IntroductiontoPortfolioManagement(投资分析与

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter7Chapter7-AnIntroductiontoPortfolioManagementQuestionstobeanswered:•Whatdowemeanbyriskaversionandwhatevidenceindicatesthatinvestorsaregenerallyriskaverse?•WhatarethebasicassumptionsbehindtheMarkowitzportfoliotheory?•Whatismeantbyriskandwhataresomeofthealternativemeasuresofriskusedininvestments?Chapter7-AnIntroductiontoPortfolioManagement•Howdoyoucomputetheexpectedrateofreturnforanindividualriskyassetoraportfolioofassets?•Howdoyoucomputethestandarddeviationofratesofreturnforanindividualriskyasset?•Whatismeantbythecovariancebetweenratesofreturnandhowdoyoucomputecovariance?Chapter7-AnIntroductiontoPortfolioManagement•Whatistherelationshipbetweencovarianceandcorrelation?•Whatistheformulaforthestandarddeviationforaportfolioofriskyassetsandhowdoesitdifferfromthestandarddeviationofanindividualriskyasset?•Giventheformulaforthestandarddeviationofaportfolio,howandwhydoyoudiversifyaportfolio?Chapter7-AnIntroductiontoPortfolioManagement•Whathappenstothestandarddeviationofaportfoliowhenyouchangethecorrelationbetweentheassetsintheportfolio?•Whatistherisk-returnefficientfrontier?•Isitreasonableforalternativeinvestorstoselectdifferentportfoliosfromtheportfoliosontheefficientfrontier?•Whatdetermineswhichportfolioontheefficientfrontierisselectedbyanindividualinvestor?BackgroundAssumptions•Asaninvestoryouwanttomaximizethereturnsforagivenlevelofrisk.•Yourportfolioincludesallofyourassetsandliabilities•Therelationshipbetweenthereturnsforassetsintheportfolioisimportant.•Agoodportfolioisnotsimplyacollectionofindividuallygoodinvestments.RiskAversionGivenachoicebetweentwoassetswithequalratesofreturn,mostinvestorswillselecttheassetwiththelowerlevelofrisk.EvidenceThatInvestorsareRiskAverse•Manyinvestorspurchaseinsurancefor:Life,Automobile,Health,andDisabilityIncome.Thepurchasertradesknowncostsforunknownriskofloss•YieldonbondsincreaseswithriskclassificationsfromAAAtoAAtoA….NotallinvestorsareriskaverseRiskpreferencemayhavetodowithamountofmoneyinvolved-riskingsmallamounts,butinsuringlargelossesDefinitionofRisk1.Uncertaintyoffutureoutcomesor2.ProbabilityofanadverseoutcomeMarkowitzPortfolioTheory•Quantifiesrisk•Derivestheexpectedrateofreturnforaportfolioofassetsandanexpectedriskmeasure•Showsthatthevarianceoftherateofreturnisameaningfulmeasureofportfoliorisk•Derivestheformulaforcomputingthevarianceofaportfolio,showinghowtoeffectivelydiversifyaportfolioAssumptionsofMarkowitzPortfolioTheory1.Investorsconsidereachinvestmentalternativeasbeingpresentedbyaprobabilitydistributionofexpectedreturnsoversomeholdingperiod.AssumptionsofMarkowitzPortfolioTheory2.Investorsminimizeone-periodexpectedutility,andtheirutilitycurvesdemonstratediminishingmarginalutilityofwealth.AssumptionsofMarkowitzPortfolioTheory3.Investorsestimatetheriskoftheportfolioonthebasisofthevariabilityofexpectedreturns.AssumptionsofMarkowitzPortfolioTheory4.Investorsbasedecisionssolelyonexpectedreturnandrisk,sotheirutilitycurvesareafunctionofexpectedreturnandtheexpectedvariance(orstandarddeviation)ofreturnsonly.AssumptionsofMarkowitzPortfolioTheory5.Foragivenrisklevel,investorspreferhigherreturnstolowerreturns.Similarly,foragivenlevelofexpectedreturns,investorspreferlessrisktomorerisk.MarkowitzPortfolioTheoryUsingthesefiveassumptions,asingleassetorportfolioofassetsisconsideredtobeefficientifnootherassetorportfolioofassetsoffershigherexpectedreturnwiththesame(orlower)risk,orlowerriskwiththesame(orhigher)expectedreturn.AlternativeMeasuresofRisk•Varianceorstandarddeviationofexpectedreturn•Rangeofreturns•Returnsbelowexpectations–Semivariance–ameasurethatonlyconsidersdeviationsbelowthemean–ThesemeasuresofriskimplicitlyassumethatinvestorswanttominimizethedamagefromreturnslessthansometargetrateExpectedRatesofReturn•Foranindividualasset-sumofthepotentialreturnsmultipliedwiththecorrespondingprobabilityofthereturns•Foraportfolioofassets-weightedaverageoftheexpectedratesofreturnfortheindividualinvestmentsintheportfolioComputationofExpectedReturnforanIndividualRiskyInvestment0.250.080.02000.250.100.02500.250.120.03000.250.140.0350E(R)=0.1100ExpectedReturn(Percent)ProbabilityPossibleRateofReturn(Percent)Exhibit7.1ComputationoftheExpectedReturnforaPortfolioofRiskyAssets0.200.100.02000.300.110.03300.300.120.03600.200.130.0260E(Rpori)=0.1150ExpectedPortfolioReturn(WiXRi)(PercentofPortfolio)ExpectedSecurityReturn(Ri)Weight(Wi)Exhibit7.2iassetforreturnofrateexpectedthe)E(RiassetinportfoliotheofpercenttheW:whereRW)E(Rii1iporniiiVariance(StandardDeviation)ofReturnsforanIndividualInvestmentStandarddeviationisthesquarerootofthevarianceVarianceisameasureofthevariationofpossibleratesofreturnRi,fromtheexpectedrateofreturn[E(Ri)]Variance(StandardDeviation)ofReturnsforanIndividualInvestmentni1i2ii2P)]E(R-R[)(VariancewherePiistheprobabilityofthepossiblerateofreturn,RiVariance(StandardDeviation)ofReturnsforanIndividualInvestmentni1i2iiP)]E(R-R[)(StandardDeviationVariance(Stan