le01TheInvestmentSetting(资产定价-上海交大,蔡明超).pptx
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1、Lec 1The Investment Setting 为了弥补50%的退步,我们往往需要付出100%的努力-股票市场启示录1The Investment Settinga)explain the concept of required rate of return and discuss the components of it.b)differentiate between the real and the nominal risk-free rate of return c)explain the risk premium and the associated fundamental s
2、ources of risk;d)define the security market line and discuss the factors that cause movements along,changes in the slope of,and shifts of the security market line.2Why Do Individuals Invest?By saving money(instead of spending it),individuals tradeoff present consumption for a larger future consumpti
3、on.3LOS a:concept of required rate of return and components of an investors required rate of return.The real risk free rate of interest:The real risk free rate of interest is determined by the supply and demand for funds in the economy.The inflation premium is an adjustment to the real risk free rat
4、e to compensate investors for expected changes in the price indexes and money market conditions being tightened or eased due to inflationary expectations.The risk premium is what investors demand for the uncertainty associated with an investment.4How Do We Measure The Rate Of Return On An Investment
5、?The pure rate of interest is the exchange rate between future consumption and present consumption.Market forces determine this rate.5Peoples willingness to pay the difference for borrowing today and their desire to receive a surplus on their savings give rise to an interest rate referred to as the
6、pure time value of money.How Do We Measure The Rate Of Return On An Investment?6If the future payment will be diminished in value because of inflation,then the investor will demand an interest rate higher than the pure time value of money to also cover the expected inflation expense.How Do We Measur
7、e The Rate Of Return On An Investment?7If the future payment from the investment is not certain,the investor will demand an interest rate that exceeds the pure time value of money plus the inflation rate to provide a risk premium to cover the investment risk.How Do We Measure The Rate Of Return On A
8、n Investment?8Measures of Historical Rates of ReturnHolding Period ReturnHolding Period YieldHPY=HPR-11.10-1=0.10=10%9Annual Holding Period ReturnAnnual HPR=HPR 1/nwhere n=number of years investment is heldAnnual Holding Period YieldAnnual HPY=Annual HPR-1Measures of Historical Rates of Return10Meas
9、ures of Historical Rates of ReturnArithmetic Mean1.411Measures of Historical Rates of ReturnGeometric Mean1.512A Portfolio of InvestmentsThe mean historical rate of return for a portfolio of investments is measured as the weighted average of the HPYs for the individual investments in the portfolio.1
10、3Computation of HoldingPeriod Yield for a Portfoliotab 1.114Expected Rates of ReturnRisk is uncertainty that an investment will earn its expected rate of returnProbability is the likelihood of an outcome15Expected Rates of Return1.616Risk AversionThe assumption that most investors will choose the le
11、ast risky alternative,all else being equal and that they will not accept additional risk unless they are compensated in the form of higher return 17 Probability DistributionsRisk-free InvestmentExhibit 1.118 Probability DistributionsRisky Investment with 3 Possible ReturnsExhibit 1.219 Probability D
12、istributionsRisky investment with ten possible rates of returnExhibit 1.320Measuring the Risk of Expected Rates of Return1.721Measuring the Risk of Expected Rates of ReturnStandard Deviation is the square root of the variance1.822Measuring the Risk of Expected Rates of ReturnCoefficient of variation
13、(CV)a measure of relative variability that indicates risk per unit of return Standard Deviation of ReturnsExpected Rate of Returns1.923Measuring the Risk of Historical Rates of Returnvariance of the seriesholding period yield during period Iexpected value of the HPY that is equal to the arithmetic m
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