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LecturePresentationSoftware
toaccompany
InvestmentAnalysisand
PortfolioManagement
SeventhEdition
by
FrankK.Reilly&KeithC.BrownLecturePresentationSoftware1Chapter1
TheInvestmentSettingQuestionstobeanswered:Whydoindividualsinvest?Whatisaninvestment?Howdowemeasuretherateofreturnonaninvestment?Howdoinvestorsmeasureriskrelatedtoalternativeinvestments?Chapter1
TheInvestmentSetti2Chapter1
TheInvestmentSettingWhatfactorscontributetotheratesofreturnthatinvestorsrequireonalternativeinvestments?Whatmacroeconomicandmicroeconomicfactorscontributetochangesintherequiredrateofreturnforindividualinvestmentsandinvestmentsingeneral?Chapter1
TheInvestmentSetti3WhyDoIndividualsInvest? Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.WhyDoIndividualsInvest? By4HowDoWeMeasureTheRateOfReturnOnAnInvestment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.HowDoWeMeasureTheRateOf5 People’swillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.HowDoWeMeasureTheRateOfReturnOnAnInvestment? People’swillingnesstopayt6 Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.
HowDoWeMeasureTheRateOfReturnOnAnInvestment? Ifthefuturepaymentwillbe7 Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.HowDoWeMeasureTheRateOfReturnOnAnInvestment? Ifthefuturepaymentfromth8DefininganInvestment Acurrentcommitmentof$foraperiodoftimeinordertoderivefuturepaymentsthatwillcompensatefor:thetimethefundsarecommittedtheexpectedrateofinflationuncertaintyoffutureflowoffunds.DefininganInvestment Acurre9Measuresof
HistoricalRatesofReturnHoldingPeriodReturn1.1Measuresof
HistoricalRa10Measuresof
HistoricalRatesofReturnHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%1.2Measuresof
HistoricalRa11AnnualHoldingPeriodReturnAnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYieldAnnualHPY=AnnualHPR-1Measuresof
HistoricalRatesofReturnAnnualHoldingPeriodReturnMe12Measuresof
HistoricalRatesofReturnArithmeticMean1.4Measuresof
HistoricalRa13Measuresof
HistoricalRatesofReturnGeometricMean1.5Measuresof
HistoricalRa14APortfolioofInvestments ThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio.APortfolioofInvestments The15ComputationofHolding
PeriodYieldforaPortfolioExhibit1.1ComputationofHolding
Period16ExpectedRatesofReturnRiskisuncertaintythataninvestmentwillearnitsexpectedrateofreturnProbabilityisthelikelihoodofanoutcomeExpectedRatesofReturnRiski17ExpectedRatesofReturn1.6ExpectedRatesofReturn1.618RiskAversion
Theassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedintheformofhigherreturn
RiskAversion Theassumptiont19ProbabilityDistributionsRisk-freeInvestmentExhibit1.2ProbabilityDistributions20ProbabilityDistributionsRiskyInvestmentwith3PossibleReturnsExhibit1.3ProbabilityDistributions21ProbabilityDistributionsRiskyinvestmentwithtenpossibleratesofreturnExhibit1.4ProbabilityDistributions22MeasuringtheRiskof
ExpectedRatesofReturn1.7MeasuringtheRiskof
Expecte23MeasuringtheRiskof
ExpectedRatesofReturnStandardDeviationisthesquarerootofthevariance1.8MeasuringtheRiskof
Expecte24MeasuringtheRiskof
ExpectedRatesofReturn Coefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturn
StandardDeviationofReturnsExpectedRateofReturns1.9MeasuringtheRiskof
Expecte25MeasuringtheRiskof
HistoricalRatesofReturnvarianceoftheseriesholdingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations1.10MeasuringtheRiskof
Histori26Determinantsof
RequiredRatesofReturnTimevalueofmoneyExpectedrateofinflationRiskinvolvedDeterminantsof
