Bodie2e_Chapter12 Portfolio Opportunities and Choice 英文版PPT 金融学(第二版)

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博迪和莫顿：《金融学》：chpt12

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Deaths Per Thousand M & F
350 300 250
Deaths / 1000
MDePm FDePm
200 150 100 50 0 60 65 70 75 Age
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80
85
90
95
Life Expection
25
Remaining Expected Life
20 MExLife 15 FExLife 10
0.30 0.25 0.20 0.15
Return
0.10 0.05 0.00 0.00 -0.05 -0.10 -0.15 -0.20 Volatility
25
0.10
0.20
0.30
0.40
0.50
Capital Market Line
0.30 0.25
Long risky and short risk-free
so
s2 = 0, and sp becomes:
sp = ((W1* s1)2 + 2W1* s1* W2* 0 + (W2* 0)2)1/2 sp = |W1| * s1
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Combining the Riskless Asset and a Single Risky Asset
– In summary
sp = |W1| * s1,
If
And:
mp = W1*m1 + (1- W1)*rf , So:
W1>0, mp = [(rf -m1)/ s1]*sp + rf
Else
mp = [(m1-rf )/ s1]*sp + rf
24

兹维博迪金融学第二版课件Chapter12

– the probability of the high-risk, high-return security will out-perform the low-risk, lowreturn increases with time
16 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Chapter 12: Portfolio Opportunities and Choice
Objective
To understand the theory of personal portfolio selection in theory and in practice
1 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
But:
• I promised to be perfectly frank and honest (pfah) with you about the ordering of the simulated trajectories • The next trajectory truly was the next trajectory in the sequence, honest!
10 0 5 10 15 20 Years 25 30 35 40
15
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
From Conjecture to Hypothesis
• You are probably ready to make the hypothesis that

