财务管理第五章风和收益.pptVIP

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2019-07-17 发布于江苏
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财务管理第五章风和收益.ppt

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Two-asset portfolio: Col 1 Col 2 Row 1 (.4)(.4)(.0173) (.4)(.6)(.0105) Row 2 (.6)(.4)(.0105) (.6)(.6)(.0113) This represents substitution into the variance - covariance matrix. Determining Portfolio Standard Deviation Two-asset portfolio: Col 1 Col 2 Row 1 (.0028) (.0025) Row 2 (.0025) (.0041) This represents the actual element values in the variance - covariance matrix. Determining Portfolio Standard Deviation Determining Portfolio Standard Deviation sP = .0028 + (2)(.0025) + .0041 sP = SQRT(.0119) sP = .1091 or 10.91% A weighted average of the individual standard deviations is INCORRECT. Determining Portfolio Standard Deviation The WRONG way to calculate is a weighted average like: sP = .4 (13.15%) + .6(10.65%) sP = 5.26 + 6.39 = 11.65% 10.91% = 11.65% This is INCORRECT. Stock C Stock D Portfolio Return 9.00% 8.00% 8.64% Stand. Dev. 13.15% 10.65% 10.91% CV 1.46 1.33 1.26 The portfolio has the LOWEST coefficient of variation due to diversification. Summary of the Portfolio Return and Risk Calculation Combining securities that are not perfectly, positively correlated reduces risk. Diversification and the Correlation Coefficient INVESTMENT RETURN TIME TIME TIME SECURITY E SECURITY F Combination E and F Systematic Risk is the variability of return on stocks or portfolios associated with changes in return on the market as a whole. Unsystematic Risk is the variability of return on stocks or portfolios not explained by general market movements. It is avoidable through diversification. Total Risk = Systematic Risk + Unsystematic Risk Total Risk = Systematic Risk + Unsystematic Risk Total Risk = Systematic Risk + Unsystematic Risk Total Risk Unsystematic risk Systematic risk STD DEV OF PORTFOLIO RETURN NUMBER OF SECURITIES IN THE PORTFOLIO Factors such as changes in nation’s economy, tax reform by the Congress, or a change in