主要內(nèi)容Topics

Covered概述Introduction風(fēng)險(xiǎn)轉(zhuǎn)移的三種方法跨期保值Hedging保險(xiǎn)Insuring分散投資

Diversification資產(chǎn)組合Portfolio

Selection風(fēng)險(xiǎn)與收益Risk-ReturnIntroduction風(fēng)險(xiǎn)與不確定性

Risk

v.Uncertainty:基本假設(shè)A

Fundamental

Assumption

in

Finance:投資者是風(fēng)險(xiǎn)回避的Peoples

are

Risk

AversionEg.InsuranceBut:

Gambling;

LotteryGambling

v.

Speculation防止風(fēng)險(xiǎn)有多種方法：如回避；風(fēng)險(xiǎn)留存等。金融主要研究風(fēng)險(xiǎn)轉(zhuǎn)嫁：Risk

Transfer風(fēng)險(xiǎn)轉(zhuǎn)嫁有三種類型：套期保值Hedging:

避免風(fēng)險(xiǎn)，但放棄了潛在收益。One

is

said

to

hedge

arisk

when

the

action

taken

toreduce

one’s

exposure

to

a

loss

also

causes

one

togiveup

of

the

possibility

ofagain.保險(xiǎn)Insuring:保留潛在收益，但支付訂金。區(qū)別：3.分散投資Diversifying:Holding

similaramounts

of

many

risky

assets

instead

ofconcentrating

all

of

your

investment

in

onlyone.風(fēng)險(xiǎn)與收益的關(guān)系：The

Value

of

an

Investment

of

$1

in1926Source:

Ibbotson

Associates1

2IndexYear

End.3839.0714.25Logscale101000S&PSmall

CapCorp

BondsLong

BondT

Bill0.11925

1933

1941

1949

1957

1965

1973

1981

1989

1997Source:

Ibbotson

AssociatesThe

Value

of

an

Investment

of

$1

in1926IndexYear

End16132036.154.341.58Real

returnsRates

of

Return

1926-1997Source:

Ibbotson

Associates60

26-406040200-20Common

StocksLong

T-BondsT-Bills30

35

40

45

50

55

60

65

70

75

80

85

90

95YearPercentage

ReturnH.Makowitz,1952Return:預(yù)期收益、Expected

ReturnCase

1:賣電扇HotAverageCoolreturn40%10%0%probability25%50%25%Expected

return=40%x0.25+10%x0.5+0%x0.25=15%nE(r)

ri

P(i)i1Case

2:賣冰激凌HotAverageCoolreturn35%10%5%probability25%50%25%Expected

Return=35%x0.25+10x0.50+5%x0.25=15%Q:選擇何種項(xiàng)目?Risk!Measuring

Risk方差Variance

-

Average

value

of

squared

deviationsfrom

mean. A

measure

of

volatility.ni1iiP2(r

E(r))2

Measuring

Risk標(biāo)準(zhǔn)差Standard

Deviation

-

Average

value

ofsquared

deviations

from

mean. A

measure

ofvolatility.

2

Measuring

Risk

0.0225

2

Fans

2icecream

0.01375 0.0225

0.15

fans0.01372

0.117

icecreame

Portfolio

Theory“雞蛋放在一只籃子里。”“

Don't

put

all

of

your

eggs

in

one

basket”Why?returnXCompanyY

CompanyBoom

(0.5)15%5%Recession(0.5)5%15%E(r)10%10%Measuring

Risk分散化Diversification

-

Strategy

designed

to

reducerisk

by

spreading

the

portfolio

across

manyinvestments.(Diversification

works

because

price

of

different

stocksdo

not

move

exactly

together.)特殊風(fēng)險(xiǎn)Unique

Risk

-Risk

factors

affecting

only

thatfirm. Also

called

“

diversifiable

risk.”市場(chǎng)風(fēng)險(xiǎn)Market

Risk

-

Economy-wide

sources

ofriskthat

affect

the

overall

stock

market. Also

called“

systematic

risk.”Measuring

Risk05

10Number

of

Securities15Portfolio

standard

deviationMeasuring

Risk05

10Number

of

Securities15Portfolio

standard

deviationMarket

riskUniqueriskBeta

and

Unique

RiskBeta

-

Sensitivity

of

a

stock’s

return

t