CHƯƠNG 4: (26/02/2020)
payout ration = Dividends/ NI
ratio
Preemptive right
Numbers = 100 shares
A = 10 shares = 10%
New issued = 50 shares
Shares = 150 shares
A buys 10% = 5 shares
If A buys, 15 shares = 10%
If not, A < 10%
CHƯƠNG 5: chương 5 trong syllabus và là chương 7 trong sách giáo trình chính
Portfolio = danh mục đầu tư
systematic risk = rủi ro có hệ thống
Portfolio = danh mục đầu tư
Diversification = sự đa dạng
expected returns = lợi nhuận kỳ vọng
systematic risk = rủi ro có hệ thống
security market line = đường thị trường hiệu quả
risk-return trade-off = đánh đổi rủi ro và lợi nhuận
Capital Asset Pricing Model (CAPM) = mô hình định giá tài sản vốn
ER = expected return
average return
ER = R
State
Probability
C
Boom
0.3
15
Normal
0.5
10
Recession
???
2
RC = .3(15) + .5(10) + .2(2) = 9.99%
RT = .3(25) + .5(20) + .2(1) = 17.7%
State
Probability
C
Boom
0.3
15
Normal
0.5
Recession
???
2
RC = .3(15) + .5(10) + .2(2) = 9.99%
T
25
20
1
T
25
10
20
1
RT = .3(25) + .5(20) + .2(1) = 17.7%
got the same answers?
Giải:
E(R) = .25(15) + .5(8) + .15(4) + .1(-3) = 8.05%
Variance = .25(15-8.05)2 + .5(8-8.05)2 + .15(4-8.05)2 + .1(-3-8.05)2 = 26.7475
Standard Deviation = 5.1717985%
CHƯƠNG 6: INTRODUCE RISK AND RETURN
Portfolio Weights = TỶ TRỌNG
weights %
average return = expected return
DCLK: 2/15 = .133
KO: 3/15 = .2
INTC: 4/15 = .267
KEI: 6/15 = .4
E(RP) = expected return of the portfolio
the portfolio variance and standard deviation using the same formulas as for an individual
asset
p = probability
R(i) = lợi nhuận của DMDT trong tình trạng kinh tế
E(R) = lợi nhuận trugn bình của DMDT
Asset A: E(RA) = .4(30) + .6(-10) = 6%
Variance(A) = .4(30-6)2 + .6(-10-6)2 = 384
Std. Dev.(A) = 19.6%
Asset B: E(RB) = .4(-5) + .6(25) = 13%
Variance(B) = .4(-5-13)2 + .6(25-13)2 = 216
Std. Dev.(B) = 14.7%
Invest 50% of your money in Asset A
w(A) = 50%
Expected return (P) = .5(6) + .5(13) = 9.5
E(RP) = 0.5x6+0.5x13 = 9.5%
p = prob
R(i) = lợi nhuận của DMDT trong từng tình trạnh kinh tế
E(RP) = lợi nhuận kỳ vọng của port
how to calculate R(i)?
State Prob A(50%)
Boom .4
30%
Bust .6
-10%
B(50%)
-5%.
25%.
?
Port
?
Portfolio return in boom = .5(30) + .5(-5) = 12.5
Portfolio return in bust = .5(-10) + .5(25) = 7.5
R(i)
Expected return = .4(12.5) + .6(7.5) = 9.5 or
Expected return = .5(6) + .5(13) = 9.5
Variance of portfolio = .4(12.5-9.5)2 + .6(7.5-9.5)2 = 6
Standard deviation = 2.45%
Note that the variance is NOT equal to .5(384) + .5(216) = 300 and
Standard deviation is NOT equal to .5(19.6) + .5(14.7) = 17.17%
Portfolio return in Boom: .6(15) + .4(10) = 13%
Portfolio return in Normal: .6(10) + .4(9) = 9.6%
Portfolio return in Recession: .6(5) + .4(10) = 7%
Expected return = .25(13) + .6(9.6) + .15(7) = 10.06%
Variance = .25(13-10.06)2 + .6(9.6-10.06)2 + .15(7-10.06)2 = 3.6924
Standard deviation = 1.92%
the total risk for a diversified portfolio is essentially equivalent to the systematic risk
The standard deviation of returns is a measure of total risk
the beta coefficient to measure systematic risk
A beta of 1 implies the asset has the same systematic risk as the overall market
A beta < 1 implies the asset has less systematic risk than the overall market
A beta > 1 implies the asset has more systematic risk than the overall market
the relationship between the risk premium and beta
Security Market Line =The Capital Asset Pricing Model (CAPM)
R(f) = risk free rate
E(RM) = expected return of market
E(RA) = expected return of asset