le01TheInvestmentSetting(资产定价上海交大,蔡明超).pptxVIP

Lec 1The Investment Setting;;Why Do Individuals Invest ?;LOS a: concept of required rate of return and components of an investors required rate of return.;How Do We Measure The Rate Of Return On An Investment ?; People’s willingness to pay the difference for borrowing today and their desire to receive a surplus on their savings give rise to an interest rate referred to as the pure time value of money.; If the future payment will be diminished in value because of inflation, then the investor will demand an interest rate higher than the pure time value of money to also cover the expected inflation expense. ; If the future payment from the investment is not certain, the investor will demand an interest rate that exceeds the pure time value of money plus the inflation rate to provide a risk premium to cover the investment risk. ;Measures of  Historical Rates of Return;Annual Holding Period Return Annual HPR = HPR 1/n where n = number of years investment is held Annual Holding Period Yield Annual HPY = Annual HPR - 1;Measures of  Historical Rates of Return;Measures of  Historical Rates of Return;A Portfolio of Investments;Computation of HoldingPeriod Yield for a Portfolio;Expected Rates of Return;Expected Rates of Return;Risk Aversion; Probability Distributions; Probability Distributions; Probability Distributions;Measuring the Risk of Expected Rates of Return;Measuring the Risk of Expected Rates of Return;Measuring the Risk of Expected Rates of Return;Measuring the Risk of Historical Rates of Return;LOS b: real, nominal risk-free rate of return and computation of both return measures;LOS b: real, nominal risk-free rate of return and computation of both return measures;LOS c:Explain the risk premium and the associated fundamental sources of risk.;Business Risk;Financial Risk;Liquidity Risk;Exchange Rate Risk;Country Risk;Risk Premium;Risk Premium and Portfolio Theory;Fundamental Risk versus Systematic Risk;LOS d:SML,slope,shift;securit