RequiredRate27TheRealRiskFreeRate(RRFR)Assumesnoinflation.Assumesnouncertaintyaboutfuturecashflows.InfluencedbytimepreferenceforconsumptionofincomeandinvestmentopportunitiesintheeconomyTheRealRiskFreeRate(RRFR)28AdjustingForInflationRealRFR=1.12AdjustingForInflationRealRF29NominalRisk-FreeRate DependentuponConditionsintheCapitalMarketsExpectedRateofInflationNominalRisk-FreeRate Depende30AdjustingForInflationNominalRFR=(1+RealRFR)x(1+ExpectedRateofInflation)-11.11AdjustingForInflationNominal31FacetsofFundamentalRiskBusinessriskFinancialriskLiquidityriskExchangerateriskCountryriskFacetsofFundamentalRiskBusi32BusinessRiskUncertaintyofincomeflowscausedbythenatureofafirm’sbusinessSalesvolatilityandoperatingleveragedeterminethelevelofbusinessrisk.BusinessRiskUncertaintyofin33FinancialRiskUncertaintycausedbytheuseofdebtfinancing.Borrowingrequiresfixedpaymentswhichmustbepaidaheadofpaymentstostockholders.Theuseofdebtincreasesuncertaintyofstockholderincomeandcausesanincreaseinthestock’sriskpremium.FinancialRiskUncertaintycaus34LiquidityRiskUncertaintyisintroducedbythesecondarymarketforaninvestment.Howlongwillittaketoconvertaninvestmentintocash?Howcertainisthepricethatwillbereceived?LiquidityRiskUncertaintyisi35ExchangeRateRiskUncertaintyofreturnisintroducedbyacquiringsecuritiesdenominatedinacurrencydifferentfromthatoftheinvestor.Changesinexchangeratesaffecttheinvestorsreturnwhenconvertinganinvestmentbackintothe“home”currency.ExchangeRateRiskUncertainty36CountryRiskPoliticalriskistheuncertaintyofreturnscausedbythepossibilityofamajorchangeinthepoliticaloreconomicenvironmentinacountry.Individualswhoinvestincountriesthathaveunstablepolitical-economicsystemsmustincludeacountryrisk-premiumwhendeterminingtheirrequiredrateofreturnCountryRiskPoliticalriskis37RiskPremiumf(BusinessRisk,FinancialRisk,LiquidityRisk,ExchangeRateRisk,CountryRisk)orf(SystematicMarketRisk)RiskPremiumf(BusinessRisk,38RiskPremium
andPortfolioTheoryTherelevantriskmeasureforanindividualassetisitsco-movementwiththemarketportfolio
SystematicriskrelatesthevarianceoftheinvestmenttothevarianceofthemarketBetameasuresthissystematicriskofanassetRiskPremium
andPortfolioTh39FundamentalRisk
versusSystematicRiskFundamentalriskcomprisesbusiness risk,financialrisk,liquidityrisk,exchangeraterisk,andcountryriskSystematicriskreferstotheportionofanindividualasset’stotalvarianceattributabletothevariabilityofthetotalmarketportfolio
FundamentalRisk
versusSyste40RelationshipBetween
RiskandReturnExhibit1.7(Expected)RelationshipBetween
Riskand41ChangesintheRequiredRateofReturnDuetoMovementsAlongtheSMLExhibit1.8ChangesintheRequiredRateo42ChangesintheSlopeoftheSMLRPi=E(Ri)-NRFR where:RPi=riskpremiumforassetiE(Ri)=theexpectedreturnforassetiNRFR=thenominalreturnonarisk-freeasset1.13ChangesintheSlopeoftheSM43MarketPortfolioRisk
Themarketriskpremiumforthemarketportfolio(containsalltheriskyassetsinthemarket)canbecomputed:RPm=E(Rm)-NRFRwhere:RPm=riskpremiumonthemarketportfolioE(Rm)=expectedreturnonthemarketportfolioNRFR=expectedreturnonarisk-freeasset1.14MarketPortfolioRisk Themark44
Changein
MarketRiskPremiumExhibit1.10NRFRExpectedReturnRm´RmChangein
MarketRiskPr45CapitalMarketConditions,
ExpectedInflation,andtheSMLExhibit1.11NRFRNRFR´ExpectedReturnCapitalMarketConditions,
Ex46TheInternet
InvestmentsOnlineTheInternet
InvestmentsOnlin47FutureTopics
Chapter2
TheassetallocationdecisionTheindividualinvestorlifecycleRisktolerancePortfoliomanagementFutureTopics
Chapter2Theas48LecturePresentationSoftware
toaccompany
InvestmentAnalysisand
PortfolioManagement
SeventhEdition
by
FrankK.Reilly&KeithC.BrownLecturePresentationSoftware49Chapter1
TheInvestmentSettingQuestionstobeanswered:Whydoindividualsinvest?Whatisaninvestment?Howdowemeasuretherateofreturnonaninvestment?Howdoinvestorsmeasureriskrelatedtoalternativeinvestments?Chapter1
TheInvestmentSetti50Chapter1
TheInvestmentSettingWhatfactorscontributetotheratesofreturnthatinvestorsrequireonalternativeinvestments?Whatmacroeconomicandmicroeconomicfactorscontributetochangesintherequiredrateofreturnforindividualinvestmentsandinvestmentsingeneral?Chapter1
TheInvestmentSetti51WhyDoIndividualsInvest? Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.WhyDoIndividualsInvest? By52HowDoWeMeasureTheRateOfReturnOnAnInvestment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.HowDoWeMeasureTheRateOf53 People’swillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.HowDoWeMeasureTheRateOfReturnOnAnInvestment? People’swillingnesstopayt54 Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.
