Chapter5GlossaryDefiningReturnReturnExampleReturnExampleDefiningRisk大家有疑问的，可以询问和交流Discretevs.ContinuousDistributions连续分布DeterminingExpectedReturn(ContinuousDist.)ContinuousDistributionProblemCertaintyEquivalent(CE)资本回收保证量istheamountofcashsomeonewouldrequirewithcertaintyatapointintimetomaketheindividualindifferentbetweenthatcertainamountandanamountexpectedtobereceivedwithriskatthesamepointintime.Certaintyequivalent>ExpectedvalueRiskPreference风险偏好Certaintyequivalent=ExpectedvalueRiskIndifference风险中立Certaintyequivalent<ExpectedvalueRiskAversion风险规避MostindividualsareRiskAverse.WhataretheRiskAttitudetendenciesofeach?DeterminingPortfolioExpectedReturnDeterminingPortfolioStandardDeviationDeterminingPortfolioStandardDeviationCombiningsecuritiesthatarenotperfectly,positivelycorrelatedreducesrisk.CAPMisamodelthatdescribestherelationshipbetweenriskandexpected(required)return;inthismodel,asecurity’sexpected(required)returnistherisk-freerateplusapremiumbasedonthesystematicriskofthesecurity.1.Capitalmarketsareefficient.2.Homogeneousinvestorexpectationsoveragivenperiod.3.Risk-freeassetreturniscertain(useshort-tointermediate-termTreasuriesasaproxy代理).4.Marketportfoliocontainsonlysystematicrisk(useS&P500Indexorsimilarasaproxy).Calculating“Beta”onYourCalculatorAnindexofsystematicrisk.Itmeasuresthesensitivityofastock’sreturnstochangesinreturnsonthemarketportfolio.Thebetaforaportfolioissimplyaweightedaverageoftheindividualstockbetasintheportfolio.Rjistherequiredrateofreturnforstockj,Rfistherisk-freerateofreturn,bjisthebetaofstockj(measuressystematicriskofstockj),RMistheexpectedreturnforthemarketportfolio.LisaMilleratBasketWondersisattemptingtodeterminetherateofreturnrequiredbytheirstockinvestors.Lisaisusinga6%Rfandalong-termmarketexpectedrateofreturnof10%.Astockanalystfollowingthefirmhascalculatedthatthefirmbetais1.2.WhatistherequiredrateofreturnonthestockofBasketWonders?RBW=Rf+bj(RM-Rf)RBW=6%+1.2(10%-6%)RBW=10.8%Therequiredrateofreturnexceedsthemarket