风险管理-Chapter01-导学

Chapter1:导学1主讲人：郭战琴[e-mail]投资人的风险与回报的关系例：假设你把10万美金进行投资，投资期限一年，一种可能是投入到收益率为5%的国债，另一种可能是全部投资于某只股票，该股票的可能回报如表：2ProbabilityReturn0.05+50%0.25+30%0.40+10%0.25–10%0.05–30%期望回报为10%标准差为18.97%投资人的风险与回报的关系风险与（预期）回报之间的关系？预期回报与实际回报风险有什么特征？风险如何衡量3风险的特征未来结果的不确定性；未来结果的损益性；风险事故发生及风险因素变化的可能性；风险的发生具有一定程度的扩散性。风险的衡量单个证券的风险两个证券构成的风险资产组合的风险多个证券构成的资产组合引入无风险资产：两基金分离定理充分分散投资组合中单个证券的风险51，单个证券的期望回报、方差和协方差Considerthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomy,andtheonlyassetsareastockfundandabondfund.RateofReturnScenarioProbabilityStockFundBondFundRecession33.3%-7%17%Normal33.3%12%7%Boom33.3%28%-3%ExpectedReturnStockFundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%0.032417%0.0100Normal12%0.00017%0.0000Boom28%0.0289-3%0.0100Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%StockFundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%0.032417%0.0100Normal12%0.00017%0.0000Boom28%0.0289-3%0.0100Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%ExpectedReturn%11)(%)28(31%)12(31%)7(31)(SSrErEStockFundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%0.032417%0.0100Normal12%0.00017%0.0000Boom28%0.0289-3%0.0100Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%Variance0324.%)11%7(2StockFundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%0.032417%0.0100Normal12%0.00017%0.0000Boom28%0.0289-3%0.0100Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%Variance)0289.0001.0324(.310205.StockFundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%0.032417%0.0100Normal12%0.00017%0.0000Boom28%0.0289-3%0.0100Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%StandardDeviation0205.0%3.14CovarianceStockBondScenarioDeviationDeviationProductWeightedRecession-18%10%-0.0180-0.0060Normal1%0%0.00000.0000Boom17%-10%-0.0170-0.0057Sum-0.0117Covariance-0.0117Deviationcomparesreturnineachstatetotheexpectedreturn.Weightedtakestheproductofthedeviationsmultipliedbytheprobabilityofthatstate.Correlation998.0)082)(.143(.0117.),(babaCovStockFundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%0.032417%0.0100Normal12%0.00017%0.0000Boom28%0.0289-3%0.0100Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%2，TheReturnandRiskforPortfolios（组合的风险和回报）Notethatstockshaveahigherexpectedreturnthanbondsandhigherrisk.Letusturnnowtotherisk-returntradeoffofaportfoliothatis50%investedinbondsand50%investedinstocks.PortfoliosRateofReturnScenarioStockfundBondfundPortfoliosquareddeviationRecession-7%17%5.0%0.0016Normal12%7%9.5%0.0000Boom28%-3%12.5%0.0012Expectedreturn11.00%7.00%9.0%Variance0.02050.00670.0010StandardDeviation14.31%8.16%3.08%Therateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:SSBBPrwrwr%)17(%50%)7(%50%5RateofReturnScenarioStockfundBondfundPortfoliosquareddeviationRecession-7%17%5.0%0.0016Normal12%7%9.5%0.0000Boom28%-3%12.5%0.0012Expectedreturn11.00%7.00%9.0%Variance0.02050.00670.0010StandardDeviation14.31%8.16%3.08%PortfoliosTheexpectedrateofreturnontheportfolioisaweightedaverageoftheexpectedreturnsonthesecuritiesintheportfolio.%)7(%50%)11(%50%9)()()(SSBBPrEwrEwrERateofReturnScenarioStockfundBondfundPortfoliosquareddeviationRecession-7%17%5.0%0.0016Normal12%7%9.5%0.0000Boom28%-3%12.5%0.0012Expectedreturn11.00%7.00%9.0%Variance0.02050.00670.0010StandardDeviation14.31%8.16%3.08%PortfoliosThevarianceoftherateofreturnonthetworiskyassetsportfolioisBSSSBB2SS2BB2P)ρσ)(wσ2(w)σ(w)σ(wσwhereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.RateofReturnScenarioStockfundBondfundPortfoliosquareddeviationRecession-7%17%5.0%0.0016Normal12%7%9.5%0.0000Boom28%-3%12.5%0.0012Expectedreturn11.00%7.00%9.0%Variance0.02050.00670.0010StandardDeviation14.31%8.16%3.08%PortfoliosObservethedecreaseinriskthatdiversificationoffers.Anequallyweightedportfolio(50%instocksand50%inbonds)haslessriskthaneitherstocksorbondsheldinisolation.PortfoloRiskandReturnCombinations5.0%6.0%7.0%8.0%9.0%10.0%11.0%12.0%0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0%16.0%PortfolioRisk(standarddeviation)PortfolioReturn%instocksRiskReturn0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50.00%3.08%9.00%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0%两个风险资产的有效集Wecanconsiderotherportfolioweightsbesides50%instocksand50%inbonds…100%bonds100%stocksPortfoloRiskandReturnCombinations5.0%6.0%7.0%8.0%9.0%10.0%11.0%12.0%0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0%16.0%PortfolioRisk(standarddeviation)PortfolioReturn%instocksRiskReturn0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%