财务管理Chapter_08.pptVIP

* * * * * * * * * * * * * * * * 8- * McGraw Hill/Irwin Copyright ? 2003 by The McGraw-Hill Companies, Inc. All rights reserved Principles of Corporate Finance Seventh Edition Richard A. Brealey Stewart C. Myers Chapter 8 McGraw Hill/Irwin Copyright ? 2003 by The McGraw-Hill Companies, Inc. All rights reserved Risk and Return Topics Covered Markowitz Portfolio Theory Risk and Return Relationship Testing the CAPM CAPM Alternatives Markowitz Portfolio Theory Combining stocks into portfolios can reduce standard deviation, below the level obtained from a simple weighted average calculation. Correlation coefficients make this possible. The various weighted combinations of stocks that create this standard deviations constitute the set of efficient portfolios. Markowitz Portfolio Theory Price changes vs. Normal distribution Microsoft - Daily % change Proportion of Days Daily % Change Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment A % probability % return Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment B % probability % return Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment C % probability % return Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment D % probability % return Markowitz Portfolio Theory Coca Cola Reebok Standard Deviation Expected Return (%) 35% in Reebok Expected Returns and Standard Deviations vary given different weighted combinations of the stocks Efficient Frontier Standard Deviation Expected Return (%) Each half egg shell represents the possible weighted combinations for two stocks. The composite of all stock sets constitutes the efficient frontier Efficient Frontier Standard Deviation Expected Return (%) Lending or Borrowing at the risk free rate (rf) allows us to exist outside the efficient frontier. rf Lending Borrowing T S Efficient Frontier Example Correlation C