投资学-Chap23
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap023 Futures, Swaps, and Risk Management共40页文档
2% of $30 million = $600,000
Each S&P500 index contract will change $6,250 for a 2.5% change in the index. (The contract multiplier is $250).
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Hedge Ratio Example
Change in the portfolio value H=
Profit on one futures contract
= $600,000 $6,250
= 96 contracts short
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• Results: – Cheaper and more flexible – Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures
Hedge Ratio in contracts Each contract is for 62,500 pounds or $6,250 per a $.10 change
$200,000 / $6,250 = 32 contracts
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• Futures price too low - long the future and short sell the underlying stocks
第一章 投资概述《投资学》PPT课件
（四）固定收益投资与非固定收益投资
固定收益投资是指预先规定应得的投资收入， 一般用百分比表示，按文期本支付，收益在整个投资 期内不变。多数债券和优先股的收益都是固定文的本。
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非固定收益投资是指投资收益预先不规定， 收入不固定。如普通股的收益是不固定的。一 般来说固定收益投资风险小，文但本收益也低，非 固定收益投资风险大，但收益也高。
• （五）信托投资
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• （六）保险投资
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• （七）BOT投资
第三节 投资与投机
一、投机的概念
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所谓投机，就是指在市场上短期文内本通 过低买高卖方式来获取差价，如炒地皮、 炒楼花、炒权证、炒股票，它是市场上常 见文的本 一种买卖行为。
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二、投机的作用
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平衡市场价格
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文本 增强证券市场上的流动性
（一）广义投资和狭义投资
广义的投资是指各个投资主体为了在未来获得经济效益或 社会效益而预先垫支一定资文本本的各种经济行为。
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狭义的投资则仅指投资于各种有价证券，进行有价证券的 买卖，也可称为证券投资（securities investment），如购买股 票、债券等。文本 来自本（二）直接投资和间接投资
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证券投资（securities investment）是指投资者将货币资 金投资于各种各样的有价证券，如股票、债券、基金等等。这种 行为会使投资者在证券的持有期内获文得本与其承担的风险相称的收 益。
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实物投资和证券投资的联系
➢如果我们以股份制企业作为考虑问题的基础，对资本运动全过程进 行考察，“证券投资”与“文实本物投资”是同一投资运行过程的两个阶 段，而且，“证券投资”是最基本的资本垫付，对于“文实本物投资”具 有决定意义。
投资学第1章专业知识
证明1：企业A旳这种投资是有意义旳
因为利息支出计入税前成本，所以企业A实际 税后成本为10%×（1-40%）=6%。
企业A投资于优先股旳股息税后收入为： 8% －8%×（1－80%）×40%=7.36% 。
证明2：这笔交易对企业B来说亦是盈利旳。
企业B经过借出资金取得利息收入，税后收益 为10％×（1－12％）＝8.8%，而企业B向企 业A支付旳优先股股息为8%。
投资者将选择风险小旳投资项目。
例如：投资项目A会得到拟定旳回报10％，而 项目B旳投资项目取得10％旳回报是不拟定旳， 则投资者必然选择项目A。
根据风险厌恶原则，对于同一种企业股票 给出旳回报要不小于债券。所以，高风险 旳投资需要高回报予以风险补偿。
复习：高风险高收益，低风险低收益，那 无风险是否就意味着无收益？
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参照书目
杨海明，王燕：《投资学》，上海人民出 版社 1999。
Zvi Bodie，Alex Kane，Anlan J. Marcus. Investments（5th Edition），机械工业出 版社.2002.
William F.Sharpe,Gordon J.Alexander , JeffreV.Bailey. Investments （5th Edition） 清华大学出版社. 1997.
时间性：牺牲目前消费（Reduced current consumption）计划旳将来消费（Planned later consumption）
资金旳时间价值
不拟定性（Uncertainty）——风险性
假如证券没有风险是否意味着没有收益？
收益性：增长投资者旳财富来满足将来旳消费
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概念辨析 财富（ Wealth）：现时收入（Present
《投资学博迪Cha》PPT课件
投资者为什么喜欢凸性?
