财务管理学--财务管理者的作用与功能（PDF 54页）

1nnnnnnnnnnnnn2nnnnn——————nnnnnnnnnn……n“”“”3nnn——————————————————nnnnnnnnnnnnnnnnn4nnnnnnnnnn2314b4annnnnnnn5nnnnnnnn……nnnnnnnnnnnnnnnnnnnnnnnn6nnnnnnnnnnnnnnn7nnnnnnnnn——nnnnnnnnnnnnn8nnnnnnnnnnnn(Finance)MMCAPM//9nnnnnnnnnnnnnrPVFV)1(0+=nnrFVPV)1(0+=2043681.03000)08.01(30005=×=+=PV10n∑=-+=nttntrCFFV1)1(∑+==ntttrCFPV10)1(nnnnnn∑=-+=nttnrAFV1)1(∑=+-+=nttnrAFV11)1(nnn∑+==nttrAPV10)1(1∑+=-=100)1(1nttrAPVnn11nn∑=++=tttrCFCNPV)1(0nnttrBrIP)1()1(1++∑+==nnnnnnnntttrPrDIVP)1()1(10++∑+==tDIVtDIVnn∑+=∞=10)1(tttrDIVPrDIVrDIVPtt=∑+=∞=10)1(n∑-=++=∞=110)1()1(ttttgrDIVrgDIVP12nnnnnnDIV/PayoutRatioROE0.400.083.20%DIV10.032501.6gplowbackratioROE0.600.084.8%P0DIV1/(rg)1.6/0.100.048)30.77ROE10133ROErROE12plowbackratio=0P0EPS/rROE/r500.12/0.106/0.1060plowbackratio=60DIV/PayoutRatioROE0.400.124.8%DIV10.048502.4gplowbackratioROE0.600.127.2%P0DIV1/(rg)2.4/0.100.072)85.7185.716025.71PVGOPVGO25.714P/EPS0EPS/PEPS1/P04/400.10r0.10EPS1/P04/30.770.13r0.10EPS1/P06/85.71710r14PVGO0EPS/PrPVGO0EPS/PPVGO0EPS/PrEPS/PPVGOP0EPS1/rPVGOBubbleBubbleBubblenP0EPS1/rPVGOBubbleEPS/rPVGOEPS/rPVGOnnnn15nnnnn∑==niiiXXPXE1)()()()(1iniiXPXXE∑==n22212)()()]()[()(XEXEXEXXPXVarniiii-=∑-===s2sxsnnn∑=--=--=mkjjkiikkjjiijiXEXXEXPXEXXEXEXXCOV1)]}()][({[)]}()][({[),(n0n0n0n1n1n0nnnnn16nnAEA60A11BEB60B17ABBn6011n8314/E(X)A/E(A)=11/60=0.183C/E(C)=14/83=0.169CACn17n0)('';0)('XUXUnU(W)U(90)U(50)U(10)105090W0)('';0)('XUXUnnRrRRf+=••18nnnnnnnnnnnnn—n19nnnnnnnnnnn20nnnnnnnnnn∑++==ntttrCFCNPV10)1(nn0)1(10=∑++=ntntIRRCFCFnnnnnn=)(PI21nnnnnnnnnnnn10000020003000105000n500010000150001000n20000200022000n100000/1010000/nn110CFt=1500010002000=1200022n010500191200CFt103400CFt+nNPV10500+1200(PV/A,10%,9)+3400(PV/F,10%,10)=-10500+6911+1312=2277NPV0nnnnnnn23nnnnnnnnnn24Max:NPV60000XA32100XB38500XC24000XDS.T.(1)400000XA250000XB350000XC300000XD600000(2)Xi1Xi0iABCDnnnnnn25n)()()(BABARbERaEbRaRE+=[phone]),(BAABBAABBABAabbaabCOVbaRRVarssrssss++=++=nGHE(Rg)=20%,g=40%,E(Rh)=12%,h=13.3%,ghWg=0.25,Wh=0.75ghghghrrs%)2(%2%)3.13%)(40)(75.0)(25.0(2%)3.13(75.0%)40(25.02222+=++=ngh=1gh=20%gh=-1gh=0gh=0gh=14.1%nE(R)20%=-1=0=112%13.320n∑==niiipREwRE1)()(∑∑∑+===≠nininijjiijjiiip)(ssrsnE(R)CBA26E(R)n011221222→=∑==sssnnnwniii0)11()1(2→-=-=∑∑COVnCOVnnnCOVwwijjin27E(R)pMfMfpRRERREss-+=)()(npMfMfMMpfMpMppMpMMpMfpRRERRERREREaaREaaRREssssssssssss-+=+-=-=-=-+=)()()(),()1()()1()(28E(R)Rfnnn——nn29nnn∑==nkkkMrwr1∑=∑===nkkgknkkkgMgrrCovwrwrCovrrCov11),(),(),(n……………