茲維博迪金融學(xué)第二版課件Chapter10

1、Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 1 Objective Risk and Financial Decision Making Conceptual Framework for Risk Management Efficient Allocation of Risk-Bearing Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 2 10.1 什么是風(fēng)險(xiǎn)? 10.2 風(fēng)險(xiǎn)與經(jīng)濟(jì)決策 10.3 風(fēng)險(xiǎn)管理過程 10

2、.4 風(fēng)險(xiǎn)轉(zhuǎn)移的三個(gè)維度 10.5 風(fēng)險(xiǎn)轉(zhuǎn)移和經(jīng)濟(jì)效率 10.6 風(fēng)險(xiǎn)管理制度 10.7 資產(chǎn)組合（Portfolio）理論：最優(yōu)風(fēng)險(xiǎn)管 理的數(shù)量分析 10.8 收益率的概率分布 10.9 作為風(fēng)險(xiǎn)的一個(gè)度量的標(biāo)準(zhǔn)差 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 3 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 4 Copyright 2009 Pearson Education, Inc. Publishing as

3、Prentice Hall 5 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 6 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 7 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 8 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 9 Copyrigh

4、t 2009 Pearson Education, Inc. Publishing as Prentice Hall 10 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 11 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 12 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 13 Copyright 2009 Pearson Educa

5、tion, Inc. Publishing as Prentice Hall 14 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 15 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 16 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 17 Copyright 2009 Pearson Education, Inc. Publishin

6、g as Prentice Hall 18 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 19 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 20 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 21 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 2

7、2 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 23 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 24 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 25 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 26 Copyright 2009 Pea

8、rson Education, Inc. Publishing as Prentice Hall 27 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 28 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 29 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 30 Copyright 2009 Pearson Education, Inc.

9、 Publishing as Prentice Hall 31 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 32 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 33 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 34 Standard Deviations of Portfolios 0.13 0.14 0.15 0.16 0.17

10、 0.18 0.19 0.20 012345678910 Portfolio Size Standare Deviation s = 0.2000 s = 0.1421 s* = 0.1342 Theoretical Minimum Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 35 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 36 ss 2 11 n nn n stockport Copyright 2009 Pea

11、rson Education, Inc. Publishing as Prentice Hall 37 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 38 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 39 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 40 Copyright 2009 Pearson Education, Inc.

12、 Publishing as Prentice Hall 41 State of Economy Return on RISCO Return on GENCO Prob- ability Strong50%30%0.20 Normal10%10%0.60 Weak-30%-10%0.20 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 42 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 43 50% 30% 10% -1

13、0% -30% RISCO GENCO 0 0.1 0.2 0.3 0.4 0.5 0.6 Probability Return Probability Distributions of Returns of GENCO and RISCO Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 44 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 45 %10 : Also %1010. 0 )10. 0(2 . 010. 06

14、. 03 . 02 . 0 . 1 332211 RISCO GENCO GENCO r r r n i ii nnr rP rPrPrPrPrE rP Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 46 2530. 0 : Also 1265. 0016. 0 )10. 010. 0(2 . 010. 010. 06 . 010. 030. 02 . 0 . 2 22 1 2 22 22 2 11 2 RISCO GENCO GENCO r r r n i rii rnnrr r rP rPrPrP rE

15、rE s s s s Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 47 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 48 【密度以1%收益率為單位長度計(jì)算】 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 49 Copyright 2009 Pearson Education, Inc. Publishing as Prentice

16、 Hall 50 Distribution of Returns on Two Stocks 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 -100%-50%0%50%100% Return Probability Density NORMCO VOLCO Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 51 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 52 Two More Return Densit

17、ies. 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 -100.00%-50.00%0.00%50.00%100.00% Return. Probability Density. VOLCO ODDCO Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 53 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 54 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 55 Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall 56 Copyri