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1、19878_03_c03_p072-111.qxd2/22/069:37AMPage72CHAPTER3RiskandReturn:PartIIInChapter2wepresentedthekeyelementsofriskandreturnanalysis.Therewesawthatmuchofastock’sriskcanbeelimi-natedbydiversification,sorationalinvestorsshouldholdportfo-liosofstocksratherthanjustonestock.Weal
2、sointroducedtheCapitalAssetPricingModel(CAPM),whichlinksriskandrequiredTheThomsonNOWWebsitecontainsanratesofreturn,usingastock’sbetacoefficientastherelevantExcelfilethatwillguideyouthroughthemeasureofrisk.Inthischapter,weextendtheseconceptsbychapter’scalculations.Thefilef
3、orthispresentinganin-depthtreatmentofportfolioconceptsandthechapterisIFM9Ch03ToolKit.xls,andweCAPM,includingamoredetailedlookathowbetasarecalcu-encourageyoutoopenthefileandfol-lated.Inaddition,wediscusstwootherassetpricingmodels,thelowalongasyoureadthechapter.ArbitragePri
4、cingTheorymodelandtheFama-Frenchthree-factormodel.Wealsointroduceanewbutfast-growingfield,behavioralfinance.TODISCCOLLECTION72IMAGE:©GETTYIMAGES,INC.,PHO19878_03_c03_p072-111.qxd2/22/069:37AMPage73BEGINNING-OF-CHAPTERQUESTIONSAsyoureadthechapter,considerhowyouwoulddetermi
5、netheinvestor’soptimalportfolio?Isanswerthefollowingquestions.YoushouldnotitpossiblethattworationalinvestorscouldnecessarilybeabletoanswerthequestionsbeforeagreeastothespecificationsoftheCapitalyoureadthechapter.Rather,youshouldusethemMarketLine,butonewouldholdaportfoliot
6、ogetasenseoftheissuescoveredinthechapter.heavilyweightedwithTreasurysecuritiesAfterreadingthechapter,youshouldbeabletowhiletheotherheldonlyriskystocksboughtgiveatleastpartialanswerstothequestions,andonmargin?youshouldbeabletogivebetteranswersafter4.WhatistheSecurityMarket
7、Line(SML)?Whatthechapterhasbeendiscussedinclass.Note,too,informationisdevelopedintheCapitalMar-thatitisoftenuseful,whenansweringconceptualketLineanalysisandthencarriedoverandquestions,tousehypotheticaldatatoillustrateusedtohelpspecifytheSML?Forpracticalyouranswer.Weillust
8、ratetheanswerswithanExcelapplicationsasopposedtotheoreticalcon-modelthatisavailableontheThomsonN
