Chap007 Capital Allocation Between the Risky Asset(金融工程-南开大学,王小麓)).pptVIP

下载本文档

1
0
约2.03千字
约 14页
2017-08-14 发布于湖北
举报
版权申诉

Chap007 Capital Allocation Between the Risky Asset(金融工程-南开大学,王小麓)).ppt

1、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。。
2、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击这里二次下载。
3、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
4、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
5、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
6、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
7、VIP文档为合作方或网友上传，每下载1次，网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档

Chap007 Capital Allocation Between the Risky Asset(金融工程-南开大学,王小麓))

Chapter 7 Capital Allocation Between the Risky Asset and the Risk-Free Asset Allocating Capital Between Risky Risk Free Assets It’s possible to split investment funds between safe and risky assets. Risk free asset: proxy; T-bills Risky asset: stock (or a portfolio) Allocating Capital Between Risky Risk Free Assets (cont.) Issues Examine risk/return tradeoff. Demonstrate how different degrees of risk aversion will affect allocations between risky and risk free assets. Example Using the Numbers in Chapter 7.2 Expected Returns for Combinations Possible Combinations Variance on the Possible Combined Portfolios Combinations Without Leverage Using Leverage with Capital Allocation Line Borrow at the Risk-Free Rate and invest in stock. Using 50% Leverage, rc = (-.5) (.07) + (1.5) (.15) = .19 ?c = (1.5) (.22) = .33 CAL (Capital Allocation Line) CAL with Higher Borrowing Rate Risk Aversion and Allocation Greater levels of risk aversion lead to larger proportions of the risk free rate. Lower levels of risk aversion lead to larger proportions of the portfolio of risky assets. Willingness to accept high levels of risk for high levels of returns would result in leveraged combinations. Utility Function U = E ( r ) - .005 A s2 Where U = utility E ( r ) = expected return on the asset or portfolio A = coefficient of risk aversion s2 = variance of returns CAL with Risk Preferences McGraw-Hill/Irwin Copyright ? 2001 by The McGraw-Hill Companies, Inc. All rights reserved. 7-* rf = 7% ?rf = 0% E(rp) = 15% ?p = 22% y = % in p (1-y) = % in rf E(rc) = yE(rp) + (1 - y)rf rc = complete or combined portfolio For example, y = .75 E(rc) = .75(.15) + .25(.07) = .13 or 13% E(r) E(rp) = 15% rf = 7% 22% 0 P F ? ?c E(rc) = 13% C p c = Since rf y = 0, then ? ? ? * Rule 4 in Chapter 6 * c = .75(.22) = .165 or 16.5% If y = .75, then c = 1(.22) = .22 or 22% If y = 1 c = (.22) = .00 or 0% If y = 0 ? ? ? E(r) E(rp) = 15% rf = 7% ?p = 22% 0 P F ) S = 8/22 E(rp) - rf = 8% ? E(r) ? 9% 7% ) S =