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Ages Uk Mortgagereductionmortage L Y Mortgage Reduction Mortage Mortgage Reduction Mortage Szh 1 Mortgage Reduction Mortage 注会财管英语词汇-中国注会网(注册会计师|CPA|注册税务师|注册资产评估师|注册会计师考试专业社区)

Mortgage Reduction Mortage Mortgage Reduction Mortage

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rocess. Furthermore, even if the assumptions are relaxed, the theory will still hold approximately.
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　　（b） Then identify the efficient portfolios from these.
　　（c） Then consider mixing any one of these efficient portfolios, A, with a risk-free investment, RF:
　　
　　If all the investor's funds were put into the risk-free investment, he would earn the risk-free rate of interest and have no risk. If all his funds were put into portfolio A, he would have the return and risk of portfolio A. If he split his investment between RF and A, the return and risk he would get would lie anywhere up a line joining RF and A, depending on the proportions in which the funds were split.
　　
　　The section of the efficient frontier below A now becomes redundant because those portfolios are not so attractive as a combination of A with risk-free investments （the latter have a lower risk for the same return）.
　　Portfolio A was chosen at random. If we chose one higher up the efficient frontier, the effect would be better:
　　
　　Any combination of RF with portfolio B is better than （'dominates'） a combination of RF with portfolio A （higher return for the same risk）.
　　Proceeding in this way, the best portfolio is M in the following diagram, where a line drawn from RF just touches the efficient frontier at a tangent:
　　
　　The surprising conclusion is that:
　　'Out of all the possible portfolios that could be constructed from risky investments, only one portfolio is worth considering - portfolio M.'
　　A combination of RF and M produces portfolios which are better than any others in terms of the return which is offered for any given level of risk.
　　However, given the existence of risk-free investment, investors would choose from those on the revised efficient frontier represented by line RF M.
　　Portfolios on the line RF M are achieved by mixing portfolio M with risk-free investments. Portfolios on the line M N are achieved by borrowing at the risk-free rate （remember we have assumed that the risk-free rate applies to borrowing as well as lending） and investing our own funds plus borrowed funds in portfolio M.
　　What is portfolio M?
　　Because we have assumed that all investors have the same expectations about the future outcomes of investments, it follows that:
　　All investors will come to the conclusion that portfolio M is the best portfolio consisting solely of risky investments to hold.
　　Now, if any quoted share was not in portfolio M, then nobody would wish to hold it. It would therefore have no value. We must therefore conclude that:
　　Portfolio M includes every risky security which is quoted on the market.
　　Portfolio M is in fact simply a slice of the whole stock market; the proportions of shares held in it are the same as the total market capitalizations of the shares on the stock market:
　　Portfolio M is called the market portfolio.
　　All rational risk-averse investors will hold the market portfolio, according to the model we have just constructed. Note: it is not necessary for every investor to hold every share on the stock market. Close replicas of portfolio M may be generated by holding as few as fifteen shares. Investment in unit trusts will also achieve the same result.
　　However, all investors do not have the same attitude to risk. By using the market portfolio, and by either lending or borrowing suitably at the risk-free rate, the investor can choose any level of risk he likes and can predict the return which the market will give him. This return will be the best that he could possibly get for the risk taken.
　　By adding the investor indifference curves, we have:
　　
　　The trade-off between return and risk which is offered by this sensible use of the capital market is called the capital market line. This is effectively, as previously mentioned, our new efficient frontier.
　　
　　2.4　Nature of the capital market line
　　We have already seen that combinations of risk-free and risky investments give a straight line trade-off between risk and return.
　　To draw the capital market line we therefore need only two observations:
　　Rf- the risk-free rate of interest, which can be approximated by the return on government stock
　　σM and RM -- the risk and return of the market portfolio. As the market portfolio should contain all risky investments, this can be estimated by using the risk and return on a stock market indexes such as the Financial Times All Share Indexes.
　　Example 6
　　An investor has 100 to invest. The following information is available:
　　RM=15%（Return on portfolio M）
　　σM=10%（Risk of portfolio M）
　　Rf=6%（Risk-free rate of return）
　　You are required to plot the capital market line and show that a lending portfolio （of 50 invested at the risk-free rate and 50 invested in portfolio M） and a borrowing portfolio （of 50 borrowed at risk-free rate and 150 invested in portfolio M） lie on this line.
　　Solution
　　To calculate portfolio returns we can treat the two investment opportunities as a two-asset portfolio, hence:
　　Rp=Xa×Ra+（1-Xa） ×Rb
　　
　　Lending portfolio
　　
　　Borrowing portfolio
　　Note:150% of original stack is invested in M 50% is borrowed.
　　
　　（This shows that gearing up equity portfolios is a profitable but risky business.）
　　
　　Clearly, both portfolios rest on the capital market line （CML）.
　　
　　2.5　Significance（意义） of the capital market line
　　The capital market line tells us for a given level of risk the return an investor should expect on the stock exchange. It is often referred to as giving the market price of risk.
　　That is if we choose to take a given level of risk on the stock exchange then we can expect a given level of return.
　　The equation of the capital market line is given below:
　　If　　Rf=risk-free rate
　　　　 RM=expected return on the market portfolio
　　　　 σM=standard deviation of returns on the market portfolio
　　　　 σp=the risk of the investment we are considering
　　then the return we could expect for the level of risk σp
　　　　=
　　In words, this says that the expected compensation for facing a proportion of mardet risk will be that same proportion of the ‘market premium’above the risk-free rate.
　　Assume we were evaluating a project which had a risk measured by a standard deviation of returns equal to 12%. Using the same data as in Example 6 for a level of risk of σ= 12% we could expect a stock market investment with similar risk to have a return of:
　　6%+12%/10%×（15%-6%）=16.8%
　　（The project carries 12/10 times the risk of the market. It should therefore attract 1.2 times the market premium （9%） on top of risk free.）
　　If this is less than that offered by the project, it is tempting to say that the project should be accepted. However, there is a flaw in this logic.
　　The problem with this analysis is not in determining the capital market line but in determining the risk of an individual investment.
　　If we were appraising an investment project which demonstrated a standard deviation of returns of 12% we could not simply say that its required rate of return was at least 16.8% as a similar risk investment （portfolio） on the stock exchange would yield 16.8%.
　　The 12% standard deviation measures total risk of the investment. Much of this risk can be diversified away when it is added to a well-diversified portfolio. If we persist in judging this investment in terms of a 12% risk we would be making the same mistake as evaluating security A （Example 2） based on its own standard deviation, rather than on its risk once added to a well-diversified portfolio.
　　As a final step we need to know how much of the total risk can be removed by diversification. We can then judge investments on their remaining or undiversifiable risk.
　　
　　Systematic and unsystematic risk（系统风险和非系统风险）
　　If we start constructing a portfolio with one share and gradually add other shares to it we will tend to find that the total risk of the portfolio reduces as follows:
　　
　　Initially substantial reductions in total risk are possible; however, as the portfolio becomes more and more diversified, risk reduction slows down and eventually stops.
　　This risk is related to factors that affect the returns of individual investments in unique ways （e.g. the risk that a particular firm's labor force might go on strike）.
　　 The risk that cannot be eliminated by diversification is referred to as systematic or market risk.
　　To some extent the fortunes of all companies move together with the economy. Changes in macro-economic variables such as interest rates, exchange rates, taxation, inflation, etc., affect all companies to a greater or lesser extent and cannot be avoided by diversification. That is, they apply systematically right across the market.
　　The relevant risk of an individual security is its systematic risk and it is on this basis that we should judge investments. Unsystematic risk can be eliminated and is of no consequence to the well-diversified investor. Note: it is not necessary to hold the market portfolio to diversify away unsystematic risk - a portfolio of 15-20 randomly selected securities will eliminate the vast majority of it.
　　
　　1.2　The security market line（证券市场线）
　　As unsystematic risk can be diversified away, investors need only concern themselves with （and will only earn returns for taking） systematic risk. The next problem is how to measure the systematic risk of investments.
　　The method adopted by CAPM to measure systematic risk is an index, normally referred to as beta （β）. As with any index we need to establish some base points and then other observations will be calibrated around these points. The two base points are as follows:
　　The risk-free security - This carries no risk and therefore no systematic risk. The risk-free security hence has a beta of zero.
　　The market portfolio - This represents the ultimate in diversification and therefore contains only systematic risk. We will set beta to 1.00 for the market portfolio and this will represent the average systematic risk for the market.
　　
　　The security market line gives the relationship between systematic risk and return.
　　（This is not to be confused with our earlier graph of the capital market line, which had standard deviation as the x axis, rather than β.） From the graph it can be seen that the higher the systematic risk the higher the required rate of return.
　　证券市场表明了系统风险和收益之间的关系。
　　The SML is often referred to in the form of an equation,
　　证券市场线以方程形式表示如下
　　Rj = Rf +βj （Rm - Rf）
　　where
　　Rj =required rate of return on investment j
　　Rf =risk-free rate of interest
　　Rm=return on the market portfolio
　　βj=index of systematic risk for security j
　　
　　Glossary
　　Stand-alone risk个别风险
　　Probability概率
　　Probability distribution概率分布
　　Normality assumption正态假设
　　Normal distribution正态分布
　　Efficient market hypothesis（EMH）有效市场假设
　　Semi-strong form半强式
　　Capital asset pricing model （CAPM）资本资产定价模型
　　Arbitrage pricing theory（APT）套利定价理论

