金融2 chap11收益风产定价模型

KeyConceptsandSkillsKnowhowtocalculateexpectedKnowhowtocalculatecovariances,correlations,andUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntradeoffBeabletousetheCapitalAssetPricingIndividualSecuritiesExpectedReturn,Variance,andTheReturnandRiskforPortfoliosTheEfficientSetforTwoAssetsTheEfficientSetforManyAssetsRisklessBorrowingandLendingMarketEquilibriumRelationshipbetweenRiskandExpectedReturn期望收益与风险的关系（资本资产定价模型Thecharacteristicsofindividualsecuritiesthatareofinterestarethe:CovarianceandCorrelation(toanothersecurityorConsiderthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomy,andtheonlyassetsareastockfundandabondfund.StockofBondStock BondExpectedStandardStockRateof BondRateof ExpectedStandard3E(rS)13(7%)3

(12%)

E(rS)Stock BondRateRateExpectedStandard(7%11%)2StockRateof BondRateof ExpectedStandard.0205.02051(.0324.0001.0289)3StandardDeviationStockRateof BondRateof ExpectedStandard“Deviation”comparesreturnineachstatetotheexpected“Weighted”takestheproductofthedeviationsmultipliedbytheofthatCov(a,Stock BondRateRateExpectedStandardNotethatstockshaveahigherexpectedreturnthanbondsandhigherrisk.Let usturnnowtotherisk-returntradeoffofaportfoliothatis50%investedin bondsand50%investedin 0 Bond squaredExpectedStandardTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:投在组合的收 wBrBwS Stockfund Bondfundsquared-ExpectedStandardE(r)wE(r)wE(rTheE(r)wE(r)wE(r Stockfund BondfundsquaredExpectedStandardThevarianceoftherateofreturnonthetworiskyassetsportfoliois whereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.Stockfund BondfundsquaredExpectedStandardObservethedecreaseinriskthatdiversificationAnequallyweightedportfolio(50%instocksand50%inhaslessriskthaneitherstocksorbondsheldin %in %in PortfoloPortfoloRiskandReturnPortfolio PortfolioRisk(standardWecanconsiderotherportfolioweightsbesides50%instocksand50%in%in%in PortfolioRisk(standardNotethatsomeportfoliosare“better”thanothers.Theyhavehigherreturnsforthesamelevelofriskorless.注意一些投资=-

==-1.0<<If1.0,noriskreductionispossible若+1.0If=–1.0,completeriskreductionisTheEfficientSetforManySecuritiesConsideraworldwithmanyriskyassets;wecanstillidentifytheopportunityAnnouncements,Surprises,andExpectedReturnsThereturnonanysecurityconsistsoftwoFirst,theexpectedreturnsAwaytowritethereturnonastockinthecomingmonthRRRRistheexpectedpartofthereturnAnnouncements,Surprises,andExpectedReturnsAnyannouncementcanbebrokendownintotwoparts,theanticipated(orexpectedpartandthesurprise(orinnovation):Announcement=Expectedpart+Theexpectedpartofanyannouncementisthepartoftheinformationthemarketusestoformtheexpectation,R,ofthereturnonthestock.任何新消息中预料到的部分是市场形成Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U惊喜是影响到未预期到的股票收益U的消息。Diversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturns.Thisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanother.However,thereisaminimumlevelofriskthatcannotbediversifiedaway,andthatisthesystematicportion.Inalargeportfoliothevariancetermsareeffectivelydiversifiedaway,butthecovariancetermsarenot.在一个大的投资组合中， DiversifiableRisk;可分散风险NonsystematicRisk;非系统风险FirmSpecificRisk企业本身的风险UniqueRiskPortfoliorisk投SystematicRisk;系统性风险MarketRisk市场风险nAsystematicriskisanyriskthataffectsalargenumberofassetseachtoagreaterorlesserdegree.系统性风险是任何一种同时影响大量资产，但Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.系统风险的例子包括Ontheotherhand,announcementsspecifictoasinglecompanyareexamplesofunsystematicrisk.Totalrisk=systematicrisk+unsystematicThestandarddeviationofreturnsisameasureoftotalForwell-diversifiedportfolios,unsystematicriskisveryConsequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk.Inadditiontostocksandbonds,consideraworldthatalsohasrisk-freesecuritieslikeT-bills.11.7RisklessBorrowingandLendingNowinvestorscanallocatetheirmoneyacrosstheT-billsandabalancedmutualfund.Witharisk-freeassetavailableandtheefficientfrontieridentified,wechoosethecapitalallocationlinewiththesteepestslope.Msomecombinationoftherisk-freeassetandthemarketportfolioM.Inaworldwithhomogeneousexpectations,Misthesameforallinvestors.WheretheinvestorchoosesalongtheCapitalMarketLinedependsonherrisktolerance.ThebigpointisthatallinvestorshavethesameCML.RiskWhenHoldingtheMarketPortfolioResearchershaveshownthatthebestmeasureoftheriskofasecurityinalargeportfolioisthebeta()ofthesecurity.Betameasurestheresponsivenessofasecuritytomovementsinthemarketportfolio(i.e.,systematicrisk).CovCov(Ri,RMiM)SecurityEstimatingwithSecurityReturnonmarketRi=i+iRm+TheFormulaforBetaCovCov(Ri,RM)(R))Clearly,yourestimateofbetawilldependuponyourchoiceofaproxyforthemarketportfolio.11.9RelationshipbetweenRiskandExpectedMarketRiskExpectedreturnonanindividualRRiRFβi(RMRFMarketRiskPremium市场风险溢价Thisappliestoindividualsecuritiesheldwi