Chapter 8
McGraw Hill/Irwin
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved
Risk and Return
- Главная
- Разное
- Дизайн
- Бизнес и предпринимательство
- Аналитика
- Образование
- Развлечения
- Красота и здоровье
- Финансы
- Государство
- Путешествия
- Спорт
- Недвижимость
- Армия
- Графика
- Культурология
- Еда и кулинария
- Лингвистика
- Английский язык
- Астрономия
- Алгебра
- Биология
- География
- Детские презентации
- Информатика
- История
- Литература
- Маркетинг
- Математика
- Медицина
- Менеджмент
- Музыка
- МХК
- Немецкий язык
- ОБЖ
- Обществознание
- Окружающий мир
- Педагогика
- Русский язык
- Технология
- Физика
- Философия
- Химия
- Шаблоны, картинки для презентаций
- Экология
- Экономика
- Юриспруденция
Risk and Return презентация
Содержание
- 1. Risk and Return
- 2. Topics Covered Markowitz Portfolio Theory Risk and Return Relationship Testing the CAPM CAPM Alternatives
- 3. Markowitz Portfolio Theory Combining stocks into portfolios
- 4. Markowitz Portfolio Theory Price changes vs. Normal
- 5. Markowitz Portfolio Theory Standard Deviation VS. Expected
- 6. Markowitz Portfolio Theory Standard Deviation VS. Expected
- 7. Markowitz Portfolio Theory Standard Deviation VS. Expected
- 8. Markowitz Portfolio Theory Standard Deviation VS. Expected
- 9. Markowitz Portfolio Theory Coca Cola Reebok
- 10. Efficient Frontier Standard Deviation Expected Return (%)
- 11. Efficient Frontier Standard Deviation Expected
- 12. Efficient Frontier Example
- 13. Efficient Frontier Example
- 14. Efficient Frontier Example
- 15. Efficient Frontier Example
- 16. Efficient Frontier A B Return Risk (measured as σ)
- 17. Efficient Frontier A B Return Risk AB
- 18. Efficient Frontier A B N Return Risk AB
- 19. Efficient Frontier A B N Return Risk AB ABN
- 20. Efficient Frontier A B N Return Risk
- 21. Efficient Frontier Return Risk Low Risk High
- 22. Efficient Frontier Return Risk Low Risk High
- 23. Efficient Frontier Return Risk A B N AB ABN
- 24. Security Market Line Return Risk . rf
- 25. Security Market Line Return . rf Risk
- 26. Security Market Line Return . rf Risk
- 27. Security Market Line Return BETA rf
- 28. Capital Asset Pricing Model R
- 29. Testing the CAPM Avg Risk Premium 1931-65
- 30. Testing the CAPM Avg Risk Premium 1966-91
- 31. Testing the CAPM High-minus low book-to-market Return vs. Book-to-Market Dollars Low minus big http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
- 32. Consumption Betas vs Market Betas Stocks (and other risky assets) Wealth = market portfolio
- 33. Arbitrage Pricing Theory Alternative
- 34. Arbitrage Pricing Theory Estimated risk premiums for taking on risk factors (1978-1990)
Topics Covered Markowitz Portfolio Theory Risk and Return Relationship Testing the CAPM CAPM Alternatives
Слайд 1
Principles of Corporate Finance
Seventh Edition
Richard A. Brealey
Stewart C. Myers
Slides by
Matthew
Will
Слайд 2Topics Covered
Markowitz Portfolio Theory
Risk and Return Relationship
Testing the CAPM
CAPM Alternatives
Слайд 3Markowitz Portfolio Theory
Combining stocks into portfolios can reduce standard deviation, below
the level obtained from a simple weighted average calculation.
Correlation coefficients make this possible.
The various weighted combinations of stocks that create this standard deviations constitute the set of efficient portfolios.
Correlation coefficients make this possible.
The various weighted combinations of stocks that create this standard deviations constitute the set of efficient portfolios.
Слайд 4Markowitz Portfolio Theory
Price changes vs. Normal distribution
Microsoft - Daily % change
1990-2001
Proportion of Days
Daily % Change
Слайд 5Markowitz Portfolio Theory
Standard Deviation VS. Expected Return
Investment A
% probability
%
return
Слайд 6Markowitz Portfolio Theory
Standard Deviation VS. Expected Return
Investment B
% probability
%
return
Слайд 7Markowitz Portfolio Theory
Standard Deviation VS. Expected Return
Investment C
% probability
%
return
Слайд 8Markowitz Portfolio Theory
Standard Deviation VS. Expected Return
Investment D
% probability
%
return
Слайд 9Markowitz Portfolio Theory
Coca Cola
Reebok
Standard Deviation
Expected Return (%)
35% in Reebok
Expected Returns and Standard Deviations vary given different weighted combinations of the stocks
Слайд 10Efficient Frontier
Standard Deviation
Expected Return (%)
Each half egg shell represents the possible
weighted combinations for two stocks.
