證券博迪chppt課件(2)(完整版)
【正文】 ion Risk is irrelevant to the riskneutral investor Increasing Utility 119 Indifference Curves(risk lover) Expected Return Standard Deviation Increasing Utility 120 Review of Portfolio Mathematics Normal year for sugar Abnormal year Bullish stock market Bearish stock market Sugar crisis probability Rate of return 25% 10% 25% Best Candy stock: 121 Review of Portfolio Mathematics Rule 1 : The expected return for an asset is the probability weighted average return in all scenarios. ??ssrsPrE )()()(122 Variance of Return Rule 2: The variance of an asset’s return is the expected value of the squared deviations from the expected return. ? ?])()()[()()([ 222 ? ????srEsrsPrEsrE?123 Return on a Portfolio Rule 3: The expected rate of return on a portfolio is a weighted average of the expected rates of return of each asset prising the portfolio, with the portfolio proportions as weights. wi = Proportion of funds in Security i ri = Expected return on Security i 1111nnp i i i iiiniiE r E w r w E rw????????（ ） ＝ （ ）其 中124 Portfolio Risk with RiskFree Asset Rule 4: When a risky asset is bined with a riskfree asset, the portfolio standard deviation equals the risky asset’s standard deviation multiplied by the portfolio proportion invested in the risky asset. ?? r i s k y a s s e tr i s k y a s s e tp w ??125 SugarKane stock
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