财务管理专题3：财务管理中的价值理念（1）.pptVIP

11.* 提醒学生，标准差的单位是百分比，与原始数据的单位一样。It is helpful to remind students that the standard deviation (but not the variance) is expressed in the same units as the original data, which is a percentage return in our example. 11.* 预期报酬率 E(R) = .25(15) + .5(8) + .15(4) + .1(-3) = 8.05% 方差 = .25(15-8.05)2 + .5(8-8.05)2 + .15(4-8.05)2 + .1(-3-8.05)2 = 26.7475 标准差= 5.17% 11.* 每个人的对于风险的态度不同。大部分人厌恶风险，但有些人愿意冒险。对于风险的态度会随着时间推移而变化，年轻的时候较喜欢冒险。成立家庭后，风险容忍程度降低。 11.* C – Citigroup KO – Coca-Cola INTC – Intel BP – BP 权重之和= 1 11.* 11.* 你只投资于A和B两种资产。投资于B的比重是50%。 A: 期望报酬率 E(RA) = .4(30) + .6(-10) = 6% 方差Variance(A) = .4(30-6)2 + .6(-10-6)2 = 384 标准差 Std. Dev.(A) = 19.6% B:期望报酬率 E(RB) = .4(-5) + .6(25) = 13% 方差Variance(B) = .4(-5-13)2 + .6(25-13)2 = 216 标准差Std. Dev.(B) = 14.7% 繁荣期的投资组合期望报酬率= .5(30) + .5(-5) = 12.5 萧条期的投资组合期望报酬率= .5(-10) + .5(25) = 7.5 预期报酬率 = .4(12.5) + .6(7.5) = 9.5 or 预期报酬率= .5(6) + .5(13) = 9.5 投资组合方差= .4(12.5-9.5)2 + .6(7.5-9.5)2 = 6 标准差= 2.45% 注意，方差并不等于.5(384) + .5(216) = 300 标准差并不等于.5(19.6) + .5(14.7) = 17.17% 11.* 繁荣期的投资组合期望报酬率: .6(15) + .4(10) = 13% 正常期的投资组合期望报酬率: .6(10) + .4(9) = 9.6% 萧条期的投资组合期望报酬率: .6(5) + .4(10) = 7% 期望报酬率= .25(13) + .6(9.6) + .15(7) = 10.06% 方差 = .25(13-10.06)2 + .6(9.6-10.06)2 + .15(7-10.06)2 = 3.6924 标准差= 1.92% Compare to return on X of 10.5% and standard deviation of 3.12% And return on Z of 9.4% and standard deviation of .49% Using covariances: COV(X,Z) = .25(15-10.5)(10-9.4) + .6(10-10.5)(9-9.4) + .15(5-10.5)(10-9.4) = .3 Portfolio variance = (.6*3.12)2 + (.4*.49)2 + 2(.6)(.4)(.3) = 3.6868 Portfolio standard deviation = 1.92% (difference in variance due to rounding) Lecture Tip: Here are a few tips to pass along to students suffering from “statistics overload”: -The distribution is just the picture of all possible outcomes -The mean return is the central point of the distribution -The standard deviation is the average deviation from the mean -Assuming investor rationality (two-parameter utility functions), the mean is