博迪第八版投资学第十二章课后习题答案

博迪第八版投资学第十二章课后习题答案CHAPTER 12: BEHAVIORAL FINANCEAND TECHNICAL ANALYSISPROBLEM SETS1. Technical analysis can generally be viewed as a search for trends or patterns inmarket prices. Technical analysts tend to view these trends as momentum, orgrad ual adjustments to ‘correct’ prices, or, alternatively, reversals of trends. Anumber of the behavioral biases discussed in the chapter might contribute to such trends and patterns. For example, a conservatism bias might contribute to a trend in prices as investors gradually take new information in to account, resulting ingradual adjustment of prices towards their fundamental values. Another example derives from the concept of representativeness, which leads investors toinappropriately conclude, on the basis of a small sample of data, that a pattern has been established that will continue well in to the future. When investorssubsequently become aware of the fact that prices have overreacted, corrections reverse the initial erroneous trend.2. Even if many investors exhibit behavioral biases, security prices might still be setefficiently if the actions of arbitrageurs move prices to their intrinsic values.Arbitrageurs who observe mispricing in the securities markets would buyunderpriced securities (or possibly sell short overpriced securities) in order to profit from the anticipated subsequent changes as prices move to their intrinsic values.Consequently, securities prices would still exhibit the characteristics of an efficient market.3. One of the major factors limiting the ability of rational investors to take advantageof any ‘pricing errors’ that result from the actions of behavioral investors is the fact that a mispricing can get worse over time. An example of this fundamental risk is the apparent ongoing overpricing of the NASDAQ index in the late 1990s. A related factor is the inherent costs and limits related to short selling, which restrict theextent to which arbitrage can force overpriced securities (or indexes) to movetowards their fair values. Rational investors must also be aware of the risk that an apparent mispricing is, in fact, a consequence of model risk; that is, the perceived mispricing may not be real because the investor has used a faulty model to value the security.12-212-34.Two reasons why behavioral biases might not affect equilibrium asset prices are discussed in Quiz Problems (1) and (2) above: first, behavioral biases might contribute to the success of technical trading rules as prices gradually adjusttowards their intrinsic values, and; second, the actions of arbitrageurs might move security prices towards their intrinsic values. It might be important for investors to be aware of these biases because either of these scenarios might create the potential for excess profits even if behavioral biases do not affect equilibrium prices. 5.Efficient market advocates believe that publicly available information (and, for advocates of strong-form efficiency, even insider information) is, at any point in time, reflected in securities prices, and that price adjustments to new information occur very quickly. Consequently, prices are at fair levels so that activemanagement is very unlikely to improve performance above that of a broadly diversified index portfolio. In contrast, advocates of behavioral finance identify a number of investor errors in information processing and decision making that could result in mispricing of securities. However, the behavioral finance literaturegenerally does not provide guidance as to how these investor errors can be exploited to generate excess profits. Therefore, in the absence of any profitable alternatives, even if securities markets are not efficient, the optimal strategy might still be a passive indexing strategy.6.Trin =advancing Number /advancing Volume declining Number /declining Volume 978.0233,1/150,560,467068,2/460,901,766==This trin ratio, which is below 1.0, would be taken as a bullish signal. 7.Breadth: Advances Declines Net Advances 1,2332,068-835Breadth is negative. This is a bearish signal (although no one would actually use a one-day measure as in this example). 8. This exercise is left to the student; answers will vary.9.The confidence index increases from (7%/8%) = 0.875 to (8%/9%) = 0.889 This indicates slightly higher confidence. But the real reason for the increase in the index is the expectation of higher inflation, not higher confidence about the economy.10. At the beginning of the period, the price of Computers, Inc. divided by the industryindex was 0.39; by the end of the period, the ratio had increased to 0.50. As the ratio increased over the period, it appears that Computers, Inc. outperformed other firms in its industry. The overall trend, therefore, indicates relative strength, although some fluctuation existed during the period, with the ratio falling to a low point of0.33 on day 19.11. Five day moving averages:Days 1 – 5: (19.63 + 20 + 20.5 + 22 + 21.13) / 5 = 20.65Days 2 – 6 = 21.13Days 3 – 7 = 21.50Days 4 – 8 = 21.90Days 5 – 9 = 22.13Days 6 – 10 = 22.68Days 7 – 11 = 23.18Days 8 – 12 = 23.45 ← Sell signal (day 12 price < moving average)Days 9 – 13 = 23.38Days 10 – 14 = 23.15Days 11 – 15 = 22.50Days 12 – 16 = 21.65Days 13 – 17 = 20.95Days 14 – 18 = 20.28Days 15 – 19 = 19.38Days 16 – 20 = 19.05Days 17 – 21 = 18.93 ← Buy signal (day 21 price > moving average)Days 18 – 22 = 19.28Days 19 – 23 = 19.93Days 20 – 24 = 21.05Days 21 – 25 = 22.05Days 22 – 26 = 23.18Days 23 – 27 = 24.13Days 24 – 28 = 25.13Days 25 – 29 = 26.00Days 26 – 30 = 26.80Days 27 – 31 = 27.45Days 28 – 32 = 27.80Days 29 – 33 = 27.90 ← Sell signal (day 33 price < moving average)Days 30 – 34 = 28.20Days 31 – 35 = 28.45Days 32 – 36 = 28.65Days 33 – 37 = 29.05Days 34 – 38 = 29.25Days 35 – 39 = 29.00Days 36 – 40 = 28.7512-412-512. This pattern shows a lack of breadth. Even though the index is up, more stocksdeclined than advanced, which indicates a “lack of broad -based support” for the rise in the index. 