riskandratesofreturn(英文版)(編輯修改稿)
2025-01-28 11:37 本頁面
【文章內(nèi)容簡介】 m ? . ?? ? 35% for an average stock. ?Combining stocks generally lowers risk. 6 24 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. Returns Distribution for Two Perfectly Negatively Correlated Stocks (r = ) and for Portfolio WM 25 15 0 10 10 10 0 0 15 15 25 25 Stock W Stock M Portfolio WM . . . . . . . . . . . . . . . 6 25 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. Returns Distributions for Two Perfectly Positively Correlated Stocks (r = +) and for Portfolio MM’ Stock M 0 15 25 10 Stock M’ 0 15 25 10 Portfolio MM’ 0 15 25 10 6 26 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. What would happen to the riskiness of an average 1stock portfolio as more randomly selected stocks were added? ??p would decrease because the added stocks would not be perfectly correlated but kp would remain relatively constant. ^ 6 27 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. Large 0 15 Prob. 2 1 Even with large N, ?p ? 20% 6 28 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. Stocks in Portfolio 10 20 30 40 2,000+ Company Specific Risk Market Risk 20 0 StandAlone Risk, ?p ?p (%) 35 6 29 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?As more stocks are added, each new stock has a smaller riskreducing impact. ??p falls very slowly after about 10 stocks are included, and after 40 stocks, there is little, if any, effect. The lower limit for ?p is about 20% = ?M . 6 30 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. Standalone Market Firmspecific Market risk is that part of a security’s standalone risk that cannot be eliminated by diversification, and is measured by beta. Firmspecific risk is that part of a security’s standalone risk that can be eliminated by proper diversification. risk risk risk = + 6 31 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?By forming portfolios, we can eliminate about half the riskiness of individual stocks (35% vs. 20%). 6 32 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. If you chose to hold a onestock portfolio and thus are exposed to more risk than diversified investors, would you be pensated for all the risk you bear? 6 33 Copyright 169。 2023 by Harcourt, Inc. All rights reserved. ?NO! ?Standalone risk as measured by a stock’s ? or CV is not important to a welldiversified investor. ?Rational, risk averse investors are concerned with ?p , which is based on market risk. 6 34 Copyright 169。 2023 by Harcourt, Inc. All rights reserved.
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