大三下投资组合lecture 1.pptx

LectureOutlineWhatIsAnInvestment?Returns(Historical,Expected,ProbabilityDistribution)RiskofexpectedandhistoricalreturnsDeterminantsofrequiredreturnRiskandreturnrelationWhatisAssetAllocation?ThePortfolioManagementProcess1-1

WhatIsAnInvestment?InvestmentDefinitionReasonforInvestingPureRateofInterest(puretimevalueofmoney)InflationUncertaintyRequiredRateofReturnExpectedRateofReturn1-2

HistoricalRatesofReturnReturnoveraHoldingPeriodHoldingPeriodReturn(HPR)=(Endingvalue/Beginningvalue)HoldingPeriodYield(HPY)=HPR-1AnnualHPRandHPY:AnnualHPR=HPR1/nAnnualHPY=AnnualHPR-1=HPR1/n–1 wheren=numberofyearsoftheinvestmentExample:Assumethatyouinvest$200atthebeginningoftheyearandgetback$220attheendoftheyear.WhataretheHPRandtheHPYforyourinvestment?HPR=Endingvalue/Beginningvalue=$220/200=1.1HPY=HPR-1=1.1-1=0.1=10%1-3

HistoricalRatesofReturnComputingMeanHistoricalReturns Supposeyouhaveasetofannualratesofreturn(HPYsorHPRs)foraninvestment.Howdoyoumeasurethemeanannualreturn?ArithmeticMeanReturn(AM) AM=?HPY/nwhere?HPY=thesumofalltheannualHPYs n=numberofyearsGeometricMeanReturn(GM) GM=[?HPY]1/n-1where?HPR=theproductofalltheannualHPRs n=numberofyears1-4

HistoricalRatesofReturnAPortfolioofInvestmentsPortfolioHPY:ThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio,ortheoverallchangeinthevalueoftheoriginalportfolio.Theweightsusedinthecomputationaretherelativebeginningmarketvaluesforeachinvestment,whichisoftenreferredtoasdollar-weightedorvalue-weightedmeanrateofreturn.?2012CengageLearning.AllRightsReserved.Maynotscanned,copiedorduplicated,orpostedtoapubliclyaccessiblewebsite,inwholeorinpart.1-5

ExpectedRatesofRe