投资学讲义MBA课件.pptxVIP

InvestmentsReading materialsModern Portfolio Theory and Investment Analysis by Elton and Gruber, 5th (or 6th) Edition, John Wiley Sons, Inc. Others:Newspaper, magazinesIntroductionAn intermediate investment courseEmphasizes portfoliosSecurity MarketsInvestment analysis and managementQuiz Q1假设你正在考虑投资于两只股票。通过一定的分析之后，你认为未来一年的经济会呈现健康或者不健康两种可能的状态。这两种情况发生的可能性相同（50%）。而两只股票在两种经济状态下的回报率见下表：(a). 请问每只股票的期望回报率和回报率的标准差是多少？(b). 两只股票回报率的协方差和相关系数是多少？(c). 画图说明投资于这两只股票能够提供什么样的风险与回报的组合？(d). 假设现在有无风险资产可以投资（无风险回报率为5%）。请问这对于你是否意味着一个获利机会？为什么？经济状态股票1回报股票2回报健康30%5%不健康10%10%Quiz Q2你在为一个小型对冲基金设计一个债券组合，目的是为了对冲基金四年后的一笔10亿的债务来提供资金。基金经理希望用一个两年期的零息债券和一个八年期的零息债券来构成组合。假设利率曲线为水平线，这样对于所有不同到期日的零息债券的到期收益率都为5% 。(a). 设计由上诉两种债券构成的组合来保护对冲基金，使得基金不受到利率变化的影响(b). 假设在你设计完成这一组合后，利率曲线对于所有到期日都平移到6%。请问这种情况下你设计的组合4年后的未来价值是多少？是否还能为债务提供足够的资金保障？Quiz Q3Compare to the day before yesterday, was the change of Shanghai Composite index in green or in red? RequirementsAttitudeSkillPracticeEvaluation:?My Objectives for the ClassCreate a learning atmosphere…Encourage independent thinking…Contributing and helping you achieving a high level of academic excellence…How Can We Define Investments?Investment can be defined as the sacrifice of present consumption for some future value.This future value is possibly uncertainInvestment Environment and Investment ProcessInvestment Environment refers to the different types of marketable securities available for investors;Investment Process is about the way investors should decide on the marketable instruments they will invest in, when to invest, etc.Financial SecuritiesMoney Market Securities ??Rates of ReturnsCapital Market SecuritiesFixed income securitiesEquity marketPreferred stockDerivativesFuturesOptionsExotic optionsStructured instruments: FX, etc…Rates of returns versus time for major security typesInvestments Over the Long-TermWhat is the current value of $1 invested between 1926-2002 inPortfolio of large U.S. stocks (Standard and Poor’s Composite Index) Portfolio of long-term Tre