13.Day Advances DeclinesNet Advances CumulativeBreadth1 906 704 202 202 2 653 986 -333 -131 3 721 789 - 68 -1994 503 968 -465 -664 5 497 1,095 -598 -1,2626 970 702 268 -9947 1,002 609 393 -6018 903 722 181 -4209 850 748 102 -318 10 766 766 0 -318The signal is bearish as cumulative breadth is negative; however, the negative number is declining in magnitude, indicative of improvement. Perhaps the worst of the bear market has passed.14. Trin =936.0906/million 330704/million 240advancing Number /advancing Volume declining Number /declining Volume ==This is a slightly bullish indicator, with average volume in advancing issues a bit greater than average volume in declining issues.15. Confidence Index =bondscorporate grade -te intermedia on Yield bondscorporate rated -on top YieldThis year: Confidence Index = (8%/10.5%) = 0.762 Last year: Confidence Index = (8.5%/10%) = 0.850Thus, the confidence index is decreasing.16. [Note: In order to create the 26-week moving average for the S&P 500, we firstconverted the weekly returns to weekly index values, using a base of 100 for the week prior to the first week of the data set. The graph on the next page shows the resulting S&P 500 values and the 26-week moving average, beginning with the 26th week of the data set.]a.The graph on the next page summarizes the data for the 26-week moving average. The graph also shows the values of the S&P 500 index.12-6S&P500 Index - 26-Week Moving Average0.0020.0040.0060.0080.00100.00120.0011/24/20001/24/20013/24/20015/24/20017/24/20019/24/200111/24/20011/24/20023/24/20025/24/20027/24/20029/24/200211/24/20021/24/20033/24/20035/24/20037/24/20039/24/200311/24/20031/24/20043/24/20045/24/20047/24/20049/24/200411/24/20041/24/20053/24/2005b. The S&P 500 crosses through its moving average from below fourteen times,as indicated in the table below. The index increases seven times in weeksfollowing a cross-through and decreases seven times.Date of cross-through Direction of S&P 500 in subsequentweek05/18/01 Decrease06/08/01 Decrease12/07/01 Decrease12/21/01 Increase03/01/02 Increase11/22/02 Increase01/03/03 Increase03/21/03 Decrease04/17/03 Increase06/10/04 Decrease09/03/04 Increase10/01/04 Decrease10/29/04 Increase04/08/05 Decreasec. The S&P 500 crosses through its moving average from above fourteen times,as indicated in the table below. The index increases nine times in weeksfollowing a cross-through and decreases five times.Date of cross-through Direction of S&P 500 in subsequentweek06/01/01 Increase06/15/01 Increase12/14/01 Increase02/08/02 Increase04/05/02 Decrease12/13/02 Increase01/24/03 Decrease03/28/03 Increase04/30/04 Decrease07/02/04 Decrease09/24/04 Increase10/15/04 Decrease03/24/05 Increase04/15/05 Increase12-7d. When the index crosses through its moving average from below, as in part (b)above, this is regarded as a bullish signal. However, in our sample, the index is as likely to increase as it is to decrease following such a signal. When the indexcrosses through its moving average from above, as in part (c), this is regarded asa bearish signal. In our sample, contrary to the bearish signal, the index isactually more likely to increase than it is to decrease following such a signal.12-817. [Note: In order to create the relative strength measure, we first converted theweekly returns for the Fidelity Banking Fund and for the S&P 500 to weekly index values, using a base of 100 for the week prior to the first week of the data set. The graph on the next page shows the resulting Fidelity Banking Fund values and the S&P 500 values, along with the Relative Strength measure (multiplied by 100). The graph on the following page shows the percentage change in the Relative Strength measure over 5-week intervals.]a. The graphs on the next two pages summarize the relative strength data for theFidelity Banking Fund.b. Over five-week intervals, relative strength increased by more than 5%twenty-nine times, as indicated in the table below. The Fidelity Banking Fundunderperformed the S&P 500 index eighteen times and outperformed the S&P500 index eleven times in weeks following an increase of more than 5%.Date of IncreasePerformance of Banking Fund in subsequent week07/21/00 Outperformed 08/04/00 Outperformed 08/11/00 Underperformed 08/18/00 Outperformed 09/22/00 Outperformed 09/29/00 Underperformed 10/06/00 Underperformed 12/01/00 Underperformed 12/22/00 Underperformed 12/29/00 Outperformed 01/05/01 Underperformed 01/12/01 Underperformed 02/16/01 Underperformed 02/23/01 Outperformed 03/02/01 Underperformed 03/09/01 Outperformed 03/16/01 Underperformed 03/30/01 Underperformed 