The composite of all stock sets constitutes the efficient frontier
The composite of all stock sets constitutes the efficient frontier
Слайд 11Efficient Frontier
Standard Deviation
Expected Return (%)
Lending or Borrowing at the risk free
rate (rf) allows us to exist outside the efficient frontier.
rf
Lending Borrowing
T
S
Слайд 12Efficient Frontier
Example
Correlation Coefficient = .4
Stocks σ % of Portfolio Avg Return
ABC Corp 28 60% 15%
Big Corp 42 40% 21%
Standard Deviation = weighted avg = 33.6
Standard Deviation = Portfolio = 28.1
Return = weighted avg = Portfolio = 17.4%
Stocks σ % of Portfolio Avg Return
ABC Corp 28 60% 15%
Big Corp 42 40% 21%
Standard Deviation = weighted avg = 33.6
Standard Deviation = Portfolio = 28.1
Return = weighted avg = Portfolio = 17.4%
Слайд 13Efficient Frontier
Example
Correlation Coefficient = .4
Stocks σ % of Portfolio Avg Return
ABC Corp 28 60% 15%
Big Corp 42 40% 21%
Standard Deviation = weighted avg = 33.6
Standard Deviation = Portfolio = 28.1
Return = weighted avg = Portfolio = 17.4%
Let’s Add stock New Corp to the portfolio
Stocks σ % of Portfolio Avg Return
ABC Corp 28 60% 15%
Big Corp 42 40% 21%
Standard Deviation = weighted avg = 33.6
Standard Deviation = Portfolio = 28.1
Return = weighted avg = Portfolio = 17.4%
Let’s Add stock New Corp to the portfolio
Слайд 14Efficient Frontier
Example
Correlation Coefficient = .3
Stocks σ % of Portfolio Avg Return
Portfolio 28.1 50% 17.4%
New Corp 30 50% 19%
NEW Standard Deviation = weighted avg = 31.80
NEW Standard Deviation = Portfolio = 23.43
NEW Return = weighted avg = Portfolio = 18.20%
Stocks σ % of Portfolio Avg Return
Portfolio 28.1 50% 17.4%
New Corp 30 50% 19%
NEW Standard Deviation = weighted avg = 31.80
NEW Standard Deviation = Portfolio = 23.43
NEW Return = weighted avg = Portfolio = 18.20%
Слайд 15Efficient Frontier
Example
Correlation Coefficient = .3
Stocks σ % of Portfolio Avg Return
Portfolio 28.1 50% 17.4%
New Corp 30 50% 19%
NEW Standard Deviation = weighted avg = 31.80
NEW Standard Deviation = Portfolio = 23.43
NEW Return = weighted avg = Portfolio = 18.20%
NOTE: Higher return & Lower risk
How did we do that? DIVERSIFICATION
Stocks σ % of Portfolio Avg Return
Portfolio 28.1 50% 17.4%
New Corp 30 50% 19%
NEW Standard Deviation = weighted avg = 31.80
NEW Standard Deviation = Portfolio = 23.43
NEW Return = weighted avg = Portfolio = 18.20%
NOTE: Higher return & Lower risk
How did we do that? DIVERSIFICATION
Слайд 21Efficient Frontier
Return
Risk
Low Risk
High Return
High Risk
High Return
Low Risk
Low Return
High Risk
Low Return
Слайд 22Efficient Frontier
Return
Risk
Low Risk
High Return
High Risk
High Return
Low Risk
Low Return
High Risk
Low Return
Слайд 29Testing the CAPM
Avg Risk Premium 1931-65
Portfolio Beta
1.0
SML
30
20
10
0
Investors
Market Portfolio
Beta vs. Average Risk
Premium
Слайд 30Testing the CAPM
Avg Risk Premium 1966-91
Portfolio Beta
1.0
SML
30
20
10
0
Investors
Market Portfolio
Beta vs. Average Risk
Premium
Слайд 31Testing the CAPM
High-minus low book-to-market
Return vs. Book-to-Market
Dollars
Low minus big
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Слайд 33
Arbitrage Pricing Theory
Alternative to CAPM
Expected Risk
Premium = r - rf
= Bfactor1(rfactor1 - rf) + Bf2(rf2 - rf) + …
Return = a + bfactor1(rfactor1) + bf2(rf2) + …
= Bfactor1(rfactor1 - rf) + Bf2(rf2 - rf) + …
Return = a + bfactor1(rfactor1) + bf2(rf2) + …