评论：gkzh0218 发表时间：2009-6-16 19:39:49

A.ROCE（已动用资本回报率）or ARR（会计收益率）（Accounting Rate of Return）

　　B.Payback（回收期法）
　　Payback period
　　=Initial payment/Annual cash inflow, payback is not always an exact number of years
　　Most common formula:
　　ROCE=EBIT （after depreciation）/ initial capital costs

　　C NPV（净现值法）
　　（1） Basic assumptions:
　　·cash outlay occurs in year 0 （now）.
　　·cash flows occur at the end of the year.
　　·if a cash flow occurs at the beginning of a year, it is assumed to occur at the end of the previous year.

　　D IRR（内含报酬率法）
　　（1）Basic principle: IRR is the cost of capital at which the NPV is zero, if the expected IRR is higher than a target rate of return; the project is financially worth undertaking.< uAges Uk Mortgagereductionmortage L Y Mortgage Reduction Mortage Mortgage Reduction Mortage Szh 1 Mortgage Reduction Mortage 注会财管英语词汇-中国注会网(注册会计师|CPA|注册税务师|注册资产评估师|注册会计师考试专业社区)c a n Mortage Mortgage Reduction Mortage iAges Uk Mortgagereductionmortage L Y Mortgage Reduction Mortage Mortgage Reduction Mortage Szh 1 Mortgage Reduction Mortage 注会财管英语词汇-中国注会网(注册会计师|CPA|注册税务师|注册资产评估师|注册会计师考试专业社区)l f l Mortgage Reduction Mortage k k Investment r Mortgage Reduction Mortage Mortgage Reduction Mortage