《投资学》经典课件(英文) (5)
合集下载
投资学PPT第章资本资产定价模型_图文
资产组合相同 问题： ❖若某一个股票未包含在最优资产组合中，
会怎样？
*
22
图 9.1 The Efficient Frontier and the Capital Market Line
*
23
9.1.2 消极策略的有效性
理由：
❖市场的有效性
❖投资于市场投资组合指数这样一个消极策略是有 效的——有时把这一结果称之为共同基金定理 (mutual fund theorem)。
*
39
练习题
某基金下一年的投资计划是：基金总额的 10％投资于收益率为7％的无风险资产， 90％投资于一个市场组合，该组合的期望 收益率为15％。若基金中的每一份代表其 资产的100元，年初该基金的售价为107美 元，请问你是否愿意购买该基金？为什么 ？
*
40
9.2 资本资产定价模型和指数模型
9.2.1 实际收益与期望收益
*
36
SML 与CML的比较：
������ SML 的坐标系为“β—r”；而CML 的坐标系是“σ—r” ▪ ������ SML 反映的是证券或证券组合的期望收益与风险程
度的依赖关系；而CML 反映的是有效证券组合的期望收 益与风险程度的依赖关系。 ▪ ������ SML 只反映证券或证券组合的期望收益与其所含系 统风险的关系，不是全部风险的关系；CML 则由于其上 面的所有证券组合都只含有系统风险，它所反映的是这 些证券组合的期望收益与其全部风险的依赖关系。 ▪ ������ 在均衡证券市场中，如果证券被恰当定价，则应当 落在SML 之上；而单纯由证券组成的有效证券组合除M 外均落在CML的下方。
▪ 夏普(William Sharpe)是美国斯坦福大学教授。 诺贝尔经济学评奖委员会认为CAPM已构成金融 市场的现代价格理论的核心，它也被广泛用于经 验分析，使丰富的金融统计数据可以得到系统而 有效的利用。它是证券投资的实际研究和决策的 一个重要基础。
会怎样？
*
22
图 9.1 The Efficient Frontier and the Capital Market Line
*
23
9.1.2 消极策略的有效性
理由：
❖市场的有效性
❖投资于市场投资组合指数这样一个消极策略是有 效的——有时把这一结果称之为共同基金定理 (mutual fund theorem)。
*
39
练习题
某基金下一年的投资计划是：基金总额的 10％投资于收益率为7％的无风险资产， 90％投资于一个市场组合，该组合的期望 收益率为15％。若基金中的每一份代表其 资产的100元，年初该基金的售价为107美 元，请问你是否愿意购买该基金？为什么 ？
*
40
9.2 资本资产定价模型和指数模型
9.2.1 实际收益与期望收益
*
36
SML 与CML的比较：
������ SML 的坐标系为“β—r”；而CML 的坐标系是“σ—r” ▪ ������ SML 反映的是证券或证券组合的期望收益与风险程
度的依赖关系；而CML 反映的是有效证券组合的期望收 益与风险程度的依赖关系。 ▪ ������ SML 只反映证券或证券组合的期望收益与其所含系 统风险的关系，不是全部风险的关系；CML 则由于其上 面的所有证券组合都只含有系统风险，它所反映的是这 些证券组合的期望收益与其全部风险的依赖关系。 ▪ ������ 在均衡证券市场中，如果证券被恰当定价，则应当 落在SML 之上；而单纯由证券组成的有效证券组合除M 外均落在CML的下方。
▪ 夏普(William Sharpe)是美国斯坦福大学教授。 诺贝尔经济学评奖委员会认为CAPM已构成金融 市场的现代价格理论的核心，它也被广泛用于经 验分析，使丰富的金融统计数据可以得到系统而 有效的利用。它是证券投资的实际研究和决策的 一个重要基础。
投资学英文课件 (5)
Introduction of the Financial Structure
Financial Markets and Systems
• The Financial System comprises
the mechanisms in an economy that allocate capital (a scarce resource) to its best possible use in order to achieve its growth potential.
What kind of Interest Rates ?
Nominal Interest Rate Real Interest Rate Realized Interest Rate Expected Interest Rate Compounded Interest Rate Risk Free Interest Rate Best Lending Rate Discount Rate Prime Rate Equilibrium Interest Rate Required Rate of Return Yield to Maturity Effective Return Deposit Rate Forward Interest Rate
How to compare investments over different holding periods?
EAR=Effective Annual Rate (annualized holding period return of a T-Bill or zero-coupon bond) APR=Annual Percentage Rate (often for investments < 1yr , also credit cards) Note is T 0, APR becomes continuous compounded
Financial Markets and Systems
• The Financial System comprises
the mechanisms in an economy that allocate capital (a scarce resource) to its best possible use in order to achieve its growth potential.
What kind of Interest Rates ?
Nominal Interest Rate Real Interest Rate Realized Interest Rate Expected Interest Rate Compounded Interest Rate Risk Free Interest Rate Best Lending Rate Discount Rate Prime Rate Equilibrium Interest Rate Required Rate of Return Yield to Maturity Effective Return Deposit Rate Forward Interest Rate
How to compare investments over different holding periods?
