Chapter_08RiskandReturn(公司理财原理,Brealey_My

,PrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.Myers,SlidesbyMatthewWill,Chapter8,McGrawHill/Irwin,Copyright2003byTheMcGraw-HillCompanies,Inc.Allrightsreserved,RiskandReturn,TopicsCovered,MarkowitzPortfolioTheoryRiskandReturnRelationshipTestingtheCAPMCAPMAlternatives,MarkowitzPortfolioTheory,Combiningstocksintoportfolioscanreducestandarddeviation,belowthelevelobtainedfromasimpleweightedaveragecalculation.Correlationcoefficientsmakethispossible.Thevariousweightedcombinationsofstocksthatcreatethisstandarddeviationsconstitutethesetofefficientportfolios.,MarkowitzPortfolioTheory,Pricechangesvs.NormaldistributionMicrosoft-Daily%change1990-2001,ProportionofDays,Daily%Change,MarkowitzPortfolioTheory,StandardDeviationVS.ExpectedReturnInvestmentA,%probability,%return,MarkowitzPortfolioTheory,StandardDeviationVS.ExpectedReturnInvestmentB,%probability,%return,MarkowitzPortfolioTheory,StandardDeviationVS.ExpectedReturnInvestmentC,%probability,%return,MarkowitzPortfolioTheory,StandardDeviationVS.ExpectedReturnInvestmentD,%probability,%return,MarkowitzPortfolioTheory,CocaCola,Reebok,StandardDeviation,ExpectedReturn(%),35%inReebok,ExpectedReturnsandStandardDeviationsvarygivendifferentweightedcombinationsofthestocks,EfficientFrontier,StandardDeviation,ExpectedReturn(%),Eachhalfeggshellrepresentsthepossibleweightedcombinationsfortwostocks.Thecompositeofallstocksetsconstitutestheefficientfrontier,EfficientFrontier,StandardDeviation,ExpectedReturn(%),LendingorBorrowingattheriskfreerate(rf)allowsustoexistoutsidetheefficientfrontier.,rf,LendingBorrowing,T,S,EfficientFrontier,ExampleCorrelationCoefficient=.4Stockss%ofPortfolioAvgReturnABCCorp2860%15%BigCorp4240%21%StandardDeviation=weightedavg=33.6StandardDeviation=Portfolio=28.1Return=weightedavg=Portfolio=17.4%,EfficientFrontier,ExampleCorrelationCoefficient=.4Stockss%ofPortfolioAvgReturnABCCorp2860%15%BigCorp4240%21%StandardDeviation=weightedavg=33.6StandardDeviation=Portfolio=28.1Return=weightedavg=Portfolio=17.4%LetsAddstockNewCorptotheportfolio,EfficientFrontier,ExampleCorrelationCoefficient=.3Stockss%ofPortfolioAvgReturnPortfolio28.150%17.4%NewCorp3050%19%NEWStandardDeviation=weightedavg=31.80NEWStandardDeviation=Portfolio=23.43NEWReturn=weightedavg=Portfolio=18.20%,EfficientFrontier,ExampleCorrelationCoefficient=.3Stockss%ofPortfolioAvgReturnPortfolio28.150%17.4%NewCorp3050%19%NEWStandardDeviation=weightedavg=31.80NEWStandardDeviation=Portfolio=23.43NEWReturn=weightedavg=Portfolio=18.20%NOTE:Higherreturn&LowerriskHowdidwedothat?DIVERSIFICATION,EfficientFrontier,A,B,Return,Risk(measuredass),EfficientFrontier,A,B,Return,Risk,AB,EfficientFrontier,A,B,N,Return,Risk,AB,EfficientFrontier,A,B,N,Return,Risk,AB,ABN,EfficientFrontier,A,B,N,Return,Risk,AB,Goalistomoveupandleft.WHY?,ABN,EfficientFrontier,Return,Risk,LowRiskHighReturn,HighRiskHighReturn,LowRiskLowReturn,HighRiskLowReturn,EfficientFrontier,Return,Risk,LowRiskHighReturn,HighRiskHighReturn,LowRiskLowReturn,HighRiskLowReturn,EfficientFrontier,Return,Risk,A,B,N,AB,ABN,SecurityMarketLine,Return,Risk,.,rf,RiskFreeReturn=,EfficientPortfolio,SecurityMarketLine,Return,.,rf,RiskFreeReturn=,EfficientPortfolio,BETA,1.0,SecurityMarketLine,Return,.,rf,RiskFreeReturn=,BETA,SecurityMarketLine(SML),SecurityMarketLine,Return,BETA,rf,1.0,SML,SMLEquation=rf+B(rm-rf),CapitalAssetPricingModel,R=rf+B(rm-rf),CAPM,TestingtheCAPM,AvgRiskPremium1931-65,PortfolioBeta,1.0,SML,3020100,Investors,MarketPortfolio,Betavs.AverageRiskPremium,TestingtheCAPM,AvgRiskPremium1966-91,PortfolioBeta,1.0,SML,3020100,Investors,MarketPortfolio,Betavs.AverageRiskPremium,TestingtheCAPM,High-minuslowbook-to-market,Returnvs.Book-to-Market,Dollars,Lowminusbig,/pages/faculty/ken.french/data_library.html,ConsumptionBetasvsMarketBetas,Stocks(andotherriskyassets),Wealth=marketportfolio,StandardCAPM,ConsumptionCAPM,ArbitragePr