06/22/01 Underperformed 08/17/01 Underperformed 03/15/02 Outperformed 03/22/02 Underperformed 03/28/02 Outperformed 04/05/02 Outperformed 04/12/02 Underperformed 04/26/02 Outperformed 05/03/02 Underperformed 05/10/02 Underperformed 06/28/02 Underperformed12-912-10Chapter 12 - Behavioral Finance and Technical Analysisc. Over five-week intervals, relative strength decreases by more than 5% fifteentimes, as indicated in the table below. The Fidelity Banking Fundunderperformed the S&P 500 index six times and outperformed the S&P 500 index nine times in weeks following a decrease of more than 5%.Date of DecreasePerformance of Banking Fund in subsequent week07/07/00 Underperformed07/14/00 Outperformed05/04/01 Underperformed05/11/01 Outperformed10/12/01 Outperformed11/02/01 Outperformed10/04/02 Outperformed10/11/02 Outperformed04/16/04 Underperformed04/23/04 Outperformed12/03/04 Outperformed12/10/04 Underperformed12/17/04 Outperformed12/23/04 Underperformed12/31/04 Underperformedd. An increase in relative strength, as in part (b) above, is regarded as a bullishsignal. However, in our sample, the Fidelity Banking Fund is more likely tounder perform the S&P 500 index than it is to outperform the index followingsuch a signal. A decrease in relative strength, as in part (c), is regarded as abearish signal. In our sample, contrary to the bearish signal, the FidelityBanking Fund is actually more likely to outperform the index increase than it isto under perform following such a signal.CFA PROBLEMS1. i. Mental accounting is best illustrated by Statement #3. Sampson’s requirementthat his income needs be met via interest income and stock dividends is anexample of mental accounting. Mental accounting holds that investorssegregate funds into mental accounts (e.g., dividends and capital gains),maintain a set of separate mental accounts, and do not combine outcomes; aloss in one account is treated separately from a loss in another account. Mentalaccounting leads to an investor preference for dividends over capital gains andto an inability or failure to consider total return.ii. Overconfidence(illusion of control) is best illustrated by Statement #6.Sampson’s desire to select investments that are inconsis tent with his overallstrategy indicates overconfidence. Overconfident individuals often exhibitrisk-seeking behavior. People are also more confident in the validity of theirconclusions than is justified by their success rate. Causes of overconfidenceinclude the illusion of control, self-enhancement tendencies, insensitivity topredictive accuracy, and misconceptions of chance processes.iii. Reference dependence is best illustrated by Statement #5. Sampson’s desire to retain poor performing investments and to take quick profits on successfulinvestments suggests reference dependence. Reference dependence holds thatinvestment decisions are critically dependent on the decision-maker’sreference point. In this case, the reference point is the original purchase price.Alternatives are evaluated not in terms of final outcomes but rather in terms ofgains and losses relative to this reference point. Thus, preferences aresusceptible to manipulation simply by changing the reference point.2. a. Frost's statement is an example of reference dependence. His inclination to sellthe international investments once prices return to the original cost depends notonly on the terminal wealth value, but also on where he is now, that is, hisreference point. This reference point, which is below the original cost, hasbecome a critical factor in Frost’s decision.In standard finance, alternatives are evaluated in terms of terminal wealth valuesor final outcomes, not in terms of gains and losses relative to some reference pointsuch as original cost.b. Frost’s statement is an example of susceptibility to cognitive error, in at leasttwo ways. First, he is displaying the behavioral flaw of overconfidence. Helikely is more confident about the validity of his conclusion than is justified byhis rate of success. He is very confident that the past performance of CountryXYZ indicates future performance. Behavioral investors could, and often do,conclude that a five-year record is ample evidence to suggest futureperformance. Second, by choosing to invest in the securities of only CountryXYZ, Frost is also exemplifying the behavioral finance phenomenon of assetsegregation. That is, he is evaluating Country XYZ investment in terms of itsanticipated gains or losses viewed in isolation.Individuals are typically more confident about the validity of their conclusionsthan is justified by their success rate or by the principles of standard finance,especially with regard to relevant time horizons. In standard finance, investorsknow that five years of returns on Country XYZ securities relative to all othermarkets provide little information about future performance. A standardfinance investor would not be fooled by this “law of small numbers.” Instandard finance, investors evaluate performance in portfolio terms, in thiscase defined by combining the Country XYZ holding with all other securitiesheld. Investments in Country XYZ, like all other potential investments, shouldbe evaluated in terms of the anticipated contribution to the risk- rewardprofile of the entire portfolio.c. Familiarity: Maclin