英国诺丁汉大学国际管理专业课件

1、1,Capital Markets Analysis,Topic 2: Portfolio Theory,2,Preview,Some descriptive statistics,Key properties of assets and portfolios,Assumptions of Model 2.1,Expected wealth, variance, standard deviation, risk premium,Assumptions of Model 2.2,Expected rate of return, variance, standard deviation of as

2、sets,Expected rate of return, variance, standard deviation of portfolio,Covariance,Correlation coefficient,Problems,Presentations,3,Some Descriptive Statistics - assumptions of Model 2.1 -,1. Initial wealth (W) = $100,000, which is to be invested for one year.,2. This wealth can be invested in only

3、one risky asset, with two possible scenarios. At the end of the year, the asset will be worth either:,a. $150,000 (W1 = $150,000); or b. $80,000 (W2 = $80,000,3. The probability of the first scenario is 0.6 and of the second is, therefore, 0.4,4,Some Descriptive Statistics - expected wealth -,Wealth

4、 $100,000,Possible returns (Wi),E(W) = p1W1 + p2W2,= 0.6 x $150,000 + 0.4 x $80,000 = $122,000,5,Some Descriptive Statistics - variance and standard deviation -,Difference from expected value,Square of differences,Weighted sum of squared differences,Square root of weighted sum,28,0002 = 784m,0.6 x 7

5、84m = 470m,-42,0002 = 1,764m,0.4 x 1,764m = 706m,1,176m,$34,293,2 = p1W1 E(W)2 + p2W2 E(W)2, = 2,= 470m + 706m = 1,176m,= 1,176m = $34,293,6,Some Descriptive Statistics - risk premium -,$105,000,1.0,$105,000,7,Key Properties of Assets and Portfolios - assumptions of Model 2 -,1. Humanex has 50% of i

6、ts portfolio in Best Candy stock,2. The return on Best Candy stock is sensitive to (a) the price of sugar and (b) the mood of the stock market. The returns are: S1 = 25%, S2 = 10% and S3 = -25%,5. The return on Sugarcane is also sensitive to the price of sugar and the mood of the stock market. The r

7、eturns are: S1 = 1%, S2 = -5% and S3 = 35%,3. Humanex can invest the other 50% of its portfolio in either T-bills or Sugarcane.,4. T-bills are risk-free, with a return in each scenario period of 5%.,8,Key Properties of Assets and Portfolios - structure of analysis -,E(r),2,Cov,E(r),9,Key Properties

8、of Assets p2= w1212 + w2222 + 2w1w2Cov(r1,r2).,P2= (0.52 x 18.92) + (0.52 x 14.732) + (2 x 0.5 x 0.5 x 240.5),= 23.3,23,How Securities are Traded - Problem 1 -,Data. FBN sold 100,000 shares in an IPO. Underwriters explicit fees were $70,000. Offering price of shares was $50. Upon issue, price jumped

9、 to $53,000.,Q1a.What is total cost to FBN?,Q1b. Is the profit to the underwriters $370,000?,24,How Securities are Traded - Problem 2 -,Data. You sell short 100 shares of IBX at $70 per share.,Q2a.What is your maximum possible loss?,Q2b. What is your maximum possible loss if you simultaneously place

10、 a stop-buy order at $78?,25,How Securities are Traded - Problem 3 -,Data. Dee purchases 300 shares at $40 per share. She borrows $4,000 from her broker to help pay for the purchase. The rate of interest on the loan is 8 percent.,Q3a.What is Dees initial margin?,Q3b. If the price falls to $30 per sh

11、are, what is remaining margin in her account? If the maintenance margin requirement is 30%, will she receive a margin call?,Q3c.What is the rate of return on her investment?,26,How Securities are Traded - Problem 4 -,Data. OET short sells 1,000 shares at $40 per share. Initial margin requirement was

12、 50 percent. A year later the price has risen to $50 per share and the stock has paid a dividend of $2 per share.,Q4a.What is the remaining margin in the account?,Q4b. If the maintenance margin requirement is 30%, will OET receive a margin call?,Q4c.What is the rate of return on the investment?,27,S

13、eminar in Week 3 - Group 1A and Group 2A -,3. What is hedging? Suppose Asset A has a much lower rate of return and about the same standard deviation as Asset B. Explain why an investor might prefer to include Asset A rather than Asset B in their portfolio.,4. What is the difference between a specula

14、tor and a gambler? Provide an example. Would either invest in a prospect that is a “fair game”. If so, why? If not, why not?,1. Using a quantitative example, explain the difference between an initial margin and a margin requirement? Under what condition would the investor expect to receive a margin

15、call?,2. What are the differences between a managed investment trust, an open-end managed investment company and a close-end managed investment company? You have $100,000 to invest in one and only of the three vehicles. Which will you choose and why?,5. Choose one more question and provide an answer

16、 to it.,At the end of each presentation, ask one question to the class to check their understanding of what you have said,28,Seminar in Week 4 - Group 1B and Group 2B -,3. What are the differences between capital allocation, asset allocation and security allocation? Why do investors pay so much atte

17、ntion to the asset allocation decision? .,4. What are the relative merits of holding an unmanaged portfolio of well-diversified portfolio of stocks and a managed portfolio of stocks. Under what circumstances would you prefer the managed portfolio?,1. What is a risk-free asset? What are the main risk-free instruments in the States? What is the standard deviation of the return on a risk-free asset? What is the variance?,2. How do you calculate the expected return, variance and standard deviation of a risky ass