Chapter_08RiskandReturn(公司金融)

PrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.MyersSlidesbyMatthewWillChapter8McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedRiskandReturn8-2McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTopicsCoveredMarkowitzPortfolioTheoryRiskandReturnRelationshipTestingtheCAPMCAPMAlternatives8-3McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryCombiningstocksintoportfolioscanreducestandarddeviation,belowthelevelobtainedfromasimpleweightedaveragecalculation.Correlationcoefficientsmakethispossible.Thevariousweightedcombinationsofstocksthatcreatethisstandarddeviationsconstitutethesetofefficientportfolios.8-4McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryPricechangesvs.NormaldistributionMicrosoft-Daily%change1990-200100.020.040.060.080.10.120.14-9-8-7-6-5-4-3-2-10123456789ProportionofDaysDaily%Change8-5McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentA02468101214161820-50050%probability%return8-6McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentB02468101214161820-50050%probability%return8-7McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentC02468101214161820-50050%probability%return8-8McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentD02468101214161820-50050%probability%return8-9McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryCocaColaReebokStandardDeviationExpectedReturn(%)35%inReebokExpectedReturnsandStandardDeviationsvarygivendifferentweightedcombinationsofthestocks8-10McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierStandardDeviationExpectedReturn(%)•Eachhalfeggshellrepresentsthepossibleweightedcombinationsfortwostocks.•Thecompositeofallstocksetsconstitutestheefficientfrontier8-11McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierStandardDeviationExpectedReturn(%)•LendingorBorrowingattheriskfreerate(rf)allowsustoexistoutsidetheefficientfrontier.rfTS8-12McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierExampleCorrelationCoefficient=.4Stockss%ofPortfolioAvgReturnABCCorp2860%15%BigCorp4240%21%StandardDeviation=weightedavg=33.6StandardDeviation=Portfolio=28.1Return=weightedavg=Portfolio=17.4%8-13McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierExampleCorrelationCoefficient=.4Stockss%ofPortfolioAvgReturnABCCorp2860%15%BigCorp4240%21%StandardDeviation=weightedavg=33.6StandardDeviation=Portfolio=28.1Return=weightedavg=Portfolio=17.4%Let’sAddstockNewCorptotheportfolio8-14McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierExampleCorrelationCoefficient=.3Stockss%ofPortfolioAvgReturnPortfolio28.150%17.4%NewCorp3050%19%NEWStandardDeviation=weightedavg=31.80NEWStandardDeviation=Portfolio=23.43NEWReturn=weightedavg=Portfolio=18.20%8-15McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierExampleCorrelationCoefficient=.3Stockss%ofPortfolioAvgReturnPortfolio28.150%17.4%NewCorp3050%19%NEWStandardDeviation=weightedavg=31.80NEWStandardDeviation=Portfolio=23.43NEWReturn=weightedavg=Portfolio=18.20%NOTE:Higherreturn&LowerriskHowdidwedothat?DIVERSIFICATION8-16McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABReturnRisk(measuredass)8-17McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABReturnRiskAB8-18McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABNReturnRiskAB8-19McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABNReturnRiskABABN8-20McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABNReturnRiskABGoalistomoveupandleft.WHY?ABN8-21McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierReturnRiskLowRiskHighReturnHighRiskHighReturnLowRiskLowReturnHighRiskLowReturn8-22McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierReturnRiskLowRiskHighReturnHighRiskHighReturnLowRiskLowReturnHighRiskLowReturn8-23McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierReturnRiskABNABABN8-24McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedSecurityMarketLineReturnRisk.rfRiskFreeReturn=EfficientPortfolioMarketReturn=rm8-25McG