is evaluating his holding of company stock based on hisfamiliarity with the company rather than on sound investment and portfolioprinciples. Company employees, because of this familiarity, may have adistorted perception of their own company, assuming a “good company” willalso be a good investment. Irrational investors believe an investment in acompany with which they are familiar will produce higher returns and have lessrisk than non-familiar investments.Representativeness: Maclin is confusing his company (which may well be a goodcompany) with the company’s stock (which may or may not be an appropriateholding for his portfolio and/or a good investment) and its future performance.This can result in employees’ overweighting their company stock, thereby holdingan under-diversified portfolio4. a. The behavioral finance principle of biased expectations/overconfidence is mostconsistent with the investor’s first statement. Petrie stock provides a level ofconfidence and comfort for the investor because of the circumstances in which sheacquired the stock and her recent history with the returns and income from thestock. However, the investor exhibits overconfidence in the stock given the needs ofthe Trust and the brevity of the recent performance history. Maintaining a 15percent position in a single stock is inconsistent with the overall strategy of the Trust,and the investor’s level of confidence should reflect the stock’s o verall record, notjust the past two years.b. The behavioral finance principle of mental accounting is most consistent withthe investor’s second statement. The investor has segregated the moniesdistributed from the Trust into two “accounts”: the return s the Trust receivesfrom the Petrie stock, and the remaining funds that the Trust receives for herbenefit. She is maintaining a separate set of mental accounts with regard to thetotal funds distributed. The investor’s “specific uses” should be viewed in theoverall context of the spending needs of the Trust and should consider the riskand return profile of the entire Trust.5. i. Overconfidence (Biased Expectations and Illusion of Control): Pierce is basing herinvestment strategy for supporting her parents on her confidence in the economicforecasts. This is a cognitive error reflecting overconfidence in the form of bothbiased expectations and an illusion of control. Pierce is likely more confident in thevalidity of those forecasts than is justified by the accuracy of prior forecasts.Analysts’ consensus forecasts have proven routinely and widely inaccurate. Piercealso appears to be overly confident that the recent performance of the Pogo Islandeconomy is a good indicator of future performance. Behavioral investors oftenconclude that a short track record is ample evidence to suggest futureperformance.Standard finance investors understand that individuals typically have greaterconfidence in the validity of their conclusions than is justified by their success rate.The calibration paradigm, which compares confidence to predictive ability,suggests that there is significantly lower probability of success than the confidence levels reported by individuals. In addition, standard finance investors know that recent performance provides little information about future performance and are not deceived by this “law of small numbers.”ii. Loss Aversion (Risk Seeking): Pierce is exhibiting risk aversion in deciding to sell the Core Bond Fund despite its gains and favorable prospects. She prefers a certaingain over a possibly larger gain coupled with a smaller chance of a loss. Pierce is exhibiting loss aversion (risk seeking) by holding the High Yield Bond Fund despite its uncertain prospects. She prefers the modest possibility of recovery coupled with the chance of a larger loss over a certain loss. People tend to exhibit risk seeking, rather than risk aversion, behavior when the probability of loss is large. There is considerable evidence indicating that risk aversion holds for gains and risk seeking behavior holds for losses, and that attitudes toward risk vary depending onparticular goals and circumstances.Standard finance investors are consistently risk averse, and systematically prefer a certain outcome over a gamble with the same expected value. Such investors also take a symmetrical view of gains and losses of the same magnitude, and theirsensitivity (aversion) to changes in value is not a function of a specified valuereference point.iii. Reference Dependence:Pierce’s inclination to sell her Small Company Fund once it returns to her original cost is an example of reference dependence. Hersell decision is predicated on the current value as related to original cost, herreference point. Her decision does not consider any analysis of expectedterminal value or the impact of this sale on her total portfolio. This referencepoint of original cost has become a critical but inappropriate factor in Pierce’sdecision.In standard finance, alternatives are evaluated in terms of terminal wealth values or final outcomes, not in terms of gains and losses relative to a reference point such as original cost. Standard finance investors also consider the risk and returnprofile of the entire portfolio rather than anticipated gains or losses on anyparticular investment or asset class.。

