Learning About Return and Risk from the Historical Record参考.ppt

CHAPTER 5 Learning About Return and Risk from the Historical Record CHAPTER 6 Risk Aversion and Capital Allocation to Risky Assets Table 6.5 Utility Levels for Various Positions in Risky Assets (y) for an Investor with Risk Aversion A = 4 Figure 6.6 Utility as a Function of Allocation to the Risky Asset, y Table 6.6 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 6.7 Expected Returns on Four Indifference Curves and the CAL Passive Strategies: The Capital Market Line Passive strategy involves a decision that 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 Continued A natural candidate for a passively held risky asset would be a well-diversified portfolio of common stocks Because a passive strategy requires devoting no resources to acquiring information on any individual stock or group we must follow a “neutral” diversification strategy Table 6.8 Average Annual Return on Stocks and 1-Month T-bills; Standard Deviation and Reward-to-Variability Ratio of Stocks Over Time * Figure 5.7 Nominal and Real Equity Returns Around the World, 1900-2000 Figure 5.8 Standard Deviations of Real Equity and Bond Returns Around the World, 1900-2000 Figure 5.9 Probability of Investment Outcomes After 25 Years with A Lognormal Distribution Terminal Value with Continuous Compounding When the continuously compounded rate of return on an asset is normally distributed, the effective rate of return will be lognormally distributed The Terminal Value will then be: Figure 5.10 Annually Compounded, 25-Year HPRs from Bootstrapped History and A Normal Distribution (50,000 Observation) Figure 5.11 Annually Compounded, 25-Year HPRs from Bootstrapped History(50,000 Observation) Figure 5.12 Wealth Indexe