，不可活”,14/11/2019,12,Investment Process,Set investment policy Identification of the potential categories of financial assets for inclusion in the portfolio: investment objectives, amount of investable wealth, and tax status of the investor. Perform security analysis To identify which securities currently appear to be mispriced. Technical analysis (trend) Fundamental analysis (“intrinsic” value) Construct a portfolio Identifying those specific assets in which to invest, as well as determining the proportions of the investors wealth to put into each one. selectivity, timing, and diversification. Revise the portfolio Evaluate the performance of the portfolio,14/11/2019,13,1.1 An Overview of Finance,14/11/2019,14,Capital Formation Process,Securities (Stocks and Bonds),Money,Businesss Securities,Indirect Transfers in Direct Markets,Direct Transfers,Indirect Transfers in Indirect Markets,Intermediarys Securities,Dividends, annual reports, voting right,Forwards everything,Short Sales Mechanism,1. Before the short sale,2. The short sale,Notified that Mr. Jones now owns stock,Allows stock to be lent,Provides initial margin,Short sale order,Receives stock certificate,Pays purchase price,3. After the short sale,Dividends, annual reports, voting right,annual reports,Provides cash to make up for dividends,Dividends, annual reports,14/11/2019,18,Incentives for Short Sale,Short seller,Broker,Lender of Shares,Buyer of shares,0 Shares,100 Shares,100 Shares,$2,500,100 shares at $25 per share,Short Sale,0 Shares,$1,000 profit plus return of $1,250 margin,100 Shares,100 Shares,$1,500,100 shares at $15 per share,Cover the Short Sale,Example assumes no dividends or brokerage costs,$1,250 margin,14/11/2019,19,The Frameworks of Microstructure Pricing Model,(Hong Kong Stock Exchange),(FX Markets in DC),order-driven markets,quote-driven markets,(FX Markets in IFC),(Centralized or Decentralized),Risk neutral,Risk aversion,Risk aversion,14/11/2019,20,U.S. Interest Rates: 1800-1992,14/11/2019,21,Yield Curves,14/11/2019,22,A,B,C,D,E,F,G,H,I,J,K,V1(c),V2(c),V3(c),c,u,厌恶型,偏好型,中立型,中立型,Risk Preferences,14/11/2019,23,14/11/2019,24,Expected Portfolio Return, kp,Risk, p,Efficient Set,Opportunity Set,2.2 Mean-Variance Portfolio Theory,14/11/2019,25,Risk Return with 2 Assets,Expected Return,Standard Deviation,Stock B,Stock A,Corr = +1,Corr = -1,Corr = 0,Corr = 0.5,14/11/2019,26,Efficient Portfolios,14/11/2019,27,Risk,Return,Combining Riskfree Lending with Investing in a Risky Asset,Sharpe Ratio,Transformation Line,14/11/2019,28,Efficient Frontier,Expected Return,Standard Deviation,Efficient Frontier,RfL,MVP,Market Portfolio,Lending Portfolio,Borrowing Portfolio,M,A,C,B,RfB,LL,BB,M,Capital Market Line,14/11/2019,29,Graphical Derivation of Beta for Securities C and D,14/11/2019,30,Components of Risk,Using the risk premium version of the single index model, We can write si2 = bi2 sm2 + s2(ei) Total risk = Systematic risk + Unique Risk,14/11/2019,31,Diversification,Unsystematic Risk: “Unsystematic risk is essentially eliminated by diversification, so a portfolio with many assets has almost no unsystematic risk.” Diversifiable risk / unique risk / asset-specific risk Systematic Risk: Systematic risk affects all assets and can not be diversified away. Nondiversifiable risk / market risk Total risk = Systematic risk + Unsystematic risk For a well-diversified portfolio, unsystematic risk is negligible, almost all risk is systematic,14/11/2019,32,Portfolio Diversification,14/11/2019,33,Systematic Risk,Systematic risk can not be eliminated by diversification. Since unsystematic risk can be eliminated at no cost, there is no reward for bearing it. Systematic Risk Principle: “The expected return on an asset depends only on its systematic risk.” Measuring Systematic Risk: Beta or Beta measures how much systematic risk an asset has relative to an average asset. aggressive stocks(1); defensive stocks (1) Higher betas indicate more systematic risk.,14/11/2019,34,Measuring the Tendency of Betas,14/11/2019,35,14/11/2019,36,Portfolio Selection Risk Aversion,14/11/2019,37,Optimal Allocation,We have shown that different investors will choose different positions in the risky asset. In particular, the more risk averse investors will choose to hold less of the risky asset and more of the risk-free asset. How do we quantify this? We start from the utility function of the investor:,14/11/2019,38,Optimal Allocation,The investor attempts to maximize her utility level, by choosing the best allocation to the risky asset, w. Taking the first order derivatives of U with respect to w and set it to zero.,14/11/2019,39,Optimal Allocation,If In other words, this particular investor will invest 41% of her money in the risky asset and the rest in the risk-free asset.,14/11/2019,40,Mean-Variance Approach with a Budget line,Budget line,14/11/2019,41,2.3 Capital Asset Pricing Model (CAPM),Equilibrium model that underlies all modern financial theory Derived