le01TheInvestmentSetting(资产定价-上海交大,蔡明超)教学文案.ppt

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1、le01TheInvestmentSetting(资产定价-上海交大,蔡明超)WhyDoIndividualsInvest?Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.2LOSa:conceptofrequiredrateofreturnandcomponentsofaninvestor'srequiredrateofreturn.Therealriskfreerateofinterest:The

2、realriskfreerateofinterestisdeterminedbythesupplyanddemandforfundsintheeconomy.Theinflationpremiumisanadjustmenttotherealriskfreeratetocompensateinvestorsforexpectedchangesinthepriceindexesandmoneymarketconditionsbeingtightenedoreasedduetoinflationaryexpectations.Theriskpremium

3、iswhatinvestorsdemandfortheuncertaintyassociatedwithaninvestment.3HowDoWeMeasureTheRateOfReturnOnAnInvestment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.4People’swillingnesstopaythedifferenceforborrowingtoda

4、yandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.HowDoWeMeasureTheRateOfReturnOnAnInvestment?5Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueof

5、moneytoalsocovertheexpectedinflationexpense.HowDoWeMeasureTheRateOfReturnOnAnInvestment?6Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.HowDoW

6、eMeasureTheRateOfReturnOnAnInvestment?7MeasuresofHistoricalRatesofReturnHoldingPeriodReturnHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%8AnnualHoldingPeriodReturnAnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYieldAnnualHPY=AnnualHPR-1MeasuresofHistorical

7、RatesofReturn9MeasuresofHistoricalRatesofReturnArithmeticMean1.410MeasuresofHistoricalRatesofReturnGeometricMean1.511APortfolioofInvestmentsThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio.

8、12ComputationofHoldingPeriodYieldforaPortfoliotab1.11