• 曲率大的债券价格在收益下降时的价格上升大于在收益上涨时的价格下降。 • 收益率越不稳定，这种不对称性的吸引力就越大。 • 对于凸性较大的债券而言，投资者必须付出更高的价格并接受更低的到期收
益率。
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可赎回债券
• 当利率下降时，债券的市场价格有一个上限，债券价格不会超过其赎 回价格。
$1,000/1.053.7704 = $831.6717。价格下降 了0.0359%。
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久期法则
法则 1 零息债券的久期等于它的到期时间。 法债则券2 久到期期较时短间。不变时，当息票率较高时， 法限则增3 加票而面增利加率。不变时，债券久期会随期
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久期法则
法收则益4 率保较持低其时他，因息素票都债不券变的，久当期债会券较到长期。
5. 利率风险与债券票面利率成反比。 6. 债券价格对其收益变化的敏感性与当期
出售债券的到期收益率成反比。
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图 16.1 作为到期收益率变化的函数的债券 价格变化
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表 16.1 票面利率为8%的债券价格(半年付 息一次)
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表 16.2 零息债券的价格(半年计一次复利)
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积极债券管理：互换策略
• 替代互换 • 市场价差价互换 • 利率预期互换 • 纯收益获得互换 • 税收互换
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水平分析
• 选择特定的持有期并预测该期末的收益 率曲线。
• 给定持有到期时债券的到期时间， – 它的收益可以从预测的收益率曲线和 计算的期末价格中得出
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感谢下 载
• 负凸性 • 使用有效久期:
有效久期 P / P r
投资学复习重点
第一章投资学概论投资的概念是将一定数量的资财（有形的或无形的）投放于某种对象或事业，以取得一定收益或社会效益的活动；也指为获得一定收益或社会效益而投入某种活动中的资财。
投资的本质：货币资金转化为固定资产等生产要素的过程，也是社会扩大再生产的过程。
•按投资的运用方式不同进行分类，可分为：直接投资和间接投资•直接投资：将资金直接投入投资项目的建设或购置以形成固定资产或流动资产的投资。
•间接投资：按形式分为股票投资和债券投资。
投资者用货币购买股票、公司债或国家公债等有价证券，以获得收益的投资活动。
•五、投资在国民经济中的地位与作用•1．投资是一个国家经济增长的基本推动力。
•2．投资是国民经济持续快速健康发展的关键因素。
•3．投资为改善人民物质文化生活水平创造物质条件。
•4．投资为社会创造就业机会。
•一、研究对象•投资学是研究社会经济运动过程中投资的一般运动规律和不同投资的特殊运动规律的一门经济学科，是经济学的重要分支。
•二、研究方法•1、系统分析法•采用系统分析的思维方法和工作方法研究问题，着眼于总体，实现总体的优化。
•2、定性和定量分析相结合•3、静态和动态相结合•引入时间变量，从发展、变化的角度进行分析。
•第二章投资与经济发展•经济增长是指一个国家或地区在一定时期内生产总量的增加经济发展是在经济增长的基础上，一国或地区经济结构和社会结构持续高级化的过程。
1、总投入假设经济只生产一种产品，假设总投入只有劳动和资本，而且劳动是单一的工种，资本设备是单一的机器，还假定要素的数量在增长，但质量没有改进，已存在的生产方法也没有变化。
在以上假设条件下，投入和产出关系如何呢？•美国经济学家肯德里克在测算一些国家长时期投入和产出的增加时，发现产出的增长率一般大大高于投入的增长率。
国民收入总积累额＝国民收入总量－社会总消费量Keynesism 宏观经济学的加速数理论：假设：社会的资本存量和该社会的总产量之间存在一定的比例关系。
滋维博迪投资学Chap.ppt
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Rules for Duration
Rule 4 Holding other factors constant, the duration of a coupon bond is higher when the bond’s yield to maturity is lower
Rules 5 The duration of a level perpetuity is equal to: (1+y) / y
• Bonds with greater curvature gain more in price when yields fall than they lose when yields rise.
• The more volatile interest rates, the more attractive this asymmetry.
(y)2
]
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Figure 16.4 Convexity of Two Bonds
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Why do Investors Like Convexity?
• Bonds with greater convexity have more curvature in the price-yield relationship.
31_博迪《投资学》Chap001资料
• 货币市场上的固定收益型证券：长期证 券，这些证券有的违约风险较低相对比 较安全，有的风险相对较高。
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1-5
普通股证券和衍生证券
• 普通股证券代表了证券持有者对公司的 权益或所有权.
