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1、g10byzw主编Chapter3RiskandReward3.1MeasuringReward:TheExpectedReturn3.2MeasuringRisk:TheStandardDeviation3.3RiskPreference:Risk-NeutralityandRisk-Aversion3.4InvestmentPortfolio3.5TheCapitalAssetPricingModel3.6TheSecurityMarketsLine3.7EfficientCapitalMarket3.1
2、MeasuringReward:TheExpectedReturnInfinancialmanagement,weoftenneedtomeasuretheaveragerewardthatyouexpecttoreceivefrommakinganinvestment.Theexpectedreturnformulais：3.1 MeasuringReward:TheExpectedReturn【Example3-1】Supposeyouholdonestock,itcurrentlytradesfor＄10
3、pershare.Inoneyearthereisa25%chancethesharepricewillbe＄14,a50%chanceitwillbe＄11,anda25%chanceitwillbe＄8.Thestockpaysnodividends,sothesepayoffscorrespondtoreturnsof40%,10%,and-20%,respectively.Whatwillbeyourexpectedreturn?3.1 MeasuringReward:TheExpectedReturn
4、3.2 MeasuringRisk:TheStandardDeviationThenotationsσandVardenotethestandarddeviationandthevariance,respectively.Thestandarddeviationandthevarianceformulaare3.2 MeasuringRisk:TheStandardDeviation【Example3-2】Supposeyouholdonestock,itcurrentlytradesfor＄10pershar
5、e.Inoneyearthereisa30%chancethesharepricewillbe＄12,a60%chanceitwillbe＄11,anda10%chanceitwillbe＄9.5.Thestockpaysnodividends,sothesepayoffscorrespondtoreturnsof20%,10%,and5%,respectively.Whatwillbeitsexpectedreturnandstandarddeviation?3.2 MeasuringRisk:TheStan
6、dardDeviation3.3 RiskPreference:Risk-NeutralityandRisk-AversionWeoftenassumethateveryoneisrisk-neutral,butinvestorstrulyarerisk-averseintherealworld.Astaughtinearlierfinancialmanagementtexts,greatopportunitieselsewhereintheeconomystillmanifestthemselvesasahi
7、ghexpectedreturnthatyoushouldapplytoyourprojects.3.4 InvestmentPortfolioInvestorslikemorerewardandlessrisk.Thediversificationofinvestmentportfoliocanreducerisk.Anintuitiveexplanationofthisinvestmentdiversificationisbasedontheproverb:nottoputallyoureggsintoon
8、ebasket.3.5 TheCapitalAssetPricingModelThecapitalassetpricingmodel(CAPM)isamodelthatgivesanappropriateexpectedrateofreturnforeachsecurityifasecurity’srelevantriskcharacteristicsaregiven.TheCAPMf