HowDoWeMeasureTheRateOfReturnOnAnInvestment? Ifthefuturepaymentwillbe55 Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.HowDoWeMeasureTheRateOfReturnOnAnInvestment? Ifthefuturepaymentfromth56DefininganInvestment Acurrentcommitmentof$foraperiodoftimeinordertoderivefuturepaymentsthatwillcompensatefor:thetimethefundsarecommittedtheexpectedrateofinflationuncertaintyoffutureflowoffunds.DefininganInvestment Acurre57Measuresof
HistoricalRatesofReturnHoldingPeriodReturn1.1Measuresof
HistoricalRa58Measuresof
HistoricalRatesofReturnHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%1.2Measuresof
HistoricalRa59AnnualHoldingPeriodReturnAnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYieldAnnualHPY=AnnualHPR-1Measuresof
HistoricalRatesofReturnAnnualHoldingPeriodReturnMe60Measuresof
HistoricalRatesofReturnArithmeticMean1.4Measuresof
HistoricalRa61Measuresof
HistoricalRatesofReturnGeometricMean1.5Measuresof
HistoricalRa62APortfolioofInvestments ThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio.APortfolioofInvestments The63ComputationofHolding
PeriodYieldforaPortfolioExhibit1.1ComputationofHolding
Period64ExpectedRatesofReturnRiskisuncertaintythataninvestmentwillearnitsexpectedrateofreturnProbabilityisthelikelihoodofanoutcomeExpectedRatesofReturnRiski65ExpectedRatesofReturn1.6ExpectedRatesofReturn1.666RiskAversion
Theassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedintheformofhigherreturn
RiskAversion Theassumptiont67ProbabilityDistributionsRisk-freeInvestmentExhibit1.2ProbabilityDistributions68ProbabilityDistributionsRiskyInvestmentwith3PossibleReturnsExhibit1.3ProbabilityDistributions69ProbabilityDistributionsRiskyinvestmentwithtenpossibleratesofreturnExhibit1.4ProbabilityDistributions70MeasuringtheRiskof
ExpectedRatesofReturn1.7MeasuringtheRiskof
Expecte71MeasuringtheRiskof
ExpectedRatesofReturnStandardDeviationisthesquarerootofthevariance1.8MeasuringtheRiskof
Expecte72MeasuringtheRiskof
ExpectedRatesofReturn Coefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturn
StandardDeviationofReturnsExpectedRateofReturns1.9MeasuringtheRiskof
Expecte73MeasuringtheRiskof
HistoricalRatesofReturnvarianceoftheseriesholdingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations1.10MeasuringtheRiskof
Histori74Determinantsof
RequiredRatesofReturnTimevalueofmoneyExpectedrateofinflationRiskinvolvedDeterminantsof
RequiredRate75TheRealRiskFreeRate(RRFR)Assumesnoinflation.Assumesnouncertaintyaboutfuturecashflows.InfluencedbytimepreferenceforconsumptionofincomeandinvestmentopportunitiesintheeconomyTheRealRiskFreeRate(RRFR)76AdjustingForInflationRealRFR=1.12AdjustingForInflationRealRF77NominalRisk-FreeRate DependentuponConditionsintheCapitalMarketsExpectedRateofInflationNominalRisk-FreeRate Depende78AdjustingForInflationNominalRFR=(1+RealRFR)x(1+ExpectedRateofInflation)-11.11AdjustingForInflationNominal79FacetsofFundamentalRiskBusinessriskFinancialriskLiquidityriskExchangerateriskCountryriskFacetsofFundamentalRiskBusi80BusinessRiskUncertaintyofincomeflowscausedbythenatureofafirm’sbusinessSalesvolatilityandoperatingleveragedeterminethelevelofbusinessrisk.BusinessRiskUncertaintyofin81FinancialRiskUncertaintycausedbytheuseofdebtfinancing.Borrowingrequiresfixedpaymentswhichmustbepaidaheadofpaymentstostockholders.Theuseofdebtincreasesuncertaintyofstockholderincomeandcausesanincreaseinthestock’sriskpremium.FinancialRiskUncertaintycaus82LiquidityRiskUncertaintyisintroducedbythesecondarymarketforaninvestment.Howlongwillittaketoconvertaninvestmentintocash?Howcertainisthepricethatwillbereceived?LiquidityRiskUncertaintyisi83ExchangeRateRiskUncertaintyofreturnisintroducedbyacquiringsecuritiesdenominatedinacurrencydifferentfromthatoftheinvestor.Changesinexchangeratesaffecttheinvestorsreturnwhenconvertinganinvestmentbackintothe“home”currency.ExchangeRateRiskUncertainty84CountryRiskPoliticalriskistheuncertaintyofreturnscausedbythepossibilityofamajorchangeinthepoliticaloreconomicenvironmentinacountry.Individualswhoinvestincountriesthathaveunstablepolitical-economicsystemsmustincludeacountryrisk-premiumwhendeterminingtheirrequiredrateofreturnCountryRiskPoliticalriskis85RiskPremiumf(BusinessRisk,FinancialRisk,LiquidityRisk,ExchangeRateRisk,CountryRisk)orf(SystematicMarketRisk)RiskPremiumf(BusinessRisk,86RiskPremium
andPortfolioTheoryTherelevantris
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