投资学,9e,精要版,48772,48760,英文PPT Chap004.ppt 34页

CHAPTER4RiskAversionandCapitalAllocationtoRiskyAssets 6-2AllocationtoRiskyAssetsInvestorswillavoidriskunlessthereisareward.Theutilitymodelgivestheoptimalallocationbetweenariskyportfolioandarisk-freeasset. 6-3RiskandRiskAversionSpeculationTakingconsiderableriskforacommensurategainPartieshaveheterogeneousexpectations 6-4RiskandRiskAversionGambleBetorwageronanuncertainoutcomeforenjoymentPartiesassignthesameprobabilitiestothepossibleoutcomes 6-5RiskAversionandUtilityValuesInvestorsarewillingtoconsider:risk-freeassetsspeculativepositionswithpositiveriskpremiumsPortfolioattractivenessincreaseswithexpectedreturnanddecreaseswithrisk.Whathappenswhenreturnincreaseswithrisk? 6-6Table4.1AvailableRiskyPortfolios(Risk-freeRate=5%)Eachportfolioreceivesautilityscoretoassesstheinvestor’srisk/returntradeoff 6-7UtilityFunctionU=utilityE(r)=expectedreturnontheassetorportfolioA=coefficientofriskaversions2=varianceofreturns½=ascalingfactor 6-8Table4.2UtilityScoresofAlternativePortfoliosforInvestorswithVaryingDegreeofRiskAversion 6-9Mean-Variance(M-V)CriterionPortfolioAdominatesportfolioBif:And 6-10EstimatingRiskAversionUsequestionnairesObserveindividuals’decisionswhenconfrontedwithriskObservehowmuchpeoplearewillingtopaytoavoidrisk 6-11CapitalAllocationAcrossRiskyandRisk-FreePortfoliosAssetAllocation:Isaveryimportantpartofportfolioconstruction.Referstothechoiceamongbroadassetclasses.ControllingRisk:Simplestway:Manipulatethefractionoftheportfolioinvestedinrisk-freeassetsversustheportioninvestedintheriskyassets 6-12BasicAssetAllocationTotalMarketValue$300,000Risk-freemoneymarketfund$90,000Equities$113,400Bonds(long-term)$96,600Totalriskassets$210,000 6-13BasicAssetAllocationLety=weightoftheriskyportfolio,P,inthecompleteportfolio;(1-y)=weightofrisk-freeassets: 6-14TheRisk-FreeAssetOnlythegovernmentcanissuedefault-freebonds.Risk-freeinrealtermsonlyifpriceindexedandmaturityequaltoinvestor’sholdingperiod.T-billsviewedas“the”risk-freeassetMoneymarketfundsalsoconsideredrisk-freeinpractice 6-15Figure4.3SpreadBetween3-MonthCDandT-billRates 6-16It’spossibletocreateacompleteportfoliobysplittinginvestmentfundsbetweensafeandriskyassets.Lety=portionallocatedtotheriskyportfolio,P(1-y)=portiontobeinvestedinrisk-freeasset,F.PortfoliosofOneRiskyAssetandaRisk-FreeAsset 6-17rf=7%rf=0%E(rp)=15%p=22%y=%inp(1-y)=%inrfExampleUsingChapter4.4Numbers 6-18Example(Ctd.)Theexpectedreturnonthecompleteportfolioistherisk-freerateplustheweightofPtimestheriskpremiumofP 6-19Example(Ctd.)TheriskofthecompleteportfolioistheweightofPtimestheriskofP: 6-20Example(Ctd.)Rearrangeandsubstitutey=sC/sP: 6-21Figure4.4TheInvestmentOpportunitySet 6-22Lendatrf=7%andborrowatrf=9%Lendingrangeslope=8/22=0.36Borrowingrangeslope=6/22=0.27CALkinksatPCapitalAllocationLinewithLeverage 6-23Figure4.5TheOpportunitySetwithDifferentialBorrowingandLendingRates 6-24RiskToleranceandAssetAllocationTheinvestormustchooseoneoptimalportfolio,C,fromthesetoffeasiblechoicesExpectedreturnofthecompleteportfolio:Variance: 6-25Table4.4UtilityLevelsforVariousPositionsinRiskyAssets(y)foranInvestorwithRiskAversionA=4 6-26Figure4.6UtilityasaFunctionofAllocationtotheRiskyAsset,y 6-27Table4.5SpreadsheetCalculationsofIndifferenceCurves 6-28Figure4.7IndifferenceCurvesforU=.05andU=.09withA=2andA=4 6-29Figure4.8FindingtheOptimalCompletePortfolioUsingIndifferenceCurves 6-30Table4.6ExpectedReturnsonFourIndifferenceCurvesandtheCAL 6-31PassiveStrategies:TheCapitalMarketLineThepassivestrategyavoidsanydirectorindirectsecurityanalysisSupplyanddemandforcesmaymakesuchastrategyareasonablechoiceformanyinvestors 6-32PassiveStrategies:TheCapitalMarketLineAnaturalcandidateforapassivelyheldriskyassetwouldbeawell-diversifiedportfolioofcommonstockssuchastheS&P500.Thecapitalmarketline(CML)isthecapitalallocationlineformedfrom1-monthT-billsandabroadindexofcommonstocks(e.g.theS&P500). 6-33PassiveStrategies:TheCapitalMarketLineTheCMLisgivenbyastrategythatinvolvesinvestmentintwopassiveportfolios:virtuallyrisk-freeshort-termT-bills(oramoneymarketfund)afundofcommonstocksthatmimicsabroadmarketindex. 6-34PassiveStrategies:TheCapitalMarketLineFrom1926to2009,thepassiveriskyportfolioofferedanaverageriskpremiumof7.9%withastandarddeviationof20.8%,resultinginareward-to-volatilityratioof.38.