第十章收益和风险CAPM

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-0ChapterOutline10.1IndividualSecurities10.2ExpectedReturn,Variance,andCovariance10.3TheReturnandRiskforPortfolios10.4TheEfficientSetforTwoAssets10.5TheEfficientSetforManySecurities10.6Diversification:AnExample10.7RisklessBorrowingandLending10.8MarketEquilibrium10.9RelationshipbetweenRiskandExpectedReturn(CAPM)10.10SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-110.1IndividualSecurities•Thecharacteristicsofindividualsecuritiesthatareofinterestarethe:–ExpectedReturn–VarianceandStandardDeviation–CovarianceandCorrelationMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-210.2ExpectedReturn,Variance,andCovarianceConsiderthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomyandtheonlyassetsareastockfundandabondfund.RateofReturnScenarioProbabilityStockfundBondfundRecession33.3%-7%17%Normal33.3%12%7%Boom33.3%28%-3%McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-310.2ExpectedReturn,Variance,andCovarianceStockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-4StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.2ExpectedReturn,Variance,andCovariance%11)(%)28(31%)12(31%)7(31)(SSrErEMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-5StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.2ExpectedReturn,Variance,andCovariance%7)(%)3(31%)7(31%)17(31)(BBrErEMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-6StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.2ExpectedReturn,Variance,andCovariance%24.3%)7%11(2McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-7StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.2ExpectedReturn,Variance,andCovariance%01.%)12%11(2McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-8StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.2ExpectedReturn,Variance,andCovariance%89.2%)28%11(2McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-9StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.2ExpectedReturn,Variance,andCovariance%)89.2%01.0%24.3(31%05.2McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-10StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.2ExpectedReturn,Variance,andCovariance0205.0%3.14McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-11StockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%10.3TheReturnandRiskforPortfoliosNotethatstockshaveahigherexpectedreturnthanbondsandhigherrisk.Letusturnnowtotherisk-returntradeoffofaportfoliothatis50%investedinbondsand50%investedinstocks.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-1210.3TheReturnandRiskforPortfoliosRateofReturnScenarioStockfundBondfundPortfoliosquareddeviationRecession-7%17%5.0%0.160%Normal12%7%9.5%0.003%Boom28%-3%12.5%0.123%Expectedreturn11.00%7.00%9.0%Variance0.02050.00670.0010StandardDeviation14.31%8.16%3.08%Therateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:SSBBPrwrwr%)17(%50%)7(%50%5McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-13RateofReturnScenarioStockfundBondfundPortfoliosquareddev