金融学课件：第11章 保值和保险

1、1Copyright Prentice Hall Inc. 2000. Author: Nick Bagley, bdellaSoft, Inc.学习目的学习目的解释保值和保险的市场机制23Value of 30-Year Mortgage 5-Years Out (6%)02,000,0004,000,0006,000,0008,000,00010,000,00012,000,00014,000,00016,000,0001%3%5%7%9%11%Market Interest RateMarket Value of MortgageMarket Value of MortgagesBook

2、 Value of Mortgages4Cash from Mortgages and Cash Needed for CDs0200,000400,000600,000800,0001,000,0001,200,0001%2%3%4%5%6%7%8%9%10% 11% 12%Current Interest RateCash Flows From Mortgages and to CDsCD Interest PaymentsMortgage Interest Payments5Hedging v. Insuring05000010000015000020000025000030000035

3、000040000045000000.511.522.533.54Price of WheatRevenue from WheatHedgedInsured6Hedging with a Put-200002000400060008000100001200014000160005060708090100110120130140150Share PriceShare HoldingValue PutsFV PremiumTotal Wealth7State of the World ProbabilityPayoffMeanDeviationDev SQR- * ProbOne Failure0

4、.50200000-2000004E+102E+10One Success0.54000002000002000004E+102E+10Sum =4E+10Sqrt |200000标准差为标准差为 $200,0008State of the World ProbabilityPayoffMeanDeviationDev SQR- * ProbOne Failure0.250200000-2000004E+101E+10One Success0.5200000200000000Two Successes0.254000002000002000004E+101E+10Sum =2E+10Sqrt

5、|141421.356标准差为标准差为 $141,000 (c.f. $200,000)9102 , 121212222212122wwwwp1112Standard Deviations of Portfolios, rho = 0.2, sig = 0.2 0.000.020.040.060.0005101520253035404550Portfolio Size Standare Deviation 13Standard Deviations of Portfolios, rho = 0.8, sig = 0.2 0.000.020.040

6、.060.0005101520253035404550Portfolio Size Standare Deviation 14Standard Deviations of Portfolios, rho = 0.5, sig = 0.2 0.000.020.040.060.0005101520253035404550Portfolio Size Standare Deviation 15Standard Deviations of Portfolios, rho = 0.2, sig = 0.2 0

7、.000.020.040.060.0005101520253035404550Portfolio Size Standare Deviation 可分散风险 不可分散风险16Standard Deviations of Portfolios, rho = 0.0, sig = 0.2 0.000.020.040.060.0005101520253035404550Portfolio Size Standare Deviation All risk is diversifiable 所有风险是可分散的 17Standard Deviations of Portfolios, rho = 1/(1-50) = -0.