财务管理补

1.投资回报率2.投资风险的衡量期望收益率标准差3.风险价值4.投资组合的风险Investment ReturnThe rate of return on an investment can be calculated as follows:(Amount received Amount invested)Return = _Amount investedsweeeFor example, if $1,000 is invested and $1,100 is returned after one year, the rate of return for this investment is: ($1,100 - $1,000) / $1,000 = 10%.Investment Risk 投资风险1.Definition 定义Two types of investment risk:Stand-alone risk;Portfolio risk Investment risk is related to the probability of earning a low or negative actual return.The greater the chance of lower than expected or negative returns, the riskier the investment.2.Probability distributions 概率分布与期望收益率A listing of all possible outcomes, and the probability of each occurrence.Can be shown graphically.So,we can use this to calculate the expected return for each alternative.E.g.KA= 0.320%+0.4 15%+0.3 10%=15% KB= 0.3100%+0.4 15%+0.3 (-70%)=15%3.Standard deviation for each alternative 标准差Expected Rate of ReturnRate ofReturn (%)100150-70Firm XFirm YNiiKP1一Standard deviation (i) measures total, or stand-alone, risk.It shows the weighted average of deviation between all possible and expected value.So it can tell people the actual value may how much higher or lower than expected value.The larger i is, the lower the probability that actual returns will be closer to expected returns.Larger i is associated with a wider probability distribution of returns.Only if two companys return are same,we can use this way to measure the risk.4.Coefficient of Variation (CV) 标准差率A standardized measure of dispersion about the expected value, that shows the risk per unit of return.We can also use CV to measure the risk,especially when two investments expected return are same.E.g项目 投资 C 投资 D期望收益 0.08 0.24标准差 0.06 0.08标准差率 0.75 0.33kMeandvSt CVValue at Risk 风险价值Investors take risk to investment,so they ask for extra money which is beyond the time value.And the extra money is value at risk.Why ask more?Risk aversion 风险反感 assumes investors dislike risk and require higher rates of return to encourage them to hold riskier securities.Risk premium 风险补偿 the difference between the return on a risky asset and less risky asset, which serves as compensation for investors to hold riskier securities.1.use CVVaR=bVVaR/return of risk compensation;b-risk fator;V-CVb is determined by previous data,attitude to risk.预期报酬率无风险报酬率风险报酬率即：K=K F+KR=KF + bVKF-risk-free returne.g.假设企业以往同类项目的投资收益为 10%，收益的标准差率50%，无风险收益率为 6%，承前例，试计算 A 公司的投资报酬率。解：根据：K=KF + bV有 10%=6%+50%b，b=8%，A 公司的标准差率=3.87%15%=25.8%A 公司的投资报酬率=6%+8%25.8%=8.064%2.use -Capital asset pricing model (CAPM)E(R)= Rf+ (RmRf). E(R)-is the expected return on the capital asset.Rf-is the risk-free rate of interest such as interest arising from government bonds.Rm-is the expected re