麦格劳-金融建模chap011.pptx

11-1Copyright?2011bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/Irwin

11-2KeyConceptsandSkillsKnowhowtocalculateexpectedreturnsUnderstand:TheimpactofdiversificationThesystematicriskprincipleThesecuritymarketlineandtherisk-returntrade-off

11-3ChapterOutline11.1 ExpectedReturnsandVariances11.2 Portfolios11.3 Announcements,Surprises,andExpected Returns11.4 Risk:SystematicandUnsystematic11.5 DiversificationandPortfolioRisk11.6 SystematicRiskandBeta11.7 TheSecurityMarketLine11.8 TheSMLandtheCostofCapital:APreview

11-4ExpectedReturnsExpectedreturnsarebasedontheprobabilitiesofpossibleesWhere: pi=theprobabilityofstate“i”occurring Ri=theexpectedreturnonanassetinstateiReturntoQuickQuiz

11-5Example:ExpectedReturns

11-6Example:ExpectedReturns

11-7VarianceandStandardDeviationVarianceandstandarddeviationmeasure thevolatilityofreturnsVariance=Weightedaverageofsquared deviationsStandardDeviation=SquarerootofvarianceReturntoQuickQuiz

11-8VarianceStandardDeviation

11-9PortfoliosPortfolio=collectionofassetsAnasset’sriskandreturnimpacthowthe stockaffectstheriskandreturnofthe portfolioTherisk-returntrade-offforaportfoliois measuredbytheportfolioexpected returnandstandarddeviation,justas withindividualassets

11-10PortfolioExpectedReturnsTheexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsforeachassetintheportfolioWeights(wj)=%ofportfolioinvestedineachasset

ReturntoQuickQuiz

11-11Example:PortfolioWeights

11-12ExpectedPortfolioReturn

AlternativeMethodSteps:Calculateexpectedportfolioreturnineachstate:ApplytheprobabilitiesofeachstatetotheexpectedreturnoftheportfoliointhatstateSumtheresultofstep2ReturntoSlide11-15

11-13PortfolioRisk

VarianceStandardDeviationPortfoliostandarddeviationisNOTaweightedaverageofthestandardde