Investments by Zvi Bodie, Alex Kane, and Alan J. Marcus Chap011

Efficient Market Hypothesis (EMH)
• Do security prices reflect information ? • Wtions for business and corporate finance – Implications for investment
11-20
Figure 11.6 Returns to Style Portfolio as a Predictor of GDP Growth
11-21
Interpreting the Evidence Continued
• Anomalies or Data Mining • The noisy market hypothesis • Fundamental indexing
11-11
Are Markets Efficient
• Magnitude Issue • Selection Bias Issue • Lucky Event Issue
11-12
Weak-Form Tests
• Returns over the Short Horizon – Momentum • Returns over Long Horizons
11-2
Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies
11-3
Figure 11.2 Stock Price Reaction to CNBC Reports
11-4
EMH and Competition
11-17
Figure 11.5 Cumulative Abnormal Returns in Response to Earnings Announcements

博迪投资学第十版全英文

博迪投资学第十版全英文English:The tenth edition of Bodie Investments provides a comprehensive overview of the fundamental principles of investing. With a focus on both theory and practice, the textbook covers key topics such as asset allocation, portfolio management, and risk assessment. It also delves into modern portfolio theory, behavioral finance, and the latest developments in the investment industry. The book emphasizes the importance of a long-term perspective and a disciplined approach to investing, while also recognizing the complexities and uncertainties inherent in financial markets. Through clear explanations and real-world examples, Bodie Investments offers valuable insights for students and professionals alike, making it an essential resource for anyone seeking to enhance their understanding of investment strategies.中文翻译:《博迪投资学》第十版全面介绍了投资的基本原理。

国际投资学概述

12
Chapter 11 Currency Risk Management Part3 techniques
13
Chapter 12 Global Performance Evaluation and perspective o
14
Chapter 13 Structuring the Global
global investmen
国际投资学概述
Copyright © 2009 Pearson Prentice Hall. All rights reserved.
国际投资学（双语）
参考教材：国际投资（第六版）（经济学经典教材·金融系列；高
等学校经济类双语教学推荐教材）, 2010年，人民大学出版社
国际投资学（第三版）任淮秀主编国际投资学(第4版）杨大楷主编
Copyright © 2009 Pearson Prentice Hall. All rights reserved.
1-3
1
Chapter 1 Foreign Exchange
2
Chapter 2 Foreign Exchange Parity Relations. Part1 exchange
Examples: $:€, €:$, ¥:$ Note: the notation in this new edition of the
text has changed relative to previous editions.
Copyright © 2009 Pearson Prentice Hall. All rights reserved.
exchange rates.
Chapters 4 - 8 explore the various assets

Bodie2e_Chapter01 Financial Economics 英文版PPT金融学(第二版) 教学课件

– they vary widely in size from part-time businesses run from a spare room, to giant corporations (e.g. Mi with hundreds of thousands of employees, and an even larger ownership
– strategic plans may change radically over time
– the firm’s business may be defined in terms of a group of products, technologies or customers
12 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
– The basic unit of analysis is the investment project. Investment projects are identified,
triaged, and implemented in the capital budgeting process
13 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
1.5 Forms of Business Operation
• 1.6 Separation of Ownership and Management
• 1.7 The Goal of Management
• 1.8 Market Discipline: Takeovers

