公司金融4

1PrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.MyersSlidesbyMatthewWillSlidesEditedbyMinggaoShen8.PortfolioTheory8-2McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTopicsCoveredŠPortfolioTheoryŠRiskvs.ReturnŠEfficientFrontier/EfficientPortfoliosŠPortfolioTheorywithLendingŠPortfolioTheorywithBorrowingŠPortfolioChoiceŠTheMarketPortfolio8-3McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMotivationŠFirstcentralintuitioninfinance:Marketsareefficient.ŠSecondcentralintuitioninfinance:Thereisatrade-offbetweenriskandreturn.8-4McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMotivationŠInvestmentinonesecurityallowsnocontroloverriskandreturnfeaturesŠOnecanonlybuy,watchperformanceandpossiblysell!!ŠByinvestinginmanysecuritiesarisk-returnprofilecanbecreatedtosuitmostinvestorsriskattitudesŠUsually,bypoolingtogetheranumberofriskysecuritiesinoneportfoliotheoverallreturncanbemadelessvolatile(risky)ŠTheinvestorislesslikelytobeexposedtorapidlargelosses-theriskhasbeenreduced.WhyBuildingaPortfolio?8-5McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMotivationŠAssumptions:ÎInvestorswanttobuyandholdaportfolioofriskystocks.ÎTheinvestorslikehighexpectedreturns,don’tlikehighvariance(equivalentlystandarddeviation)anddon’tcareaboutotheraspectsofportfolioreturndistributions.8-6McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryŠCombiningstocksintoportfolioscanreducestandarddeviation,belowthelevelobtainedfromasimpleweightedaveragecalculation.ŠCorrelationcoefficientsmakethispossible.ŠThevariousweightedcombinationsofstocksthatcreatethisstandarddeviationsconstitutethesetofefficientportfolios.28-7McGrawHill/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%Change8-8McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentA02468101214161820-50050%probability%return8-9McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentB02468101214161820-50050%probability%return8-10McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentC02468101214161820-50050%probability%return8-11McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryStandardDeviationVS.ExpectedReturnInvestmentD02468101214161820-50050%probability%return8-12McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMarkowitzPortfolioTheoryCocaColaReebokStandardDeviationExpectedReturn(%)35%inReebok‹ExpectedReturnsandStandardDeviationsvarygivendifferentweightedcombinationsofthestocks(Anexamplefromlastlecture)38-13McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedPortfolioRisk1.Giventhelevelofrisk,orstandarddeviation,wepreferportfoliopositionswithhigherexpectedratesofreturn.2.Giventhelevelofexpectedreturn,wepreferportfoliopositionswithlowerrisk.3.Giventhecharacteristicsoftheavailablepopulationofstocks,theinvestmentopportunitysethasaperimeterthatisrepresentedbyabullet-shapedcurve.4.Thisperimeterisreferredtoastheminimumvarianceset.8-14McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierStandardDeviationExpectedReturn(%)•Eachhalfeggshellrepresentsthepossibleweightedcombinationsfortwostocks.•Thecompositeofallstocksetsconstitutestheefficientfrontier8-15McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABReturnRisk(measuredasσ)8-16McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABReturnRiskAB8-17McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABNReturnRiskAB8-18McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABNReturnRiskABABN48-19McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierABNReturnRiskABGoalistomoveupandleft.WHY?ABN8-20McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierReturnRiskLowRiskHighReturnHighRiskHighReturnLowRiskLowReturnHighRiskLowReturn8-21McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierReturnRiskLowRiskHighReturnHighRiskHighReturnLowRiskLowReturnHighRiskLowReturn8-22McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedEfficientFrontierReturnRiskABNABABN8-23McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.Allrightsreservedexpectedreturnriskbetterperformance‹Aportfoliodominatesallother