投资学英文版课件Ch 4 Risk and Portfolio Management.pptVIP

观察值observation * Unsystematic—difference between Line AB and Line CD The amount of unsystematic risk depends on the number of securities held; Where line CD approaches line AB—as the number increases, unsystematic risk diminishes; For portfolios consisting of 10 or more securities, the risk involved is primarily systematic. Total—sum of the two risks—Line CD Comparison Choice-1 Choice-2 Investing $20 000 in 10 stocks; Investing $20 000 in 2 stocks; More in commissions; Less in commissions; Less risk of loss in a specific security; high risk of loss in a specific security; Systematic risk; Section 3the Measurement of Risk ---February, 2013 Major Contents Dispersion around an investment’s return Standard deviation as a measure of risk: One Asset The measurement of risk places emphasis on: The extent to which the return varies from the average return; The volatility of return relative to the return on the market; Standard deviation A. Dispersion around an investment’s return One measure of risk measures the variability or dispersion around a central value (e.g. an average); Not much difference between the average and the individual observations Small dispersion Much difference between the average and the individual observations Large dispersion The larger the dispersion, the greater is the risk when this concept is applied to investments. Example on P87 Stock A Stock B 13.5% 14.0% 14.25% 14.5% 15.0% 15.5% 15.75% 16.0% 16.5% 11.0% 11.5% 12.0% 12.5% 15.0% 17.5% 18.0% 18.5% 19.0% Stock A: The returns of stock A cluster around the average return; Because there is less variability in returns, it is the less risky of the two securities; Figure 6.3 Distribution of the returns of 2 stocks Higher narrower Small dispersion Small risk Lower wider Larger dispersion High risk Figure 6.3 Two axes: Horizontal—returns; Vertical—frequency of their occurrence; Stock A: Most returns are close to the average return; The frequency distribution is higher and narrower; Stock B: A gr