【2024版】《投资学》博迪第九版课件Chap010

beta F = Surprise in macro-economic factor
(F could be positive or negative but has expected value of zero) ei = Firm specific events (zero expected value)
• Rests on mean-variance efficiency. The actions of many small investors restore CAPM equilibrium.
• CAPM describes equilibrium for all assets.
INVESTMENTS | BODIE, KANE, MARCUS
Rate ei = Firm specific events
INVESTMENTS | BODIE, KANE, MARCUS
10-6
Multifactor SML Models
E ri rf iGDPRPGDP iIR RPIR
i GDP = Factor sensitivity for GDP
INVESTMENTS | BODIE, KANE, MARCUS
10-5
Multifactor Model Equation
ri E ri iGDPGDP iIRIR ei
ri = Return for security i βGDP = Factor sensitivity for GDP βIR = Factor sensitivity for Interest
10-17
Multifactor APT
• Use of more than a single systematic factor

博迪投资学第九版课件

– Semi strong form efficiency and fundamental analysis
INVESTMENTS | BODIE, KANE,MARCUS
1 1 - 11
Active or Passive Management
• Active Management
– An expensive strategy – Suitable only for very large portfolios
INVESTMENTS | BODIE, KANE,MARCUS
1 1 - 13
Resource Allocation
• I f markets were i n e f f i c i e n t , resources would be s y s t e m a t i c a l l y misallocated.
INVESTMENTS | BODIE, KANE,MARCUS
1 1 - 10
Types of Stock Analysis
• Fundamental Analysis - using economic and accounting information to predict stock prices
• How do we explain random stock p r i c e changes?
INVESTMENTS | BODIE, KANE,MARCUS
11-3
E f f i c i e n t Market Hypothesis (EMH)
• EMHsays stock p r i c e s already r e f l e c t a l l available information

Investments-10th-edition-by-Bodie-Kane-and-Marcus课后答案复习进程

Real Assets ◦ Assets used to produce goods and services
Financial Assets ◦ Claims on real assets
Fixed income or debt ◦ Money market instruments Bank certificates of deposit ◦ Capital market instruments Bonds
Common stock or equity Derivative securities
Information Role ◦ The Google effect
Consumption Timinn of Ownership and
Business Firms– net borrowers Households – net savers Governments – can be both borrowers
and savers Financial Intermediaries
◦ Investment Companies ◦ Banks ◦ Insurance companies ◦ Credit unions
Bundling and unbundling of cash flows
Online information dissemination Information is made cheaply and widely
available to the public Automated trade crossing
McGraw-Hill/Irwin
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.

INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap024 Portfolio Performance Evaluation共41页文档

1 r G n 1 r 1 1 r 2 .1 . .r n
INVESTMENTS | BODIE, KANE, MA2R4C-U3S
Dollar- and Time-Weighted Returns
Dollar-weighted returns
• Internal rate of return considering the cash flow from or to investment
CHAPTER 24
Portfolio Performance Evaluation
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
INVESTMENTS | BODIE, KANE, M2A4R-C1U7S
Table 24.1 Portfolio Performance
Is Q better than P?
INVESTMENTS | BODIE, KANE, M2A4R-C1U8S
Figure 24.3 Treynor’s Measure
INVESTMENTS | BODIE, KANE, M2A4R-C1U9S
Table 24.3 Performance Statistics
INVESTMENTS | BODIE, KANE, M2A4R-C2U0S
Interpretation of Table 24.3
• If P or Q represents the entire investment, Q is better because of its higher Sharpe measure and better M2.

