财务管理第十三章课件共46页

n
σ2 pi (Ri E(R))2 i 1
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Example: Variance and Standard Deviation
• Consider the previous example. What are the variance and standard deviation for each stock?
• What is the variance?
• What is the standard deviation?
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Portfolios
• A portfolio is a collection of assets • An asset’s risk and return are important in
Another Example
• Consider the following information:
State Boom Normal Slowdown Recession
Probability .25 .50 .15 .10
ABC, Inc. (%) 15 8 4 -3
• What is the expected return?
▪ $2000 of C
▪ C: 2/15 = .133
▪ $3000 of KO
▪ KO: 3/15 = .2
▪ $4000 of INTC ▪ INTC: 4/15 = .267
▪ $6000 of BP
▪ BP: 6/15 = .4
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Portfolio Expected Returns
• Stock C ▪ 2 = .3(15-9.9)2 + .5(10-9.9)2 + .2(2-9.9)2 = 20.29 ▪ = 4.50%
• Stock T
▪ 2 = .3(25-17.7)2 + .5(20-17.7)2 + .2(1-17.7)2 = 74.41
▪ = 8.63%
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Key Concepts and Skills
• Know how to calculate expected returns • Understand the impact of diversification • Understand the systematic risk principle • Understand the security market line • Understand the risk-return trade-off • Be able to use the Capital Asset Pricing
State
oom
0.3
15
25
Normal
0.5
10
20
Recession
???
2
1
• RC = .3(15) + .5(10) + .2(2) = 9.9% • RT = .3(25) + .5(20) + .2(1) = 17.7%
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Variance and Standard Deviation
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Expected Returns
• Expected returns are based on the probabilities of possible outcomes
• In this context, “expected” means average if the process is repeated many times
• The “expected” return does not even have to be a possible return
n
E(R) pi Ri i 1
13-3
Example: Expected Returns
• Suppose you have predicted the following returns for stocks C and T in three possible states of the economy. What are the expected returns?
Model
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Chapter Outline
• Expected Returns and Variances • Portfolios • Announcements, Surprises, and Expected
Returns • Risk: Systematic and Unsystematic • Diversification and Portfolio Risk • Systematic Risk and Beta • The Security Market Line • The SML and the Cost of Capital: A Preview
how they affect the risk and return of the portfolio • The risk-return trade-off for a portfolio is measured by the portfolio expected return and standard deviation, just as with individual assets
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Example: Portfolio Weights
• Suppose you have $15,000 to invest and
you have purchased securities in the
following amounts. What are your portfolio
weights in each security?
• Variance and standard deviation measure the volatility of returns
• Using unequal probabilities for the entire range of possibilities
• Weighted average of squared deviations
• The expected return of a portfolio is the weighted average of the expected returns of the respective assets in the portfolio