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住房融资的变化
传统方式
• 当地的储蓄机构为房主提 供抵押贷款
• 储蓄机构的主要资产: 长 期抵押贷款的组合
• 储蓄机构的主要负债: 储 户的存款
• “源于持有”
新兴方式
• 证券化: 房利美和房地美 购买抵押贷款并将它们捆 绑在一起组成资产池。
– 高级份额: 低风险, 最高评级
– 低级份额: 高风险, 低评级或垃圾评级
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抵押贷款衍生工具
• 问题: 这种评级是错误的! 这种结构给高级 份额带来的风险远远高于预期。
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• 抵押支持证券是指对相应 抵押贷款资产池的索取权。
• “源于分配”
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图 1.4 抵押转递证券的现金流
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住房融资的变化
• 房利美和房地美持有或担保符合条件的证 券化抵押贷款, 这些抵押贷款的风险很低且 被妥善记录.
• 由私营企业提供的以不符合条件的违约风 险高的次级贷款为支持的证券化产品.
投资学-Chap23
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Stock Index Contracts
Available on both domestic and international stocks. Advantages over direct stock purchase:
lower transaction costs better for timing or allocation strategies takes less time to acquire the portfolio
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Index Arbitrage and Program Trading
This is difficult to implement in practice. Transactions costs are often too large. Trades cannot be done simultaneously. Development of Program Trading Used by arbitrageurs to perform index arbitrage. Permits acquisition of securities quickly. Triple-witching hour Evidence that index arbitrage impacts volatility.
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Pricing on Stock Index Contracts
The spot-futures price parity that was developed in Chapter 22 is given as;
F0 = S0 (s + rf ) − D = S0 (1+ rf − d)
Owners of fixed-income portfolios protecting against a rise in rates. Corporations planning to issue debt securities protecting against a rise in rates. Investor hedging against a decline in rates for a planned future investment. Exposure for a fixed-income portfolio is proportional to modified duration.
投资学Chap
CHAPTER 26: HEDGE FUNDSPROBLEM SETS1. No, a market-neutral hedge fund would not be a good candidate for an investor’s entireretirement portfolio because such a fund is not a diversified portfolio. The term ‘market-neutral’ refers to a portfolio position with respect to a specified market inefficiency.However, there could be a role for a market-neutral hedge fund in the investor’s overall portfolio; the market-neutral hedge fund can be thought of as an approach for theinvestor to add alpha to a more passive investment position such as an index mutualfund.2. The incentive fee of a hedge fund is part of the hedge fund compensation structure; theincentive fee is typically equal to 20% of the hedge fund’s profits beyond a particularbenchmark rate of return. Therefore, the incentive fee resembles the payoff to a call option, which is more valuable when volatility is higher. Consequently, the hedge fund portfolio manager is motivated to take on high-risk assets in the portfolio, thereby increasingvolatility and the value of the incentive fee.3. There are a number of factors that make it harder to assess the performance of a hedgefund portfolio manager than a typical mutual fund manager. Some of these factors are:∙Hedge funds tend to invest in more illiquid assets so that an apparent alpha may be in fact simply compensation for illiquidity.∙Hedge funds’ valuation of less liquid assets is questionable.∙Survivorship bias and backfill bias result in hedge fund databases that report performance only for more successful hedge funds.∙Hedge funds typically have unstable risk characteristics making performance evaluation that depends on a consistent risk profile problematic.∙Tail events skew the distribution of hedge fund outcomes, making it difficult to obtain a representative sample of returns over relatively short periods of time.4. No, statistical arbitrage is not true arbitrage because it does not involve establishing risk-free positions based on security mispricing. Statistical arbitrage is essentially a portfolio of risky bets. The hedge fund takes a large number of small positions based on apparent small, temporary market inefficiencies, relying on the probability that the expectedreturn for the totality of these bets is positive.5. Management fee = 0.02 × $1 billion = $20 millionPortfolio rate of return (%) Incentive fee (%) Incentive fee ($ million) Total fee ($ million) Total fee (%) a.b.0 0 0 20 2 c.5 0 0 20 2 d.10 20 10 30 3 6. a.Since the hedge fund manager has a long position in the Waterworks stock, he should sell six contracts, computed as follows: 61,500$2500.75$3,000,000=⨯⨯contracts b.The standard deviation