财务管理ppt英文课件Chapter .ppt

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1、Chapter5RiskandReturn0ChapterObjectivesDefiningRiskandReturnCalculatetheexpectedreturnandrisk(standarddeviation)ofbothasingleassetandaportfolio.Distinguishbetweensystematicandnon-systematicrisk.Explaintheprincipleofdiversification.Explainthecapitalassetpricingmodel(CAPM).Explainthesecurity

2、marketline(SML).1Copyright2001Prentice-Hall,Inc.October.Thisisoneofthepeculiarlydangerousmonthstospeculateinstocksin.TheothersareJuly,January,September,April,November,May,March,June,December,AugustandFebruary.----MarkTwain2Copyright2001Prentice-Hall,Inc.Incomereceivedonaninvestmentplusan

3、ychangeinmarketprice,usuallyexpressedasapercentofthebeginningmarketpriceoftheinvestment.Dt+(Pt-Pt-1)Pt-1R=DefiningReturn3Copyright2001Prentice-Hall,Inc.ExampleThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershare,andshareholdersjustreceiveda$1dividend.What

4、returnwasearnedoverthepastyear?$1.00+($9.50-$10.00)$10.00R==5%ReturnExample4Copyright2001Prentice-Hall,Inc.MostdecisionsinvolveagambleProbabilitiescanbeknownorunknown,andoutcomescanbeknownorunknownRisk--existswhen:Possibleoutcomesandprobabilitiesareknowne.g.,RouletteWheelorDiceUncertainty

5、--existswhen:Possibleoutcomesorprobabilitiesareunknowne.g.,DrillingforOilinanunknownfieldRiskandUncertainty5Copyright2001Prentice-Hall,Inc.ConceptsofRiskRisk-Thevariabilityofreturnsfromthosethatareexpected.Whenprobabilitiesareknown,wecananalyzeriskusingprobabilitydistributions.Assignaprob

6、abilitytoeachstateofnature,andbeexhaustive,sothatpi=16Copyright2001Prentice-Hall,Inc.ExpectedReturn&VarianceExpectedreturn-theweightedaverageofthedistributionofpossiblereturnsinthefuture.Varianceofreturns-ameasureofthedispersionofthedistributionofpossiblereturns.Rationalinvestorslikere

7、turnanddislikerisk.Thequantificationofriskandreturnisacrucialaspectofmodernfinance-needtounderstandtherelationshipbetweenriskandreturninordertomakea“good”investment.7Copyright2001Prentice-Hall,Inc.Discretevs.ContinuousDistributionsDiscreteContinuous8Copyright