投资学英文版课件Ch 4 Risk and Portfolio Management

Maincontents:SourceofReturn

Sourceofrisk

TheMeasurementofriskRiskReductionthroughDiversification:anIllustrationPortfolioTheoryTheCapitalAssetPricingModelChapter5RiskandPortfolioManagement

Section1

SourcesofReturnMajorContentsThreetypesofreturnExpectedReturnexpressedasaprobabilitySourcesofreturninclude

IncomepluscapitalappreciationInterest,dividendThreetypesofreturnTheExpectedReturnTheRequiredReturnTheRealizedReturna)TheExpectedReturnTheexpectedreturnistheanticipatedflowofincomeand/orpriceappreciation.

TwosourcesofreturnincomePriceappreciationIt’stheincentiveforacceptingrisk.Theequationis:EquationAssetpriceisthebuyingpriceExpectedpriceappreciationisthepercentageofpricechangeExampleInvestorsBuyastockfor$10;Expecttoearnadividendof$0.60;Expecttosellitfor$12.Theexpectedreturnis:b)TheRequiredReturnRequiredreturnThereturnnecessarytoinducetheinvestortopurchaseanasset.Includingtwoparts:12Earnonalternativeinvestments(noriskreturn);Apremiumforbearingrisk;资本资产定价模型

资本资产定价模型按照CAPM的规定，Beta系数是用以度量一项资产系统风险的指针，是用来衡量一种证券或一个投资组合相对总体市场的波动性（volatility）的一种风险评估工具。也就是说，如果

一个股票的价格和市场的价格波动性是一致的，那么这个股票的Beta值就是1。如果一个股票的Beta是1.5，就意味着当市场上升10%时，该股票价格则上升15%；而市场下降10%时，股票的价格亦会下降15%如果一个股票的Beta值是2.0，无风险回报率是3%，市场回报率(MarketReturn)是7%，那么市场溢价(EquityMarketPremium)就是4%（7%-3%），股票风险溢价(RiskPremium)为8%（2X4%，用Beta值乘市场溢价），那么股票的预期回报率则为11%（8%+3%，即股票的风险溢价加上无风险回报率）c)TheRealizedReturnDefinitionThesumofincomeandcapitalgainsearnedonaninvestment.EquationExampleInvestorsBuysastockfor$10;Collects$0.60individends;Thestockappreciatesby20%;Therealizedreturnis:B.ExpectedReturnexpressedasaprobabilityProbabilityExpectedReturna)ProbabilityThelikelihoodofsomethingoccurringProbability100%Becertainthatsomethingwillhappen;sumThesumofalltheprobabilitiesofthepossibleoutcomesis100%.b)ExpectedReturncalculationThesumofeachoutcomemultipliedbytheprobabilityofoccurrence.Example1oftheexpectedvalueReturnProbability3%10%12%20%10%45%40%5%Sum=100%E(r)=10%×3%+45%×10%+40%×12%+5%×20%=10.6%Attention:Eachoftheexpectedreturnsisweightedbytheprobabilityofoccurrence.It’spossiblethatthereturncouldbeloworhigh,andtheirweightsarerelativelysmall.Theycontributeonlymodestlytotheresult.Theexpectedreturnisaweightedaverageinwhicheachoutcomeisweightedbytheprobabilityoftheoutcomeoccurring.Example2-expectedvalueReturnProbability3%10%12%20%20%35%40%5%E(r)=20%×3%+35%×10%+40%×12%+5%×20%=9.9%Attention:thegreaterweightisnowassignedtothelowestreturn,thelowerexpectedreturnyoucanget.10.6%9.9%c)Cumulativeprobability

Itincludesalltheprobabilitiesthatthereturnwillsatisfytherequirement.ExampleWhatistheprobabilitythatthereturnwillbeatleast10%?Answeris:45%+40%+5%=90%ReturnProbability3%10%12%20%10%45%40%5%Section2

