QQ MB Chp04 -03 Risk.pptVIP

* This equation is useful for estimating beta. The ratio of covariance to variance measures a stock’s contribution to portfolio risk. * Tables 7.5 and 7.6 provide some beta estimates for well-known firms in the US and abroad respectively. QQ Ch3-No.3 〔3〕风险 Risk 主要内容Topics Covered 概述Introduction 风险转移的三种方法 跨期保值 Hedging 保险 Insuring 分散投资 Diversification 资产组合 Portfolio Selection 风险与收益 Risk-Return Introduction 风险与不确定性 Risk v. Uncertainty: 基本假设 A Fundamental Assumption in Finance: 投资者是风险回避的Peoples are Risk Aversion Eg. Insurance But: Gambling; Lottery Gambling v. Speculation 防止风险有多种方法：如回避；风险留存等。 金融主要研究风险转嫁：Risk Transfer 风险转嫁有三种类型： 1.套期保值Hedging: 避免风险，但放弃了潜在收益。One is said to hedge a risk when the action taken to reduce one’s exposure to a loss also causes one to give up of the possibility of a gain. 2.保险 Insuring: 保留潜在收益，但支付订金。 区别： 3. 分散投资 Diversifying: Holding similar amounts of many risky assets instead of concentrating all of your investment in only one. 风险与收益的关系： The Value of an Investment of $1 in 1926 Source: Ibbotson Associates Index Year End 1 5520 1828 55.38 39.07 14.25 Log scale The Value of an Investment of $1 in 1926 Source: Ibbotson Associates Index Year End 1 613 203 6.15 4.34 1.58 Real returns Rates of Return 1926-1997 Source: Ibbotson Associates Year Percentage Return H.Makowitz,1952 Return: 预期收益、Expected Return Case 1: 卖电扇 Hot Average Cool return 40% 10% 0% probability 25% 50% 25% Expected return= 40%x0.25+10%x0.5+0%x0.25=15% Case 2: 卖冰激凌 Hot Average Cool return 35% 10% 5% probability 25% 50% 25% Expected Return= 35%x0.25+10x0.50+5%x0.25=15% Q: 选择何种项目? Risk! Measuring Risk 方差Variance - Average value of squared deviations from mean. A measure of volatility. Measuring Risk 标准差Standard Deviation - Average value of squared deviations from mean. A measure of volatility. Measuring Risk Portfolio Theory “不要把鸡蛋放在一只篮子里。” “ Dont put all of your eggs in one basket” Why? return X Company Y Company Boom (0.