国际财务管理 第六讲 跨国公司资本预算.pdf

国际财务管理 第六讲跨国公司资本预算 对外经济贸易大学国际商学院会计学系制作 Exhibit 1 Portfolio Risk Reduction Through Diversification Percent risk = Variance of portfolio return Variance of market return 100 80 Total Risk = Diversifiable Risk + Market Risk (unsystematic) (systematic) 60 40 Portfolio of U.S. stocks 27% 20 Total risk Systematic risk 1 10 20 30 40 50 Number of stocks in portfolio By diversifying the portfolio, the variance of the portfolio ’s return relative to the variance of the market’s return (beta) is reduced to the level of systematic risk -- the risk of the market itself. International Diversification and Risk The total risk of any portfolio is therefore composed of systematic risk (the market) and unsystematic risk (the individual securities). Increasing the number of securities in the portfolio reduces the unsystematic risk component leaving the systematic risk component unchanged. Internationalizing the Domestic Portfolio Classic portfolio theory assumes a typical investor is risk-averse. This means an investor is willing to accept some risk but is not willing to bear unnecessary risk. The typical investor is therefore in search of a portfolio that maximizes expected portfolio return per unit of expected portfolio risk. Exhibit 2 Optimal Domestic