第十章 收益与风险 CAPM.ppt

Chapter Outline 10.1 Individual Securities 10.2 Expected Return, Variance, and Covariance 10.3 The Return and Risk for Portfolios 10.4 The Efficient Set for Two Assets 10.5 The Efficient Set for Many Securities 10.6 Diversification: An Example 10.7 Riskless Borrowing and Lending 10.8 Market Equilibrium 10.9 Relationship between Risk and Expected Return (CAPM) 10.10 Summary and Conclusions 10.1 Individual Securities The characteristics of individual securities that are of interest are the: Expected Return Variance and Standard Deviation Covariance and Correlation 10.2 Expected Return, Variance, and Covariance Consider the following two risky asset world. There is a 1/3 chance of each state of the economy and the only assets are a stock fund and a bond fund. 10.2 Expected Return, Variance, and Covariance 10.2 Expected Return, Variance, and Covariance 10.2 Expected Return, Variance, and Covariance 10.2 Expected Return, Variance, and Covariance 10.2 Expected Return, Variance, and Covariance 10.2 Expected Return, Variance, and Covariance 10.2 Expected Return, Variance, and Covariance 10.2 Expected Return, Variance, and Covariance 10.3 The Return and Risk for Portfolios 10.3 The Return and Risk for Portfolios 10.3 The Return and Risk for Portfolios 10.3 The Return and Risk for Portfolios 10.3 The Return and Risk for Portfolios 10.3 The Return and Risk for Portfolios 10.3 The Return and Risk for Portfolios 10.4 The Efficient Set for Two Assets 10.4 The Efficient Set for Two Assets 10.4 The Efficient Set for Two Assets Two-Security Portfolios with Various Correlations Portfolio Risk/Return Two Securities: Correlation Effects Relationship depends on correlation coefficient -1.0 r +1.0 The smaller the correlation, the greater the risk reduction potential If r = +1.0, no risk reduction is possible Portfolio Risk as a Function of the Number of Stocks in the Portfolio 10.5 The Efficient Set for Many Securities Consider a world with many risky assets; we can still identify