企业金融 Chapter13 Return, Risk, and the Security Market Line 英文版课件.ppt

Return,Risk,andtheSecurityMarketLine13KeyConceptsandSkillsKnowhowtocalculateexpectedreturnsandstandarddeviationsforindividualsecuritiesandportfoliosUnderstandtheprincipleofdiversificationandtheroleofcorrelationUnderstandsystematicandunsystematicriskUnderstandbetaasameasureofriskandthesecuritymarketline2ChapterOutlineExpectedReturnsandVariancesPortfoliosAnnouncements,Surprises,andExpectedReturnsRisk:,“expected”meansaverageiftheprocessisrepeatedmanytimesThe“expected”returndoesnotevenhavetobeapossiblereturnLO14ExpectedReturns–?State Probability C TBoom ??? =.3(.15)+.5(.10)+.2(.02)=.099=%RT=.3(.25)+.5(.20)+.2(.01)=.177=%LO15VarianceandStandardDeviationVarianceandstandarddeviationstillmeasurethevolatilityofreturnsYoucanuseunequalprobabilitiesfortheentirerangeofpossibilitiesWeightedaverageofsquareddeviationsLO16VarianceandStandardDeviation–?StockC2=.3(.15-.099)2+.5(.1-.099)2+.2(.02-.099)2=.002029=.045StockT2=.3(.25-.177)2+.5(.2-.177)2+.2(.01-.177)2=.007441=.0863LO17QuickQuizIConsiderthefollowinginformation:State Probability ABC, .25 .15Normal .50 .08Slowdown .15 .04Recession .10 -.03Whatistheexpectedreturn?Whatisthevariance?Whatisthestandarddeviation?’sriskandreturnisimportantinhowitaffectstheriskandreturnoftheportfolioTherisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassetsLO19Example:PortfolioWeightsSupposeyouhave$15,