投资学讲义-MBA课件

InvestmentsReadingmaterialsModernPortfolioTheoryandInvestmentAnalysisbyEltonandGruber,5th(or6th)Edition,JohnWiley&Sons,Inc.Others:Newspaper,magazinesIntroductionAnintermediateinvestmentcourseEmphasizesportfoliosSecurityMarketsInvestmentanalysisandmanagementQuizQ1假设你正在考虑投资于两只股票。通过一定的分析之后，你认为未来一年的经济会呈现健康或者不健康两种可能的状态。这两种情况发生的可能性相同（50%）。而两只股票在两种经济状态下的回报率见下表：(a).请问每只股票的期望回报率和回报率的标准差是多少？(b).两只股票回报率的协方差和相关系数是多少？(c).画图说明投资于这两只股票能够提供什么样的风险与回报的组合？(d).假设现在有无风险资产可以投资（无风险回报率为5%）。请问这对于你是否意味着一个获利机会？为什么？经济状态股票1回报股票2回报健康30%5%不健康10%10%QuizQ2你在为一个小型对冲基金设计一个债券组合，目的是为了对冲基金四年后的一笔10亿的债务来提供资金。基金经理希望用一个两年期的零息债券和一个八年期的零息债券来构成组合。假设利率曲线为水平线，这样对于所有不同到期日的零息债券的到期收益率都为5%。(a).设计由上诉两种债券构成的组合来保护对冲基金，使得基金不受到利率变化的影响(b).假设在你设计完成这一组合后，利率曲线对于所有到期日都平移到6%。请问这种情况下你设计的组合4年后的未来价值是多少？是否还能为债务提供足够的资金保障？QuizQ3Comparetothedaybeforeyesterday,wasthechangeofShanghaiCompositeindexingreenorinred?RequirementsAttitudeSkillPracticeEvaluation:?MyObjectivesfortheClassCreatealearningatmosphere…Encourageindependentthinking…Contributingandhelpingyouachievingahighlevelofacademicexcellence…HowCanWeDefineInvestments?Investmentcanbedefinedasthesacrificeofpresentconsumptionforsomefuturevalue.ThisfuturevalueispossiblyuncertainInvestmentEnvironmentandInvestmentProcessInvestmentEnvironmentreferstothedifferenttypesofmarketablesecuritiesavailableforinvestors;InvestmentProcessisaboutthewayinvestorsshoulddecideonthemarketableinstrumentstheywillinvestin,whentoinvest,etc.FinancialSecuritiesMoneyMarketSecuritiesRatesofReturnsCapitalMarketSecuritiesFixedincomesecuritiesEquitymarketPreferredstockDerivativesFuturesOptionsExoticoptionsStructuredinstruments:FX,etc…RatesofreturnsversustimeformajorsecuritytypesInvestmentsOvertheLong-TermWhatisthecurrentvalueof$1investedbetween1926-2002inPortfoliooflargeU.S.stocks(StandardandPoor’sCompositeIndex)Portfoliooflong-termTreasurybonds?AssumethatthedividendsandtheinterestpaymentsarereinvestedintheassetWealthAccumulationofStocksandBonds(1926-2002)$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$1774.47$59.71WhatAboutInvestmentExpenses?ThepreviousperformanceignoresinvestmentexpensesHowmuchwouldinvestorshaveaccumulatedwitha1percentannualexpenseratio?WealthAccumulationafterExpenses$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$825.45$27.26WhatAboutTaxes?Thegovernmenttaxesinterest,dividendincome,andrealizedcapitalgainsHowmuchdotaxesaffectourwealthaccumulations?IassumedthatdividendsandinterestincomeistaxedatthemarginaltaxrateoftheaveragestockandbondholderandthatcapitalgainsarenottaxedWealthAccumulationafterExpensesandTaxes$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$359.47$9.11WhatAboutInflation?$1in1926couldbuymuchmorethan$1in2002Consumerpricesincreasedoverthisperiodaboutten-foldHowmuchdoesinflationaffectourwealthaccumulations?RealWealthAccumulationafterExpensesandTaxes$0.10$1.00$10.00$100.00$1,000.00$10,000.0019261930193419381942194619501954195819621966197019741978198219861990199419982002StocksBonds$35.60$0.90StockandBondReturnsBetween1926and2002GeometricMeanArith.MeanStd.Dev.NominalReturn10.20%12.76%22.09%RealReturn6.94%9.44%22.37%RealNetReturn4.75%7.19%21.96%LargeStocksGeometricMeanArith.MeanStd.Dev.NominalReturn5.43%5.70%8.99%RealReturn2.31%2.66%10.12%RealNetReturn-0.13%0.20%9.87%Long-termTreasuryBondsRisk160016501700175018001850190019502000NetherlandsFranceBelgiumAustriaUKUSAIrelandItalyDenmarkPolandRussiaSwitzerlandSpainPeruCubaSwedenHungaryTurkeyCzechAustraliaNewZealandArgentinaCanadaBrazilJapan(1)NorwayEgypt(1)SouthAfricaSingaporeHongKongGreece(1)ChileVenezuelaMexicoYugoslavianstatesZimbabweSriLankaPortugalChinaKoreaIndonesiaFinlandLebanonSloveniaUruguayPhilippinesMoroccoRoumaniaLuxembourgColombiaMalaysiaPakistanIsraelKenyaTaiwanNigeriaKuwaitIranTunisiaThailandJamaicaJordanTrinidad-TobagoIcelandBahrainMauritiusBotswanaGhanaSwazilandChinaSlovakNamibiaEgyptZambiaMalawiMaltaTanzaniaFoundingDatesforWorldEquityMarketHowaresecuritiestradedPrimaryMarketMarketfornewissuesofsecuritiesInitialPublicOfferings(IPO)SeasonedPublicOfferingsPrivatePlacementsSecondaryMarketExistingsecuritiesaretradedBuyingandSellingSecuritiesInvestorspurchasesecuritiesthroughbrokersforacommissionInvestormustspecifyObviousthings:NameoffirmBuyorsellorderSizeoforderOthercharacteristics:TypeoforderHowlongorderistobeoutstandingOrderSpecificationOrdertypeMarketorderBuyorsellimmediatelyLimitorderLimitpricespecifieslowestsellingprice(orhighestpurchaseprice)StoporderStoppricespecifieshighestsellingprice(orlowestpurchaseprice)SellOrdersbidaskLimitSellStop-lossMarketSell25.0025203025.25OrderSpecificationTimelimitDayordersIforderisnotfilledbyendofday,orderexpires.GoodthroughordersValidforaspecifiednumberofdaysandautomaticallyexpiresifithasnotbeenexecutedbyexpiryd