………Ms2)(MfMrrEs-gdggfgMCrrrr⋅+⋅-=dd))(()()(fggMCrrErErE-⋅+=d),(22222MggggMCrrCov⋅+⋅+=dsdss30))(()(fggCrrErE-⋅=Δd),(22MggCrrCov⋅=Δds2gd),(2)()(2MgfMCCrrCovrrErE-=ΔΔsdMrfdfrd-gdgrd))(()()(fggMrrErErE-⋅+=d))(()(fMgrrErE-⋅=Δd)1(d+d2222222)2()21()1(MMMMsddssddsds++=++=+=2d2222MMdsss+=222Mdss=Δ222)()(MfMrrErEss-=ΔΔ),(2)(2)(2fMfgMfMrrCovrrErrE-=-s])([),()(2fMMMgfgrrErrCovrrE-=-s])([)(fMgfgrrErrE-+=bnbtitftmiitftierrrr,,,,,)(+-+=-babnnn31nnnnnnnnb32nnnnnnnnnnnnnnnnnn33nnnnnnnnn34nnnnnn……35nnnnnnnnnnnnnnnnnn36nnnnnnnnnnnnnnnnnnnn……nnnn“”nnn37nnnnnnnnnnnnnnnnnnnnnnnn383n95=n96=n97==(12-/12)=+12-/12n99nnn1530n1530n1nnnnnnnn39nnnnnnnnnnnnnnnnn40n001)1(CFATkCFATNPVtttΔ-+Δ=∑=nnnnn41nnnnnnnnnnFutures)nn10011011000189:45~3:104%5%API3445……ncommodityfutures,financialfutures,n1972n1972CMEn197510CBTn198242nnnnnnnnnnnnn43n(Americanoption)AmericancallAmericanputn(Europeanoption)EuropeancallEuropeanputnP=SKSK0,SKPMax(SK0)nP=0SKKS,SKPMax(KS0)n(in-the-money)0CallSKPutSKn(at-the-money)0CallPutSKn(out-of-the-money)0CallSKPutSK44nOTCOTCnCBOEPHLXAMEXPSENYSEnnIBM45113273/48451/16727/8551162181/4351/16727/865121083/8601/4727/8651491599/16727/865451048417/16n100100n10:59nn123114710225811336912IBM11124712347n2.5510252.525200520010nnOCCOCC45nnOCCOCCOCCnnnnnnnOptionClearCorporationOCCnOCCnOCCOCCOCCOCCOCCnOCCnnnnnn46nnnnnCallPut43put-callparity343PSrKCtf+=++-)1(S’KS’KSellCall:C0KS’BuyPut:-PKS’0Buyshare:-SS’S’Borrow:K/(1+r)tKKTotal:00“”SrKCPtf-++=-)1(47nS38K40C4t3400404004044nn(protectiveput)n(coveredcall)nnn481“”23“”S‘=50USDS’=200USDCallvalue075USD20075100C500b1‘’b222C148.0810048.08=51.92C25.9625.961248.08USD25.964950200Call0150505050/1.0448.0848.08=1002CC(10048.08)/2=51.92/2=25.9612,:2150200075=--Δ-+-+--=ΔSSCCLHLfHSSSrSW--+=)1(0456.05010050)04.1(70=--=HW5012.70C1HC00.000.00C1L0.00WHHWHLC1H=[(0.55)(12.7)+(0.45)(0.00)]/1.01=6.86C!L=[(0.55)(0.00)+(0.45)(0.00)]/1.01=0.00WHWHHWHLC0[(0.55)C1H+(0.45)C1L]/1.01=[(0.55)(6.86)+(0.45)(0.00)]/1.01=3.7455.03.697.843.69)01.1(77=--=HHW55.07.563.697.56)01.1(63=--=HLWBlackScholesCSKTr)()(21dNKedSNCrT--=TTrKSdss)2/()/ln(21++=Tdds-=12BlackScholes(Brealey&Myers67)BlackScholes123Brealey&Myers64nnn51nnUG200N100P12100.10Nq=10K1040.40,1502001505050/105UG1600400120016001600UG160040020015055050120012501800180050.4020.80P/(K)=12/[10/(1.1)exp(4)]=1.75Brealey&Myers6/=C/P=0.511C=0.511*12=6.13)(10KPNVW-=nNMqXV0MqNMqXVP++=0152n=q(P1-X)==,)(0XMqNMqXVq-++)(0XNVMqNNq-+1nnnn53nnnnnnnnnnnnnn54nnnnnnnnnnnn“”n