Chap006-Risk-Aversion-and-Capital-Allocation-to-Risky-Assets-《投资学》-第九版-英文教学ppt课件 .ppt

《Chap006-Risk-Aversion-and-Capital-Allocation-to-Risky-Assets-《投资学》-第九版-英文教学ppt课件 .ppt》由会员分享，可在线阅读，更多相关《Chap006-Risk-Aversion-and-Capital-Allocation-to-Risky-Assets-《投资学》-第九版-英文教学ppt课件 .ppt（34页珍藏版）》请在得力文库 - 分享文档赚钱的网站上搜索。

1、INVESTMENTS|BODIE,KANE,MARCUSCopyright 2011 by The McGraw-Hill Companies,Inc.All rights reserved.McGraw-Hill/IrwinCHAPTER 6Risk Aversion and Capital Allocation to Risky AssetsINVESTMENTS|BODIE,KANE,MARCUSAllocation to Risky AssetsInvestors will avoid risk unless there is a reward.The utility model g

2、ives the optimal allocation between a risky portfolio and a risk-free asset.6-2INVESTMENTS|BODIE,KANE,MARCUSRisk and Risk AversionSpeculationTaking considerable risk for a commensurate gainParties have heterogeneous expectations6-3INVESTMENTS|BODIE,KANE,MARCUSRisk and Risk AversionGamble Bet or wage

3、r on an uncertain outcome for enjoymentParties assign the same probabilities to the possible outcomes6-4INVESTMENTS|BODIE,KANE,MARCUSRisk Aversion and Utility ValuesInvestors are willing to consider:risk-free assetsspeculative positions with positive risk premiumsPortfolio attractiveness increases w

4、ith expected return and decreases with risk.What happens when return increases with risk?6-5INVESTMENTS|BODIE,KANE,MARCUSTable 6.1 Available Risky Portfolios(Risk-free Rate=5%)Each portfolio receives a utility score to assess the investors risk/return trade off6-6INVESTMENTS|BODIE,KANE,MARCUSUtility

5、 FunctionU=utilityE(r)=expected return on the asset or portfolioA=coefficient of risk aversions2=variance of returns=a scaling factor 6-7INVESTMENTS|BODIE,KANE,MARCUSTable 6.2 Utility Scores of Alternative Portfolios for Investors with Varying Degree of Risk Aversion6-8INVESTMENTS|BODIE,KANE,MARCUSM

6、ean-Variance(M-V)CriterionPortfolio A dominates portfolio B if:And6-9INVESTMENTS|BODIE,KANE,MARCUSEstimating Risk AversionUse questionnairesObserve individuals decisions when confronted with riskObserve how much people are willing to pay to avoid risk6-10INVESTMENTS|BODIE,KANE,MARCUSCapital Allocati

7、on Across Risky and Risk-Free Portfolios Asset Allocation:Is a very important part of portfolio construction.Refers to the choice among broad asset classes.Controlling Risk:Simplest way:Manipulate the fraction of the portfolio invested in risk-free assets versus the portion invested in the risky ass

8、ets6-11INVESTMENTS|BODIE,KANE,MARCUSBasic Asset AllocationTotal Market Value$300,000Risk-free money market fund$90,000Equities$113,400Bonds(long-term)$96,600Total risk assets$210,0006-12INVESTMENTS|BODIE,KANE,MARCUSBasic Asset AllocationLet y=weight of the risky portfolio,P,in the complete portfolio

9、;(1-y)=weight of risk-free assets:6-13INVESTMENTS|BODIE,KANE,MARCUSThe Risk-Free AssetOnly the government can issue default-free bonds.Risk-free in real terms only if price indexed and maturity equal to investors holding period.T-bills viewed as“the”risk-free assetMoney market funds also considered

10、risk-free in practice6-14INVESTMENTS|BODIE,KANE,MARCUSFigure 6.3 Spread Between 3-Month CD and T-bill Rates 6-15INVESTMENTS|BODIE,KANE,MARCUSIts possible to create a complete portfolio by splitting investment funds between safe and risky assets.Let y=portion allocated to the risky portfolio,P(1-y)=p

11、ortion to be invested in risk-free asset,F.Portfolios of One Risky Asset and a Risk-Free Asset6-16INVESTMENTS|BODIE,KANE,MARCUSrf=7%rf=0%E(rp)=15%p=22%y=%in p(1-y)=%in rfExample Using Chapter 6.4 Numbers6-17INVESTMENTS|BODIE,KANE,MARCUSExample(Ctd.)The expected return on the complete portfolio is th

12、e risk-free rate plus the weight of P times the risk premium of P6-18INVESTMENTS|BODIE,KANE,MARCUSExample(Ctd.)The risk of the complete portfolio is the weight of P times the risk of P:6-19INVESTMENTS|BODIE,KANE,MARCUSExample(Ctd.)Rearrange and substitute y=sC/sP:6-20INVESTMENTS|BODIE,KANE,MARCUSFig

13、ure 6.4 The Investment Opportunity Set 6-21INVESTMENTS|BODIE,KANE,MARCUSLend at rf=7%and borrow at rf=9%Lending range slope=8/22=0.36Borrowing range slope=6/22=0.27CAL kinks at PCapital Allocation Line with Leverage6-22INVESTMENTS|BODIE,KANE,MARCUSFigure 6.5 The Opportunity Set with Differential Bor

14、rowing and Lending Rates6-23INVESTMENTS|BODIE,KANE,MARCUSRisk Tolerance and Asset AllocationThe investor must choose one optimal portfolio,C,from the set of feasible choicesExpected return of the complete portfolio:Variance:6-24INVESTMENTS|BODIE,KANE,MARCUSTable 6.4 Utility Levels for Various Positi

15、ons in Risky Assets(y)for an Investor with Risk Aversion A=46-25INVESTMENTS|BODIE,KANE,MARCUSFigure 6.6 Utility as a Function of Allocation to the Risky Asset,y6-26INVESTMENTS|BODIE,KANE,MARCUSTable 6.5 Spreadsheet Calculations of Indifference Curves6-27INVESTMENTS|BODIE,KANE,MARCUSFigure 6.7 Indiff

16、erence Curves for U=.05 and U=.09 with A=2 and A=4 6-28INVESTMENTS|BODIE,KANE,MARCUSFigure 6.8 Finding the Optimal Complete Portfolio Using Indifference Curves 6-29INVESTMENTS|BODIE,KANE,MARCUSTable 6.6 Expected Returns on Four Indifference Curves and the CAL6-30INVESTMENTS|BODIE,KANE,MARCUSPassive

17、Strategies:The Capital Market LineThe passive strategy avoids any direct or indirect security analysisSupply and demand forces may make such a strategy a reasonable choice for many investors6-31INVESTMENTS|BODIE,KANE,MARCUSPassive Strategies:The Capital Market LineA natural candidate for a passively

18、 held risky asset would be a well-diversified portfolio of common stocks such as the S&P 500.The capital market line(CML)is the capital allocation line formed from 1-month T-bills and a broad index of common stocks(e.g.the S&P 500).6-32INVESTMENTS|BODIE,KANE,MARCUSPassive Strategies:The Capital Mark

19、et LineThe CML is given by a strategy that involves investment in two passive portfolios:1.virtually risk-free short-term T-bills(or a money market fund)2.a fund of common stocks that mimics a broad market index.6-33INVESTMENTS|BODIE,KANE,MARCUSPassive Strategies:The Capital Market LineFrom 1926 to 2009,the passive risky portfolio offered an average risk premium of 7.9%with a standard deviation of 20.8%,resulting in a reward-to-volatility ratio of.38.6-34