chapter_08riskandreturn(公司金融).pptVIP

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chapter_08riskandreturn(公司金融).ppt

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chapter_08riskandreturn(公司金融)

Slides by Matthew Will 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 1990-2001 Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment A Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment B Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment C Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment D Markowitz Portfolio Theory Efficient Frontier Efficient Frontier Efficient Frontier Example Correlation Coefficient = .4 Stocks s % of Portfolio Avg Return ABC Corp 28 60% 15% Big Corp 42 40% 21% Standard Deviation = weighted avg = 33.6 Standard Deviation = Portfolio = 28.1 Return = weighted avg = Portfolio = 17.4% Efficient Frontier Example Correlation Coefficient = .4 Stocks s % of Portfolio Avg Return ABC Corp 28 60% 15% Big Corp 42 40% 21% Standard Deviation = weighted avg = 33.6 Standard Deviation = Portfolio = 28.1 Return = weighted avg = Portfolio = 17.4% Let’s Add stock New Corp to the portfolio Efficient Frontier Example Correlation Coefficient = .3 Stocks s % of Portfolio Avg Return Portfolio 28.1 50% 17.4% New Corp 30 50% 19% NEW Standard Deviation = weighted avg = 31.80 NEW Standard Deviation = Portfolio = 23.43 NEW Return = weighted avg = Portfolio = 18.20% Efficient Frontier Example Correlation Coefficient = .3