SourcesofRiskRiskistheuncertaintyassociatedwithearningtheexpectedreturnPortfoliotheoryisconcernedwithriskandreturn.Itspurposeistodeterminethecombinationofriskandreturnthatallowsyoutoachievethehighestreturnforagivenlevelofrisk.Majorcontents12NondiversifiableRisk-systematicriskDiversifiableRisk-unsystematicriskTotalRisk-portfolioriskDefinitionDiversifiableriskTheriskassociatedwiththespecificassetandisreducedthroughtheconstructionofadiversifiedportfolio.NondiversifiableRiskTheriskassociatedwith(1)fluctuatingsecuritypricesingeneral(2)fluctuatinginterestrates(3)reinvestmentrates(4)thelossofpurchasingpowerthroughinflation(5)lossfromchangesinthevalueofexchangerates.Theyarenotaffectedbytheconstructionofadiversifiedportfolio.A.NondiversifiableRisk12345FluctuatingsecuritypricesingeneralFluctuatinginterestratesReinvestmentsratesThelossofpurchasingpowerThelossfromchangesinthevalueofexchangerates1-Fluctuatingsecuritypricesingeneral

Assetreturnstendtomovetogether.GeneralsecuritypricesAspecificsecurityGeneralsecuritypricesAspecificsecurity2-Fluctuatinginterestrates

Asystematicnegativerelationshipexistsbetweenthepricesoffixed-incomesecuritiesandchangesininterestrates.InterestratesPricesoffixed-incomesecurities

Thesamerelationshipexistsbetweencommonstockandinterestrates.reasonsFuturecashflowsfromcommonstocksarebeingdiscountedathigherrates,sotheirpresentvaluesarelower.Themovementfromstocktohigher-payingdebtinstrumentstendstodepressstockprices.SubstituteeffectDDM的总公式及评价公式特点：只包含股利这一个因素。DMM最重要的性质：任意一期的预期收益率都等于市场资本报酬率k。3-ReinvestmentsratesWhenreinvestmentrateschange,theamountreceivedonthesereinvestedfundsalsochanges.

early1980s-relativelyhighinterestrates-highreinvestedyields2000s-lowestinterestrates—earnedlossonreinvestedfunds

2examples4-Thelossofpurchasingpower

Investorsmustalsoendurethelossofpurchasingpowerthroughinflation.

Risingpricesofgoods&servicesReducingpurchasingpowerDecliningincomeandassetvaluesInvestorsshouldearnareturnthatexceedstherateofinflation.5-Thelossfromchangesinthevalueofexchangerates

Ifinvestorsacquireforeigninvestments,theproceedsofthesaleoftheforeignassetmustbeconvertedfromtheforeigncurrencyintothedomesticcurrencybeforetheymaybespent.ValueofforeigncurrencyValueofforeigninvestment(inhomecurrency)DomesticinvestorgainsYoucanavoidexchange-rateriskbynotacquiringforeignassets.Otherrisks—politicalrisksB.DiversifiableRisk

SourcesofunsystematicriskBusinessriskFinancialrisk1-businessrisk

definitionThenatureofthefirm’soperations.e.g.forairlines—costoffuel,legalandregulatoryenvironment,capacityofplanes,seasonalchangesindemand…2-financialrisk

definitionHowthefirmfinancesitsassets.Whetherthefirmusesasubstantialormodestamountofdebtfinancing.(choicesamongissuingbonds,preferredstock,commonstock,leasing,borrowing…)Attention:Unsystematicriskappliestoallclassesofinvestments.Youcannotanticipatealltheeventsthatwillaffectaparticularfirmorgovernment.ExampleofamunicipalsecuritiesBusinessrisk:Thesafetyprotectionorordermaintenance;Financialrisk:Taxes(relyingonpropertytaxesorincometaxes);DecliningpropertyvaluesIncreasingunemploymentC.TotalRiskThecombinationofsystematicandunsystematicriskisdefinedasthetotalriskorportfoliorisk.Unsystematicriskmaybesignificantlyreducedthroughdiversification.Topurchasethesecuritiesoffirmsofdifferentindustries.

