Corporate Finance公司理财原配课件PPT 11 Return and Risk CAPM Model.pptVIP

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Corporate Finance公司理财原配课件PPT 11 Return and Risk CAPM Model.ppt

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Corporate Finance公司理财原配课件PPT 11 Return and Risk CAPM Model

Return and Risk: The Capital Asset Pricing Model (CAPM) Key Concepts and Skills Know how to calculate expected returns Know how to calculate covariances, correlations, and betas Understand the impact of diversification Understand the systematic risk principle Understand the security market line Understand the risk-return tradeoff Be able to use the Capital Asset Pricing Model Chapter Outline 11.1 Individual Securities 11.2 Expected Return, Variance, and Covariance 11.3 The Return and Risk for Portfolios 11.4 The Efficient Set 11.5 Riskless Borrowing and Lending 11.6 Announcements, Surprises, and Expected Return 11.7 Risk: Systematic and Unsystematic 11.8 Diversification and Portfolio Risk 11.9 Market Equilibrium 11.10 Relationship between Risk and Expected Return (CAPM) 11.1 Individual Securities The characteristics of individual securities that are of interest are the: Expected Return Variance and Standard Deviation Covariance and Correlation (to another security or index) Expected Return, Variance, and Covariance Consider the following two risky asset world. There is a 1/3 chance of each state of the economy, and the only assets are a stock fund and a bond fund. Expected Return Expected Return Variance Variance Standard Deviation Covariance Correlation 11.3 The Return and Risk for Portfolios Portfolios Portfolios Portfolios Portfolios 11.4 The Efficient Set The Efficient Set Portfolios with Various Correlations Relationship depends on correlation coefficient -1.0 r +1.0 If r = +1.0, no risk reduction is possible If r = –1.0, complete risk reduction is possible The Efficient Set for Many Securities Consider a world with many risky assets; we can still identify the opportunity set of risk-return combinations of various portfolios. The Efficient Set for Many Securities The section of the opportunity set above the minimum variance portfolio is the efficient frontier. Optimal Portfolio with a Risk-Free Asset In addition to stocks and bonds, consider a world