公司理财罗斯英文原书第九版第十一课时.ppt

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1、ReturnandRisk:TheCapitalAssetPricingModelChapter11Copyright©2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinKeyConceptsandSkillsKnowhowtocalculateexpectedreturnsKnowhowtocalculatecovariances,correlations,andbetasUnderstandtheimpactofdiversificat

2、ionUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntradeoffBeabletousetheCapitalAssetPricingModelChapterOutline11.1IndividualSecurities11.2ExpectedReturn,Variance,andCovariance11.3TheReturnandRiskforPortfolios11.4TheEfficie

3、ntSetforTwoAssets11.5TheEfficientSetforManyAssets11.6Diversification11.7RisklessBorrowingandLending11.8MarketEquilibrium11.9RelationshipbetweenRiskandExpectedReturn(CAPM)11.1IndividualSecuritiesThecharacteristicsofindividualsecuritiesthatareofinterestarethe:Expected

4、ReturnVarianceandStandardDeviationCovarianceandCorrelation(toanothersecurityorindex)11.2ExpectedReturn,Variance,andCovarianceConsiderthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomy,andtheonlyassetsareastockfundandabondfund.ExpectedReturnExpec

5、tedReturnVarianceVarianceStandardDeviationCovariance“Deviation”comparesreturnineachstatetotheexpectedreturn.“Weighted”takestheproductofthedeviationsmultipliedbytheprobabilityofthatstate.Correlation11.3TheReturnandRiskforPortfoliosNotethatstockshaveahigherexpectedret

6、urnthanbondsandhigherrisk.Letusturnnowtotherisk-returntradeoffofaportfoliothatis50%investedinbondsand50%investedinstocks.PortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:PortfoliosTheexpectedrateofreturnontheport

7、folioisaweightedaverageoftheexpectedreturnsonthesecuritiesintheportfolio.PortfoliosThevarianceoftherateofreturnonthetworiskyassetsportfolioiswhereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.PortfoliosObservethedecreaseinriskthatdiversificat

8、ionoffers.Anequallyweightedportfolio(50%instocksand50%inbonds)haslessriskthaneitherstocksorbondsheldinisolation.11.4TheEfficientSetforTwoA