公司理财 美[罗斯] chp 13new

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1、TopicsCoveredChapter13§ExpectedReturnandVarianceReturn,Risk,and§PortfolioRiskandReturnSecurityMarketLine§Risk&Diversification§SystematicRisk&Beta§SecurityMarketLineKonanChanCorporateFinance,Spring20091CorporateFinance,Spring2009KonanChan2ExpectedReturn&RiskExpecte

2、dReturn&Risk§Expectedreturn:§Ifweknowtheprobabilitydistribution©Returnsexpectedtoearnonariskyasset§ExpectedReturn(Mean)§RiskEr()==µ∑psrs()()×s©Chanceofanadverseoutcome;uncertainty§Risk(VarianceorStandarddeviation)©Riskinessofcashflowsofassets©Variance22©Iffutureou

3、tcomeisanticipated,thenit’srisk-freeVarr()==σ∑ps()×[]rs()−Er()s©StandarddeviationisthesquarerootofvarianceCorporateFinance,Spring2009KonanChan3CorporateFinance,Spring2009KonanChan4ReturnandRisk-ExampleReturnandRisk-ExampleStateofProbabilityStockBond§rS=0.25*0.8+0.

4、6*0.3+0.15*(-0.3)=0.335economy§rB=0.25*0.05+0.6*0.1+0.15*0.15=0.095Boom25%80%5%§Standarddeviation222σ=.25*(.8−.335)+.6*(.3−.335)+.15*(−.3−.335)=34%SNormal60%30%10%22σ=.25*(.05−.095)+.6*(.1−.095)+.15*(.15−.095)=3.1%BRecession15%-30%15%CorporateFinance,Spring2009Kon

5、anChan5CorporateFinance,Spring2009KonanChan6PortfolioRiskandReturnPortfolioRisk-Example§Inpreviousexample,rS=33.5%andrB=9.5%StateofProb.Portfolio(60%S+40%B)economy§Whatistheexpectedreturnofaportfolioconsistingof60%stockand40%bond?Boom25%50%Normal60%22%§rP=0.6*33.5

6、%+0.4*9.5%=23.9%Recession15%-12%Expectedreturn=23.9%§Howaboutportfoliorisk?Standarddeviation=19.1%©It’snotaweightedaverageofstandarddeviations222σ=.25*(.5−.239)+.6*(.22−.239)+.15*(−.12−.239)=19.1%PCorporateFinance,Spring2009KonanChan7CorporateFinance,Spring2009Kon

7、anChan8PortfolioRiskRiskandDiversificationi§Theportfolioriskisaffectedbytherelationshipbetweenreturnsofdifferentassets§Ingeneral,lowerrelationshipamongassetsUniqueriskreducetheportfolioriskMarketrisk§Whentheportfolioincludesmoreassets,it’sPortfoliostandarddev0more

8、likelythattheseassetsarewithlower51015relationshipNumberofSecuritiesCorporateFinance,Spring2009KonanChan9CorporateFinance,Spring2009KonanChan10RiskandDi