金融2 chap11收益風(fēng)產(chǎn)定價(jià)模型

KeyConceptsandSkillsKnowhowtocalculateexpectedKnowhowtocalculatecovariances,correlations,andUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntradeoffBeabletousetheCapitalAssetPricingIndividualSecuritiesExpectedReturn,Variance,andTheReturnandRiskforPortfoliosTheEfficientSetforTwoAssetsTheEfficientSetforManyAssetsRisklessBorrowingandLendingMarketEquilibriumRelationshipbetweenRiskandExpectedReturn期望收益與風(fēng)險(xiǎn)的關(guān)系（資本資產(chǎn)定價(jià)模型Thecharacteristicsofindividualsecuritiesthatareofinterestarethe:CovarianceandCorrelation(toanothersecurityorConsiderthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomy,andtheonlyassetsareastockfundandabondfund.StockofBondStock BondExpectedStandardStockRateof BondRateof ExpectedStandard3E(rS)13(7%)3

(12%)

E(rS)Stock BondRateRateExpectedStandard(7%11%)2StockRateof BondRateof ExpectedStandard.0205.02051(.0324.0001.0289)3StandardDeviationStockRateof BondRateof ExpectedStandard“Deviation”comparesreturnineachstatetotheexpected“Weighted”takestheproductofthedeviationsmultipliedbytheofthatCov(a,Stock BondRateRateExpectedStandardNotethatstockshaveahigherexpectedreturnthanbondsandhigherrisk.Let usturnnowtotherisk-returntradeoffofaportfoliothatis50%investedin bondsand50%investedin 0 Bond squaredExpectedStandardTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:投在組合的收 wBrBwS Stockfund Bondfundsquared-ExpectedStandardE(r)wE(r)wE(rTheE(r)wE(r)wE(r Stockfund BondfundsquaredExpectedStandardThevarianceoftherateofreturnonthetworiskyassetsportfoliois whereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.Stockfund BondfundsquaredExpectedStandardObservethedecreaseinriskthatdiversificationAnequallyweightedportfolio(50%instocksand50%inhaslessriskthaneitherstocksorbondsheldin %in %in PortfoloPortfoloRiskandReturnPortfolio PortfolioRisk(standardWecanconsiderotherportfolioweightsbesides50%instocksand50%in%in%in PortfolioRisk(standardNotethatsomeportfoliosare“better”thanothers.Theyhavehigherreturnsforthesamelevelofriskorless.注意一些投資=-

==-1.0<<If1.0,noriskreductionispossible若+1.0If=–1.0,completeriskreductionisTheEfficientSetforManySecuritiesConsideraworldwithmanyriskyassets;wecanstillidentifytheopportunityAnnouncements,Surprises,andExpectedReturnsThereturnonanysecurityconsistsoftwoFirst,theexpectedreturnsAwaytowritethereturnonastockinthecomingmonthRRRRistheexpectedpartofthereturnAnnouncements,Surprises,andExpectedReturnsAnyannouncementcanbebrokendownintotwoparts,theanticipated(orexpectedpartandthesurprise(orinnovation):Announcement=Expectedpart+Theexpectedpartofanyannouncementisthepartoftheinformationthemarketusestoformtheexpectation,R,ofthereturnonthestock.任何新消息中預(yù)料到的部分是市場(chǎng)形成Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U驚喜是影響到未預(yù)期到的股票收益U的消息。Diversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturns.Thisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanother.However,thereisaminimumlevelofriskthatcannotbediversifiedaway,andthatisthesystematicportion.Inalargeportfoliothevariancetermsareeffectivelydiversifiedaway,butthecovariancetermsarenot.在一個(gè)大的投資組合中， DiversifiableRisk;可分散風(fēng)險(xiǎn)NonsystematicRisk;非系統(tǒng)風(fēng)險(xiǎn)FirmSpecificRisk企業(yè)本身的風(fēng)險(xiǎn)UniqueRiskPortfoliorisk投SystematicRisk;系統(tǒng)性風(fēng)險(xiǎn)MarketRisk市場(chǎng)風(fēng)險(xiǎn)nAsystematicriskisanyriskthataffectsalargenumberofassetseachtoagreaterorlesserdegree.系統(tǒng)性風(fēng)險(xiǎn)是任何一種同時(shí)影響大量資產(chǎn)，但Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.系統(tǒng)風(fēng)險(xiǎn)的例子包括Ontheotherhand,announcementsspecifictoasinglecompanyareexamplesofunsystematicrisk.Totalrisk=systematicrisk+unsystematicThestandarddeviationofreturnsisameasureoftotalForwell-diversifiedportfolios,unsystematicriskisveryConsequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk.Inadditiontostocksandbonds,consideraworldthatalsohasrisk-freesecuritieslikeT-bills.11.7RisklessBorrowingandLendingNowinvestorscanallocatetheirmoneyacrosstheT-billsandabalancedmutualfund.Witharisk-freeassetavailableandtheefficientfrontieridentified,wechoosethecapitalallocationlinewiththesteepestslope.Msomecombinationoftherisk-freeassetandthemarketportfolioM.Inaworldwithhomogeneousexpectations,Misthesameforallinvestors.WheretheinvestorchoosesalongtheCapitalMarketLinedependsonherrisktolerance.ThebigpointisthatallinvestorshavethesameCML.RiskWhenHoldingtheMarketPortfolioResearchershaveshownthatthebestmeasureoftheriskofasecurityinalargeportfolioisthebeta()ofthesecurity.Betameasurestheresponsivenessofasecuritytomovementsinthemarketportfolio(i.e.,systematicrisk).CovCov(Ri,RMiM)SecurityEstimatingwithSecurityReturnonmarketRi=i+iRm+TheFormulaforBetaCovCov(Ri,RM)(R))Clearly,yourestimateofbetawilldependuponyourchoiceofaproxyforthemarketportfolio.11.9RelationshipbetweenRiskandExpectedMarketRiskExpectedreturnonanindividualRRiRFβi(RMRFMarketRiskPremium市場(chǎng)風(fēng)險(xiǎn)溢價(jià)Thisappliestoindividualsecuritiesheldwi