财务管理学chapter 14

14-1Chapter14RiskandManagerialOptionsinCapitalBudgeting©2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/eCreatedby:GregoryA.Kuhlemeyer,Ph.D.CarrollCollege,Waukesha,WI14-2RiskandManagerialOptionsinCapitalBudgetingTheProblemofProjectRiskTotalProjectRiskContributiontoTotalFirmRisk:Firm-PortfolioApproachManagerialOptions14-3AnIllustrationofTotalRisk(DiscreteDistribution)ANNUALCASHFLOWS:YEAR1PROPOSALAStateProbabilityCashFlowDeepRecession.05$-3,000MildRecession.251,000Normal.405,000MinorBoom.259,000MajorBoom.0513,00014-4ProbabilityDistributionofYear1CashFlows.40.05.25Probability-3,0001,0005,0009,00013,000CashFlow($)ProposalA14-5CF1P1(CF1)(P1)$-3,000.05$-1501,000.252505,000.402,0009,000.252,25013,000.05650S=1.00CF1=$5,000ExpectedValueofYear1CashFlows(ProposalA)14-6(CF1)(P1)(CF1-CF1)2(P1)$-150(-3,000-5,000)2(.05)250(1,000-5,000)2(.25)2,000(5,000-5,000)2(.40)2,250(9,000-5,000)2(.25)650(13,000-5,000)2(.05)$5,000VarianceofYear1CashFlows(ProposalA)14-7VarianceofYear1CashFlows(ProposalA)(CF1)(P1)(CF1-CF1)2*(P1)$-1503,200,0002504,000,0002,00002,2504,000,0006503,200,000$5,00014,400,00014-8SummaryofProposalAThestandarddeviation=SQRT(14,400,000)=$3,795Theexpectedcashflow=$5,00014-9AnIllustrationofTotalRisk(DiscreteDistribution)ANNUALCASHFLOWS:YEAR1PROPOSALBStateProbabilityCashFlowDeepRecession.05$-1,000MildRecession.252,000Normal.405,000MinorBoom.258,000MajorBoom.0511,00014-10ProbabilityDistributionofYear1CashFlows.40.05.25Probability-3,0001,0005,0009,00013,000CashFlow($)ProposalB14-11ExpectedValueofYear1CashFlows(ProposalB)CF1P1(CF1)(P1)$-1,000.05$-502,000.255005,000.402,0008,000.252,00011,000.05550S=1.00CF1=$5,00014-12(CF1)(P1)(CF1-CF1)2(P1)$-50(-1,000-5,000)2(.05)500(2,000-5,000)2(.25)2,000(5,000-5,000)2(.40)2,000(8,000-5,000)2(.25)550(11,000-5,000)2(.05)$5,000VarianceofYear1CashFlows(ProposalB)14-13VarianceofYear1CashFlows(ProposalB)(CF1)(P1)(CF1-CF1)2(P1)$-501,800,0005002,250,0002,00002,0002,250,0005501,800,000$5,0008,100,00014-14SummaryofProposalBThestandarddeviationofProposalBProposalA.($2,846$3,795)Thestandarddeviation=SQRT(8,100,000)=$2,846Theexpectedcashflow=$5,00014-15TotalProjectRiskProjectshaveriskthatmaychangefromperiodtoperiod.Projectsaremorelikelytohavecontinuous,ratherthandiscretedistributions.CashFlow($)123Year14-16ProbabilityTreeApproachAgraphicortabularapproachfororganizingthepossiblecash-flowstreamsgeneratedbyaninvestment.Thepresentationresemblesthebranchesofatree.Eachcompletebranchrepresentsonepossiblecash-flowsequence.14-17ProbabilityTreeApproachBasketWondersisexaminingaprojectthatwillhaveaninitialcosttodayof$900.Uncertaintysurroundingthefirstyearcashflowscreatesthreepossiblecash-flowscenariosinYear1.-$90014-18ProbabilityTreeApproachNode1:20%chanceofa$1,200cash-flow.Node2:60%chanceofa$450cash-flow.Node3:20%chanceofa-$600cash-flow.-$900(.20)$1,200(.20)-$600(.60)$450Year112314-19ProbabilityTreeApproachEachnodeinYear2representsabranchofourprobabilitytree.Theprobabilitiesaresaidtobeconditionalprobabilities.-$900(.20)$1,200(.20)-$600(.60)$450Year1123(.60)$1,200(.30)$900(.10)$2,200(.35)$900(.40)$600(.25)$300(.10)$500(.50)-$100(.40)-$700Year214-20JointProbabilities[P(1,2)].02Branch1.12Branch2.06Branch3.21Branch4.24Branch5.15Branch6.02Branch7.10Branch8.08Branch9-$900(.20)$1,200(.20)-$600(.60)$450Year1123(.60)$1,200(.30)$900(.10)$2,200(.35)$900(.40)$600(.25)$300(.10)$500(.50)-$100(.40)-$700Year214-21ProjectNPVBasedonProbabilityTreeUsageTheprobabilitytreeaccountsforthedistributionofcashflows.Therefore,discountallcashflowsatonlytherisk-freerateofreturn.TheNPVforbranchioftheprobabilitytreefortwoyearsofcashflowsisNPV=S(NPVi)(Pi)NPVi=CF1(1+Rf)1(1+Rf)2CF2-ICO+i=1z14-22NPVforEachCash-FlowStreamat5%Risk-FreeRate$2,238.32$1,331.29$1,059.18$344.90$72.79-$199.32-$1,017.91-$1,562.13-$2,106.35-$900(.20)$1,200(.20)-$600(.60)$450Year1123(.60)$1,200(.30)$900(.10)$2,200(.35)$900(.40)$600(.25)$300(.10)$500(.50)-$100(.40)-$700Year214-23NPVontheCalculatorRemember,wecanusethecashflowregistrytosolvetheseNPVproblemsquicklyandaccurately!14-24ActualNPVSolutionUsingYourFinancialCalculatorSolvingforBranch#3:Step1:PressCFkeyStep2:Press2ndCLRWorkkeysStep3:ForCF0Press-900EnterkeysStep4:ForC01Press1200EnterkeysStep5:ForF01Press1EnterkeysStep6:ForC02Press900EnterkeysStep7:ForF02Press1Enterkeys14-25ActualNPVSolutionUsingYourFinancialCalculatorSolvingforBranch#3:Step8:PresskeysStep9:PressNPVkeyStep10:ForI=,Enter5EnterkeysStep11:PressCPTkeyResult:NetPresentValue=$1,059.18YouwouldcompletethisforEACHbranch!14-26CalculatingtheExpectedNetPresentValue(NPV)BranchNPViBranch1$2,238.32Branch2$1,331.29Branch3$1,059.18Branch4$344.90Branch5$72.79Branch6-$199.32Branch7-$1,017.91Branch8-$1,562.13Branch9-$2,106.35P(1,2)NPVi*P(1,2).02$44.77.12$159.75.06$63.55.21$72.43.24$17.47.15-$29.90.02-$20.36.10-$156.21.08-$168.51ExpectedNetPresentValue=-$17.0114-27CalculatingtheVarianceoftheNetPresentValueNPVi$2,238.32$1,331.29$1,059.18$344.90$72.79-$199.32-$1,017.91-$1,562.13-$2,106.35P(1,2)(NPVi-NPV)2[P(1,2)].02$101,730.27.12$218,149.55.06$69,49