《财务管理补.doc》由会员分享，可在线阅读，更多相关《财务管理补.doc（5页珍藏版）》请在taowenge.com淘文阁网|工程机械CAD图纸|机械工程制图|CAD装配图下载|SolidWorks_CaTia_CAD_UG_PROE_设计图分享下载上搜索。
1、【精品文档】如有侵权，请联系网站删除，仅供学习与交流1.2.3.4. 财务管理补.精品文档.5. 投资回报率6. 投资风险的衡量 期望收益率 标准差7. 风险价值8. 投资组合的风险Investment ReturnThe rate of return on an investment can be calculated as follows:(Amount received Amount invested)Return = _ Amount investedsweeeFor example, if $1,000 is invested and $1,100 is returned after
2、 one year, the rate of return for this investment is: ($1,100 - $1,000) / $1,000 = 10%.Investment Risk 投资风险1. Definition 定义Two types of investment risk:Stand-alone risk;Portfolio risk Investment risk is related to the probability of earning a low or negative actual return.The greater the chance of l
3、ower than expected or negative returns, the riskier the investment.2. Probability distributions 概率分布与期望收益率A listing of all possible outcomes, and the probability of each occurrence.Can be shown graphically.Expected Rate of ReturnRate ofReturn (%)100150-70Firm XFirm YSo,we can use this to calculate t
4、he expected return for each alternative.E.g.KA= 0.320%+0.4 15%+0.3 10%=15% KB= 0.3100%+0.4 15%+0.3 (-70%)=15%3. Standard deviation for each alternative 标准差Standard deviation (i) measures total, or stand-alone, risk.It shows the weighted average of deviation between all possible and expected value.So
5、 it can tell people the actual value may how much higher or lower than expected value.The larger i is, the lower the probability that actual returns will be closer to expected returns.Larger i is associated with a wider probability distribution of returns.Only if two companys return are same,we can
6、use this way to measure the risk.4. Coefficient of Variation (CV) 标准差率A standardized measure of dispersion about the expected value, that shows the risk per unit of return.We can also use CV to measure the risk,especially when two investments expected return are same.E.g项目投资C投资D期望收益0.080.24标准差0.060.
7、08标准差率0.750.33Value at Risk 风险价值Investors take risk to investment,so they ask for extra money which is beyond the time value.And the extra money is value at risk.Why ask more?Risk aversion风险反感 assumes investors dislike risk and require higher rates of return to encourage them to hold riskier securit
8、ies.Risk premium风险补偿 the difference between the return on a risky asset and less risky asset, which serves as compensation for investors to hold riskier securities.1. use CV VaR=bVVaR/return of risk compensation;b-risk fator;V-CVb is determined by previous data,attitude to risk.预期报酬率无风险报酬率风险报酬率 即：K=
9、KF+KR=KF + bVKF-risk-free returne.g.假设企业以往同类项目的投资收益为10%，收益的标准差率50%，无风险收益率为6%，承前例，试计算A公司的投资报酬率。解： 根据：K=KF + bV 有 10%=6%+50%b， b=8%，A公司的标准差率=3.87%15%=25.8%A公司的投资报酬率=6%+8%25.8% =8.064%2. use -Capital asset pricing model (CAPM)E(R)= Rf+ (RmRf). E(R)-is the expected return on the capital asset.Rf-is the risk-free rate of interest such as interest arising from government bonds.Rm-is the expected return of the market.-the beta,is the sensitivity of the expected excess asset returns to the expected excess market return.In this way,VaR=(RmRf).