博迪投资学英文教学大纲

博迪投资学英文教学大纲English:"Bodie's Investment Management syllabus covers a comprehensive range of topics essential for understanding investment principles and practices. The syllabus typically begins with an overview of the investment process, including the objectives and constraints faced by investors, as well as the role of financial markets and intermediaries. It then delves into fundamental concepts such as risk and return, time value of money, and portfolio theory, providing students with a solid foundation in investment fundamentals. Subsequent modules may explore various asset classes, including equities, fixed income securities, and alternative investments, discussing their characteristics, valuation methods, and risk-return profiles. Additionally, the syllabus may cover topics related to investment strategies, such as passive and active portfolio management, as well as the principles of asset allocation and diversification. Furthermore, it often includes discussions on market efficiency, behavioral finance, and the impact of regulatory environment on investment decision-making. Throughout the course, students are typically exposed to real-world case studies, industry guest speakers, and hands-oninvestment analysis exercises to reinforce theoretical concepts with practical applications."中文翻译:“博迪的投资管理课程涵盖了一系列对理解投资原理和实践至关重要的主题。

Bodie2_IM_Ch12

Solution: a. Dad has exposed himself to risk by concentrating almost all of his plan money in the Ruffy Stock fund. This is analogous to taking 100% of the money a family has put aside for investment and investing it in a single stock. First, Dad needs to be shown that just because the company stock has continually performed quite well is no guarantee that it will do so indefinitely. The company may have sold off the divisions which produced price declines in the past, but future problems are unpredictable, and so is the movement of the stock price. “Past performance is no guarantee of future results” is the lesson.
Solution: a. You are not getting a little bit more yield with no risk. The real value of the bond payoff is subject to inflation risk. In addition, if you ever need to sell the Treasury bonds before expiration, you are subject to the fluctuation of selling price caused by interest risk. b. The expert is right in pointing out that your investment decision depends on your age and short-term goals. In addition, the investment decision also depends on other characteristics of the investor, such as the special character of the labor income (whether it is highly correlated with the stock market or not), and risk tolerance. Also, the fact that over any period of 10 years or more the stock beats everything else cannot be used to predict the future.

投资学硕士教材

投资学硕士教材以下是一些常见的投资学硕士教材：1. "Investments" by Bodie, Kane, and Marcus：这是一本经典的投资学教材，涵盖了投资理论和实践的基本原则和概念。

2. "Investments" by Zvi Bodie, Alex Kane, and Alan J. Marcus：这本教材是Bodie，Kane和Marcus的第10版，提供了关于投资组合管理、资产定价和投资策略的深入介绍。

3. "The Intelligent Investor" by Benjamin Graham：这是一本经典的价值投资书籍，介绍了如何进行价值投资和风险管理的方法。

4. "Security Analysis" by Benjamin Graham and David Dodd：这本书是价值投资的基石，讨论了详细的投资分析方法和价值投资的原则。

5. "Options, Futures, and Other Derivatives" by John C. Hull：这是一本关于衍生工具的教科书，涵盖了期权、期货和其他衍生品的基本原理和交易策略。

6. "Modern Portfolio Theory and Investment Analysis" by Edwin J. Elton and Martin J. Gruber：这本教材提供了关于现代投资组合理论和投资分析的深度讲解。

7. "A Random Walk Down Wall Street" by Burton G. Malkiel：这本书介绍了随机漫步理论和有效市场假说，强调了基于长期投资策略的重要性。

以上是一些常见的投资学硕士教材，但教材选择可以根据学校和课程的要求而有所不同。

Chap028博迪,凯恩,马库斯《投资学》课件

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Figure 28.1 CFA Institute Investment Management Process
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Table 28.1 Components of the Investment Management Process
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Table 28.2 Components of the Investment Policy Statement
Objectives
• Portfolio objectives center on the risk-return trade-off between investors’ expected return and how much risk they are willing to assume – Return requirements – Risk tolerance
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Policy and Taxes
• Policy Statement – Institutions may be governed by boards • Issue official statements of investment policy
• Taxes and Asset Allocation – May need to choose assets based on tax implications
• Defined benefit plans – Contractual arrangement setting out the rights and obligations of all parties
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Pension Funds Continued
• Pension investment strategies – Defined contribution versus defined benefit – Contingent immunization – Investing in equities