using principles of diversification with simplified assumptions Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development,14/11/2019,42,Assumptions (perfect market) Individual investors are price takers Single-period investment horizon Investments are limited to traded financial assets No taxes, and transaction costs Information is costless and available to all investors Investors are rational mean-variance optimizers Homogeneous expectations,14/11/2019,43,The Capital Market Line The separation theorem (feature of the CAPM) The optimal combination of risky assets for an investor can be determined without any knowledge of the investors preferences toward risk and return. The market portfolio In equilibrium each security must have a nonzero proportion in the composition of the tangency portfolio. Pj: market value of the security j; Wi: market values of total assets belonging to investor i; xij: the proportion invested in security j by investor i. m: the numbers of investors n: numbers of securities xij= xi+1,j = xi+2,j =kj (assumption and MV approach) Pj=mWi xij Pj=kjWi In equilibrium, mWi =nPj kj=Pj/ nPj,14/11/2019,44,The first order equation The slope of the curved line iM at the endpoint M. where Security market line ( ),14/11/2019,45,Portfolio Separation and Risk references,14/11/2019,46,The Security Market Line,i,M,14/11/2019,47,(3) implication: The CAPM shows that the expected return for an asset depends on: Pure time value of money: risk-free rate Reward for bearing systematic risk: market risk premium Amount of systematic risk: beta coefficient Prices (Payoff) and CAPM where Disequilibrium example Suppose a security with a “” of 1.25 is offering expected return of 15% According to SML, it should be 13% Underpriced: offering too high of a rate of return for its level of risk,14/11/2019,48,Estimation of Beta (Market Model) where ER: excess return; RP: risk premium; u: risk of specific firm (portfolio) Method: Define a risk-free asset such as T-Bills Select a market index or benchmark such as the SP500 Select the asset or portfolio for which to estimate beta Put the data in excess returns form by subtracting the risk-free rate from the market proxy (ER) and from the asset of interest (RP) Derive estimates of asset (or portfolio) beta using linear regression,14/11/2019,49,Risk Return Summary,Total risk: variance (or standard deviation of an assets return Total return: expected return + unexpected return Systematic risk: unanticipated events that affect almost all assets to some degree Unsystematic risk: unanticipated events that affect single assets or small groups of assets Effect of diversification: elimination of unsystematic risk via the combination of assets into a portfolio Systematic risk principle beta: reward for bearing risk depends only on its level of systematic risk Reward-to-risk ratio: ratio of an assets risk premium to its beta Capital asset pricing model: expected return on an asset can be written as: E(Rj) = Rf + E(RM) - Rf x j,14/11/2019,50,Security Characteristic line,14/11/2019,51,Summary of CAPM,The CAPM is based on many assumptions, including All investors have homogeneous beliefs All investors are mean-variance optimizers All investors are atomistic Security returns are normally distributed The result is a linear pricing relationship which gives expected returns as a function of systematic risk. The single source of systematic risk is identified as the market portfolio. All investors hold this same risky market portfolio because it is mean-variance efficient. The CAPM contends that if prices move out of line, all investors will make small adjustments to their portfolios and prices will be brought back to equilibrium.,14/11/2019,52,2.4 Arbitrage Pricing Theory,Ross (1976,JET) developed Arbitrage Pricing Theory (APT) which derives asset prices from arbitrage arguments. The APT model is based on the law of one price : two items that are the same cannot sell at different prices. Like CAPM it is an equilibrium model. It does assume homogenous expectations. The APT model does not need to make assumptions about utility functions of investors. The mean-variance framework is replaced by an assumption of the process generating security returns. This process generating returns is assumed to be a multi-index model.,14/11/2019,53,Principle of Arbitrage Definition of arbitrage The process of earning riskless profits by taking advantage of differential pricing for the same physical asset or security. Conditions on arbitrage portfolio Zero initial outlay: some assets are held in positive amounts, some in negative amounts and, perhaps, some in zero amounts. Risk-free: the payoff (v) or the return (y) on the portfolio in every state (k) must be either positive or zero (in equilibrium). or,14/11/2019,54,The effect of Arbitrage Portfolio on an Investors Position,14/11/2019,55,Arbitrage Pricing Theory Single-factor APT The return on security i is ri = E(ri) + b