投资学课件——博迪第九版Ch06 Risk Aversion and Capital Allocation to Risky Assets.ppt

Figure 6.1 The Trade-off between Risk and Return of A Potential Investment Portfolio, P Figure 6.2 The Indifference Curve Optimal y How to derive the optimal y to achieve the highest utility level? Write the problem algebraically s.t. Table 6.5 Spreadsheet Calculations of  Indifference Curves Figure 6.7 Indifference Curves for U = .05 and U = .09 with A = 2 and A = 4 Figure 6.8 Finding the Optimal Complete Portfolio Using Indifference Curves Table 6.6 Expected Returns on Four Indifference Curves and the CAL Passive Strategies: The Capital Market Line The passive strategy avoids any direct or indirect security analysis Supply and demand forces may make such a strategy a reasonable choice for many investors Passive Strategies: The Capital Market Line A natural candidate for a passively held risky asset would be a well-diversified portfolio of common stocks such as the S&P 500. The capital market line (CML) is the capital allocation line formed from 1-month T-bills and a broad index of common stocks (e.g. the S&P 500). Passive Strategies: The Capital Market Line The CML is given by a strategy that involves investment in two passive portfolios: virtually risk-free short-term T-bills (or a money market fund) a fund of common stocks that mimics a broad market index. Passive Strategies: The Capital Market Line From 1926 to 2009, the passive risky portfolio offered an average risk premium of 7.9% with a standard deviation of 20.8%, resulting in a reward-to-volatility ratio of .38. INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 6 Risk Aversion and Capital Allocation to Risky Assets Allocation to Risky Assets Investors will avoid risk unless there is a reward. The utility model gives the optimal allocation between a risky portfolio and a risk-free asset. Risk and Risk Aversion Speculation Taking considerable risk for a commensura