多媒体课件-证 券投资-(3-6).pptVIP

Portfolio Mathematics: E (r) of new portfolio: summary of our three investing alternatives Portfolio Mathematics: simple risk-reduction strategy- investing in safe T-bills hedge portfolio with SugarKane- dominate- higher expected return and lower standard deviation despite SugarKane’s large standard deviation of return, it is a hedge (risk reducer) for investors holding Best stock assets with returns-inversely associated with initial risky position-powerful hedge assets Portfolio Mathematics: a hedging stock SugarKane (Best Candy): Portfolio Mathematics: covariance: measures how much the returns on two risky assets move in tandem positive covariance: asset returns move together negative covariance: asset returns vary inversely How to measure covariance? Portfolio Mathematics: consider the product of each stock’s deviation from expected return in a particular scenario: product- positive-move together- both returns exceed their expectations or both fall short of those expectations in the scenario product-negative-vary inversely-one stock’s return exceeds-the other’s falls short Portfolio Mathematics: definition of covariance: a good measure of the degree to which the returns move together is the expected value of this product across all scenarios Portfolio Mathematics: computation of covariance: (E.G.) computation of E (r): Portfolio Mathematics: computation of COV (r): The negative covariance confirms the hedging quality of SugarKane stock relative to Best Candy. SugarKane’s returns move inversely with Best’s. Portfolio Mathematics: correlation coefficient: an easier statistic to interpret than the covariance-scale the covariance to a value between -1 (perfect negative correlation) and 1 (perfect positive correlation) large negative correlation (close to 1) confirms the strong tendency of Best and SugarKane stocks to move inversely, or “out of phase” with one another * Portfolio Mathematics