收益管理与风险控制英文版).ppt

《收益管理与风险控制英文版).ppt》由会员上传分享，免费在线阅读，更多相关内容在PPT专区-天天文库。

1、ChapterOutline10.1IndividualSecurities10.2ExpectedReturn,Variance,andCovariance10.3TheReturnandRiskforPortfolios10.4TheEfficientSetforTwoAssets10.5TheEfficientSetforManySecurities10.6Diversification:AnExample10.7RisklessBorrowingandLending10.8MarketEquilibrium10.9RelationshipbetweenRiskan

2、dExpectedReturn(CAPM)10.10SummaryandConclusions10.1IndividualSecuritiesThecharacteristicsofindividualsecuritiesthatareofinterestarethe:ExpectedReturnVarianceandStandardDeviationCovarianceandCorrelation10.2ExpectedReturn,Variance,andCovarianceConsiderthefollowingtworiskyassetworld.Thereisa

3、1/3chanceofeachstateoftheeconomyandtheonlyassetsareastockfundandabondfund.10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2Expect

4、edReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.2ExpectedReturn,Variance,andCovariance10.3TheReturnandRiskforPortfoliosNotethatstockshaveahigherexpectedreturnthanbondsandhigherrisk.Letusturnnowtotherisk-returntradeoffofaportfoliothatis50%investedinbondsand50%inv

5、estedinstocks.10.3TheReturnandRiskforPortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:10.3TheReturnandRiskforPortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:10.3TheReturnandRiskfor

6、PortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:10.3TheReturnandRiskforPortfoliosTheexpectedrateofreturnontheportfolioisaweightedaverageoftheexpectedreturnsonthesecuritiesintheportfolio.10.3TheReturnandRiskforPortfoliosThevarianceofth

7、erateofreturnonthetworiskyassetsportfolioiswhereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.10.3TheReturnandRiskforPortfoliosObservethedecreaseinriskthatdiversificationoffers.Anequallyweightedportfolio(50%instocksand50%inbonds)haslessriskth