EAR=Effective Annual Rate (annualized holding period return of a T-Bill or zero-coupon bond) APR=Annual Percentage Rate (often for investments < 1yr , also credit cards) Note is T 0, APR becomes continuous compounded
Bodie2eChapter05 Household Saving and Investment Decisions 英文版PPT金融学(第二版) 教学课件
R e al $
fund H um anC ap C apital
300000 200000 100000 0 35 -100000 Age
12
45
55
65
75
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
The Inter-temporal Budget Constraint
– The analysis becomes progressively more complex as we make the assumptions more realistic.
• What if you don’t know your date of death., returns are risky, et cetera?
8 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Maintain the same level of consumption spending
– Assume that your level of real consumption is C
– $30,000*0.75 = $22,500/year – using your calculator compute the present value of the retirement funds as an regular annuity
n=15, i = 3, FV=0, PMT=-22,500 -> PV=268,604
Chapter 5: Household Saving and Investment Decisions
fund H um anC ap C apital
300000 200000 100000 0 35 -100000 Age
12
45
55
65
75
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
The Inter-temporal Budget Constraint
– The analysis becomes progressively more complex as we make the assumptions more realistic.
• What if you don’t know your date of death., returns are risky, et cetera?
8 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Maintain the same level of consumption spending
– Assume that your level of real consumption is C
– $30,000*0.75 = $22,500/year – using your calculator compute the present value of the retirement funds as an regular annuity
n=15, i = 3, FV=0, PMT=-22,500 -> PV=268,604
Chapter 5: Household Saving and Investment Decisions
投资学英文课件chap013.ppt
• Jagannathan and Wang study shows two important deficiencies in tests of the single-index model:
Single Factor Test Results
Return %
CAPM
Estimated SML
Beta
INVESTMENTS | BODIE, KANE, MARCUS
Roll’s Criticism
• The only testable hypothesis is whether the market portfolio is mean-variance efficient.
2. Expected rates of return are not affected by nonsystematic risk.
INVESTMENTS | BODIE, KANE, MARCUS
Human Capital and Cyclical Variations in Asset Betas
• Benchmark error due to proxy for M
INVESTMENTS | BODIE, KANE, MARCUS
Measurement Error in Beta
• Problem: If beta is measured with error, then the slope coefficient of the regression equation will be biased downward and the intercept biased upward.
CAPM testing one of the factors.
Single Factor Test Results
Return %
CAPM
Estimated SML
Beta
INVESTMENTS | BODIE, KANE, MARCUS
Roll’s Criticism
• The only testable hypothesis is whether the market portfolio is mean-variance efficient.
2. Expected rates of return are not affected by nonsystematic risk.
INVESTMENTS | BODIE, KANE, MARCUS
Human Capital and Cyclical Variations in Asset Betas
• Benchmark error due to proxy for M
INVESTMENTS | BODIE, KANE, MARCUS
Measurement Error in Beta
• Problem: If beta is measured with error, then the slope coefficient of the regression equation will be biased downward and the intercept biased upward.
CAPM testing one of the factors.
投资学英文课件chap020.ppt
20-9
Example 20.2 Profit and Loss on a Put
• Suppose IBM’s price at expiration is $123. • Value at expiration = exercise price – stock
price:
$130 - $123 = $7
INVESTMENTS | BODIE, KANE, MARCUS
20-8
Example 20.2 Profit and Loss on a Put
• Consider a January 2010 put on IBM with an exercise price of $130, selling on December 2, 2009, for $4.79.
• Investor’s profit:
$7.00 - $4.79 = $2.21
• Holding period return = 46.1% over days!
INVESTMENTS | BODIE, KANE, MARCUS
20-10
Market and Exercise Price Relationships
if ST >X
0 if ST < X
Profit to Call Writer Payoff + Premium
INVESTMENTS | BODIE, KANE, MARCUS
20-15
Figure 20.2 Payoff and Profit to Call Option at Expiration
INVESTMENTS | BODIE, KANE, MARCUS
投资学全英课件
10.1 Multifactor models: an overview 10.2 Arbitrage pricing theory 10.3 Individual assets and the APT 10.4 A multifactor APT 10.5 Where should we look for factors?
10.1 Multifactor models（多因 素模 型）: an overview
The index model decomposes stock variability into market risk and firm-specific risk. In the index model, the return on the market portfolio summarized the broad impact of macro factors. Sometimes, however, rather than using a market proxy, it is more useful to focus directly on the ultimate sources of risk. That is to measure one‟s exposures to particular sources of uncertainty. Factor models allow us to describe and quantify the different factors that affect the rate of return on a security.
However, stocks actually differ in their betas relative to the various macroeconoic factors.
《投资学》经典课件(英文) (1)
What is investment？
• Your idea about the investmentபைடு நூலகம் • More money • Higher income • Etc.
The definition
• The current commitment of money or other resources in the expectation of reaping future benefits
Course Objective
• Analytical ability: modeling skills that are important
in making investment decisions
• Quantitative skills: developing problem solving
Investment
Money, wealth, stock, bond, capital ect.
