Chapter 6 風險、報酬與投資組合

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Chapter 6 風險、報酬與投資組合. 學習重點. 理解各種報酬率之計算及功能組合暨機會成本的評估探討風險溢酬之概念及分析報酬變異數、標準差及其風險組成因子分析多角化經營對公司風險及報酬的影響介紹投資組合風險衡量方式探討效率投資組合並尋找最佳投資集合定義 β 值並運用資本資產定價模型計算資金機會成本. 總報酬率. 投資股票或債券的報酬主要來自於兩個部分：股票股利或債券利息 股利收益率 (Dividend Yield) 資本利得或資本損失 資本利得率 (Capital Gain Rate) 總報酬率 = 資本利得率 + 股利收益率： - PowerPoint PPT Presentation

Transcript of Chapter 6 風險、報酬與投資組合

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*Chapter 6
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(Dividend Yield)(Capital Gain Rate)=+

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TEg.33%18%-10%13 (1+0.33)(1+0.18)(1-0.10)1.41 41%3*
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(Risk-Free Return) (Excess Return)(Risk Premium) + *
19262004

8.45%(12.32%3.87%) CRSP and Global Financial Data*

12.32%8.45%20.36%6.52%2.65%7.17%3.87%3.18%3.20%4.50%
E.g.5%8.45% 5%8.45%13.45% *
(Variance)(Standard Deviation)

Var SD

T

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1999-2003

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199920002001200220032.5%20.7%32.5%8.6%14.3%
(Diversification) 200120088

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23.5%29.6%27.5%32.9%30.4%25.2%65.6%65.7%41.7%
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(Unsystematic, Unique, Firm-Specific Risk)(Systematic, Market Risk)*
(Covariance)(Correlation Coefficient)

tA A *
0 0 +1-1 > 0< 0= 0 *
AB()

AB *

-10%-20%(=-10%-10%)10%5.67%(=10%-4.33%)-1.134%10%0%8%3.67%0%30%20%-5%-9.33%-1.866%10%4.33%-3%
AB

A A

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AB25%75%0.20.081AB-0.617

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AB

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A26%50%B6%25%

(100%0%)26%50%(80%20%)22%40.3%(60%40%)18%31.6%(40%60%)14%25%(20%80%)10%22.3%(0%100%)6%25%
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MV MV

AB(Opportunity Set) AMV

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BMV

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(0, 1)(0.4, 0.6)(0.4, 0.6)14%B6% MVA(Efficient Frontier)(Efficient Set)MVB *
MVA *
(The Optimal Portfolio)

T0%0 *

A40%20%30%T60%6%0%
A1,0006%200AA1,200Y

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YZ3Z4Z *
III

II

I() *
IZ Z(Market Portfolio) (CML) *
K

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K15%30%15%20%-5%-10%-5%-20%
K

20%[=15%-(-5%)]K40%[=25%-(-15%)]K2(=40%/20%)

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K15%25%=(30%+20%)/2-5%-15%=(-10%-20%)/2
K K

K(Characteristic Line) 2K K2 *
i 1 *
(R ) ( )

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(Capital Asset Pricing ModelCAPM) (1) (2) 0( ) 1

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CAPM(SML)

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(SML)(CML)XX SML(Efficient Portfolio)CMLE.g.A1.2B0.86%9%AB *
CAPM CAPM

E.g.A1.2B0.86%9%AB

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CAPM

AA0.550%50%SMLAASML 50%150%BB *
CAPM CAPME.g.(IRR)16%6%9%0.9

IRR > 14.1% *