DiversificationDiversifiedindustriesDiversifiedassetsTwoproblemstobesolvedHowdoesdiversificationreducerisk?ItisillustratedinFigure3.1.Howmanysecuritiesarenecessarytoachieveadiversifiedportfoliothatreducesandalmosteliminatesunsystematicrisk?ItisillustratedinFigure3.2Figure6.1Themeasurementofriskandreturnfall--rise----fallrise-fall-riserise-fall-rise-fallFigure6.1StockA:fall-rise-fall;StockB:rise-fall-rise;StockC:rise-fall-rise-fall;Composite:Investorbuysanequaldollaramountofeachstock;Thefluctuationinthevalueoftheportfolioislessthanthoseofindividualsecurityprices;Reducetheriskofloss;Giveupthepossiblelargegains;Figure6.2Portfoliorisk:thesumofsystematicandunsystematicriskTotalRiskFigure6.2Twoaxis:Vertical—unitsofrisk;Horizontal—numberofsecurities;Twokindsofrisks:Systematic—LineABIndependentfromthenumberofsecuritiesintheportfolio;Paralleltothehorizontalaxis;Unsystematic—differencebetweenLineABandLineCDTheamountofunsystematicriskdependsonthenumberofsecuritiesheld;WherelineCDapproacheslineAB—asthenumberincreases,unsystematicriskdiminishes;Forportfoliosconsistingof10ormoresecurities,theriskinvolvedisprimarilysystematic.Total—sumofthetworisks—LineCDComparison

Choice-1

Choice-2Investing$20000in10stocks;Investing$20000in2stocks;Moreincommissions;Lessincommissions;Lessriskoflossinaspecificsecurity;highriskoflossinaspecificsecurity;Systematicrisk;Section3

theMeasurementofRisk---February,2013MajorContentsDispersionaroundaninvestment’sreturnStandarddeviationasameasureofrisk:OneAssetThemeasurementofriskplacesemphasison:Theextenttowhichthereturnvariesfromtheaveragereturn;Thevolatilityofreturnrelativetothereturnonthemarket;StandarddeviationA.Dispersionaroundaninvestment’sreturnOnemeasureofriskmeasuresthevariabilityordispersionaroundacentralvalue(e.g.anaverage);NotmuchdifferencebetweentheaverageandtheindividualobservationsSmalldispersionMuchdifferencebetweentheaverageandtheindividualobservationsLargedispersionThelargerthedispersion,thegreater

istheriskwhenthisconceptisappliedtoinvestments.ExampleonP87StockAStockB13.5%14.0%14.25%14.5%15.0%15.5%15.75%16.0%16.5%11.0%11.5%12.0%12.5%15.0%17.5%18.0%18.5%19.0%StockA:ThereturnsofstockAclusteraroundtheaveragereturn;Becausethereislessvariabilityinreturns,itisthelessriskyofthetwosecurities;Figure6.3Distributionofthereturnsof2stocksHigher&narrowerSmalldispersionSmallriskLower&widerLargerdispersionHighriskFigure6.3Twoaxes:Horizontal—returns;Vertical—frequencyoftheiroccurrence;StockA:Mostreturnsareclosetotheaveragereturn;Thefrequencydistributionishigherandnarrower;StockB:Agreaterdispersioninreturns;Thefrequencydistributionislowerandwider;B.Standarddeviationasameasureofrisk:OneAssetThedispersionaroundthemeanvalueismeasuredbythestandarddeviation.

Standarddeviationmeasuresthetendencyfortheindividualreturnstoclusteraroundtheaveragereturn;isameasureofthevariabilityofthereturn;

Thelargerthedispersion,

thegreaterthestandarddeviation,andthelargertheriskassociatedwiththeparticularsecurity.EquationforthecomputationThesquarerootofthesumofthesquareddifferencesbetweentheindividualobservation(rn)andtheaverage(r),dividedbythenumberofobservations(n)minus1.Exhibit3.1-historicalreturnsStockA:Thestandarddeviationis1.01;±1.01hasbeenshowntoencompass68%ofallobservations;Two-thirdsofthereturnsfallbetween13.99%-16.01%;StockB:Thestandarddeviationis3.30;Approximately68%ofthereturnsfallbetween11.7%-18.3%;Hasawiderdispersion