《财务管理补》word版

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1、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●InvestmentReturnTherateofreturnonaninvestmentcanbecalculatedasfollows:(Amountreceived–Amountinvested)Return=__________________________________AmountinvestedsweeeForexample,if$1,000isinvestedand$1,100isreturnedafteroneyear,therateofr

2、eturnforthisinvestmentis:($1,100-$1,000)/$1,000=10%.●InvestmentRisk投资风险1.Definition定义Twotypesofinvestmentrisk:Stand-alonerisk;PortfolioriskInvestmentriskisrelatedtotheprobabilityofearningalowornegativeactualreturn.Thegreaterthechanceoflowerthanexpectedornegativereturns,th

3、eriskiertheinvestment.2.Probabilitydistributions概率分布与期望收益率Alistingofallpossibleoutcomes,andtheprobabilityofeachoccurrence.Canbeshowngraphically.ExpectedRateofReturnRateof Return(%)100150-70FirmXFirmYSo,wecanusethistocalculatetheexpectedreturnforeachalternative.E.g.KA=0.3×

4、20%+0.4×15%+0.3×10%=15%KB=0.3×100%+0.4×15%+0.3×(-70%)=15%1.Standarddeviationforeachalternative标准差Standarddeviation(σi)measurestotal,orstand-alone,risk.Itshowstheweightedaverageofdeviationbetweenallpossibleandexpectedvalue.Soitcantellpeopletheactualvaluemayhowmuchhigherorl

5、owerthanexpectedvalue.Thelargerσiis,thelowertheprobabilitythatactualreturnswillbeclosertoexpectedreturns.Largerσiisassociatedwithawiderprobabilitydistributionofreturns.Onlyiftwocompany’sreturnaresame,wecanusethiswaytomeasuretherisk.1.CoefficientofVariation(CV)标准差率Astandar

6、dizedmeasureofdispersionabouttheexpectedvalue,thatshowstheriskperunitofreturn.WecanalsouseCVtomeasuretherisk,especiallywhentwoinvestment’sexpectedreturnaresame.E.g项目投资C投资D期望收益0.080.24标准差0.060.08标准差率0.750.33●ValueatRisk风险价值Investorstakerisktoinvestment,sotheyaskforextramon

7、eywhichisbeyondthetimevalue.Andtheextramoneyisvalueatrisk.Whyaskmore?Riskaversion风险反感–assumesinvestorsdislikeriskandrequirehigherratesofreturntoencouragethemtoholdriskiersecurities.Riskpremium风险补偿–thedifferencebetweenthereturnonariskyassetandlessriskyasset,whichservesasco

8、mpensationforinvestorstoholdriskiersecurities.1.useCVVaR=bVVaR/returnofriskcompensation;b--riskf