证券 博迪 chpt06-5.pptVIP

Chapter 1 Portfolio Theory:1、Risk and Risk Aversion “他无疑是一个聪明人，他未雨绸缪，并且不把所有的鸡蛋放在一个篮子里。”－－－塞万提斯，1605。 “愚蠢的人说，不要把所有的鸡蛋放在一个篮子里；而聪明的人却说，把你的鸡蛋放在一个篮子里，然后看管好那个篮子。”－－－马克·吐温，1894。 1.1 Holding-period return and risk of an asset 1. Holding-period return (持有期收益率) Suppose you are considering investing some of your money in a stock market index fund.The price of a share in the fund is currently $100,and your time horizon is one year.You expect the cash dividend during the year to be $4. Suppose pt=$110 1.1 Holding-period return and risk of an asset 2. Expected return(预期回报) The expected rate of return is a probability-weighted average of the rates of return in each scenario. 1.1 Holding-period return and risk of an asset 3.risk(风险) Risk means uncertainty about future rates of return. 风险：各个可能结果的概率分布。 风险评价总是以某一预期结果（各种可能值的加权平均值）为中心； 偏离预期结果的各个可能结果包括变好和变坏两个方面； 风险就是以预期结果为中心的各个可能结果发生概率的离散程度。概率分布得越密集，从而可变性越小，风险就越小。 1.1 Holding-period return and risk of an asset The standard deviation (σ)and variance (σ2)of the rate of return measure the risk of an asset. In our example, 1.1 Holding-period return and risk of an asset 4.risk premium(风险溢价) Risk premium is the difference between the expected HPR and the risk –free rate. The difference between the actual rate of return on a risky asset and the risk-free rate is called excess return. The risk premium is the expected excess return. In the example,if the risk-free rate is 6% per year, Risk premium is the compensation for the risk of the investment. Dose a given risk premium provide adequate compensation for an investment’s risk? 1.2 Risk Aversion and Utility Values 引子：如果证券A可以无风险的获得回报率为10％，而证券B以50％的概率获得20％的收益，50％的概率的收益为0，你将选择哪一种证券？ Assume risk aversion as fundamental 1.2 Risk Aversion and Utility Values U = E ( r ) - .005 A s 2 A measures the degree of risk aversion . Utility is enhanced by high expected returns and diminished by high risk The extent to which variance lowers utility depends on A. reading