Course Mechanics
• Class participation：50% • Final Exam：50%
Course materials： • Textbook：Investment Bodie, Kane and Marcus 9th edition • Additional materials, articles
• Investment science – mathematics
Why investment?
• You idea • Potential gain
• The gold price
• Uncertainty of the future payments and income, smooth your income and consumption
Chap002投资学(英)《Asset Classes and Financial Instruments》
P n = market price of the T-bill = number of days to maturity
• Example: 90-day T-bill, P = $9,875
r BD =
$10,000
- $9,875
$10,000
360 = 5% × 90
2-14
2.1 The Money Market
Brothers
• Reserve Primary Fund ―broke the buck‖ • Run on money market funds ensued • U.S. Treasury temporarily offered to insure all
money funds
2-12
2.1 The Money Market
stock on margin
• Loan may be ―called in‖ by broker
2-9
Figure 2.1 Treasury Bills (T-Bills)
Source: The Wall Street Journal Online, July 7, 2011.
2-10
Figure 2.2 Spreads on CDs and Treasury Bills
• New Innovation: Asset-backed commercial paper
2-5
2.1 The Money Market
• Bankers’ Acceptances
• Originate when a purchaser authorizes a bank to
pay a seller for goods at later date (time draft)
• Example: 90-day T-bill, P = $9,875
r BD =
$10,000
- $9,875
$10,000
360 = 5% × 90
2-14
2.1 The Money Market
Brothers
• Reserve Primary Fund ―broke the buck‖ • Run on money market funds ensued • U.S. Treasury temporarily offered to insure all
money funds
2-12
2.1 The Money Market
stock on margin
• Loan may be ―called in‖ by broker
2-9
Figure 2.1 Treasury Bills (T-Bills)
Source: The Wall Street Journal Online, July 7, 2011.
2-10
Figure 2.2 Spreads on CDs and Treasury Bills
• New Innovation: Asset-backed commercial paper
2-5
2.1 The Money Market
• Bankers’ Acceptances
• Originate when a purchaser authorizes a bank to
pay a seller for goods at later date (time draft)
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
rf
(T )
100 P(T )
1
• Effective annual rate（有效年利率）
1 EAR [1 rf (T)]1/T
• Annual Percentage Rates APR n rf (T )
1 EAR [1 rf (T)]n [1 rf (T)]1/T [1T APR]1/T
The money supply of China
• Interest and inflation rates, 1926–2009
Risk and Risk Premiums（风险溢价）ห้องสมุดไป่ตู้
• Holding-Period Returns（持有期收益率）
• Expected Return and Standard Deviation
• skew
• 中航资本日收益率偏度=-10.1229 • Kurtosis（峰度）
• The Equilibrium Nominal Rate of Interest • Irving Fisher (1930): the nominal rate ought to
increase one-for-one with increases in the expected inflation rate.
• Expected Returns and the Arithmetic Average
E(r) n p(s)r(s) 1 n r(s)
s 1
n s1
p(s) 1 n
• The Geometric (Time-Weighted) Average Return(
几何（时间加权）平均收益）
• g ： the time-weighted (as opposed to dollarweighted) average return,
R r E(i)
• Taxes and the Real Rate of Interest
R(1 t) i (r i)(1 t) i r(1 t) it
Comparing Rates of Return for Different Holding Periods(持有期利率）
• Return rate
APR (1 EAR)T 1 T
• Continuous Compounding（连续复利）
1+EAR exp(rcc ) ercc
rcc ln(1 EAR)
Bills and Inflation, 1926–2009
• Nominal and real wealth indexes for investments in Treasury bills, 1968–2009 (inset figure is for 1926– 2009)
The Normal Distribution
• The normal distribution with mean 10% and standard deviation 20%.
• 中航资本日收益率累计分布
• 中航资本日收益率正态分布概率图
• 中航资本日收益率的密度函数与频率直方图
Deviations from Normality and Risk Measures
Introduction
• What are we refer to , when we discuss the risk? • Uncertainty • The return • How to depict the risk • How to calculate • Calculation method
E(r) p(s)r(s)
s
2 p(s)[r(s) E(r)]2
s
• Risk-free rate（无风险收益率） • Risk premium（风险溢价） • Excess return（超额收益） • Risk aversion（风险厌恶）
Time Series Analysis of Past Rates of Return
Determinants of the Level of Interest Rates
• The main determinants
Business
Households
Reserve bank
The system case-- nonfarm payrolls (非农数据)
• Nonfarm Payroll • A statistic researched, recorded and reported by the
• Discrepancy between the arithmetic and geometric averages
• Variance and Standard Deviation
2 1
n
[r(s) r]2
n s1
1
n
[r(s) r]2
n 1 s1
• The Reward-to-Volatility (Sharpe) Ratio（夏普比率）
• Real and Nominal Rates of Interest • A promised rate of return • Unit • Time period
• Real interest rate r R i
1 r 1 R 1 i
r Ri 1 i
• Determination of the equilibrium real rate of interest
U.S. Bureau of Labor Statistics intended to represent the total number of paid U.S. workers of any business, excluding the following employees:
- general government employees - private household employees - employees of nonprofit organizations that provide assistance to individuals - farm employees