of the monthly return of the hedged portfolio is equal to the standard deviation of the residuals, which is 6%. The standard deviation of the residuals for the stock is the volatility that cannot be hedged away. For a market-neutral (zero-beta) position, this is also the total standard deviation. c.The expected rate of return of the market-neutral position is equal to the risk-free rate plus the alpha: 0.5% + 2.0% = 2.5% We assume that monthly returns are approximately normally distributed. The z-value for a rate of return of zero is: −2.5%/6.0% = −0.4167 Therefore, the probability of a negative return is: N(−0.4167) = 0.3385 7. a. The residual standard deviation of the portfolio is smaller than each stock’s standard deviation by a factor of 100 = 10 or, equivalently, the residual variance deviation of 6%, residual standard deviation is now 0.6%. b. The expected return of the market-neutral position is still equal to the risk-free rate plus the alpha:0.5% + 2.0% = 2.5%Now the z-value for a rate of return of zero is:−2.5%/0.6% = −4.1667Therefore, the probability of a negative return is: N(-4.1667) = 1.55 × 10-5A negative return is very unlikely.8. a. For the (now improperly) hedged portfolio:Variance = (0.252 × 52) + 62 = 37.5625Standard deviation = 6.129%b.Since the manager has misestimated the beta of Waterworks, the manager will sell four S&P 500 contracts (rather than the six contracts in Problem 6):41,500$2500.50$3,000,000=⨯⨯contracts The portfolio is not completely hedged so the expected rate of return is nolonger 2.5%. We can determine the expected rate of return by first computingthe total dollar value of the stock plus futures position. The dollar value ofthe stock portfolio is:$3,000,000 × (1 + r portfolio ) =$3,000,000 × [1 + 0.005 + 0.75 (r M – 0.005) + 0.02 + e] =$3,063,750 + ($2,250,000 × r M ) + ($3,000,000 × e)The dollar proceeds from the futures position equal:4 × $250 × (F 0 − F 1) = $1,000 × [(S 0 × 1.005) – S 1] =$1,000 × S 0 [1.005 – (1 + r M )] = $1,000 × [1,500 × (0.005 – r M )] =$7,500 − ($1,500,000 × r M )The total value of the stock plus futures position at the end of the month is:$3,071,250 + ($750,000 × r M ) + ($3,000,000 × e) =$3,071,250 + ($750,000 × 0.01) + ($3,000,000 × e) =$3,078,750 + ($3,000,000 × e)The expected rate of return for the (improperly) hedged portfolio is:($3,078,750/$3,000,000) – 1 = 0.02625 = 2.625%Now the z-value for a rate of return of zero is:−2.625%/6.129% = −0.4283The probability of a negative return is: N(-0.4283) = 0.3342Here, the probability of a negative return is very close to the probabilitycomputed in Problem 6.c. The variance for the diversified (but improperly hedged) portfolio is:(0.252 × 52) + 0.62 = 1.9225Standard deviation = 1.3865%The z-value for a rate of return of zero is:−2.625%/1.3865% = −1.8933The probability of a negative return is: N(-1.8933) = 0.0292The probability of a negative return is now far greater than the result with properhedging in Problem 7.d. The market exposure from improper hedging is far more important in contributingto total volatility (and risk of losses) in the case of the 100-stock portfolio becausethe idiosyncratic risk of the diversified portfolio is so small.9. The incentive fee is typically equal to 20% of the hedge fund’s profits beyond aparticular benchmark rate of return. However, if a fund has experienced losses in the past, then the fund may not be able to charge the incentive fee unless the fund exceeds its previous high water mark. The incentive fee is less valuable if the high-water mark is $67, rather than $66. With a high-water mark of $67, the net asset value of the fund must reach $67 before the hedge fund can assess the incentive fee. The high-watermark for a hedge fund is equivalent to the exercise price for a call option on an asset with a current market value equal to the net asset value of the fund.10. a. First, compute the Black Scholes value of a call option with the followingparameters:S0 = 62X = 66R = 0.04σ= 0.50T = 1 yearTherefore: C = $11.685The value of the annual incentive fee is:0.20 × C = 0.20 × $11.685 = $2.337b. Here we use the same parameters used in the Black-Scholes model in part (a) withthe exception that: X = 62Now: C = $13.253The value of the annual incentive fee is0.20 × C = 0.20 × $13.253 = $2.651c. Here we use the same parameters used in the Black-Scholes model in part (a) with theexception that:X = S0 × e0.04 = 62 × e0.04 = 64.5303Now: C = $12.240The value of the annual incentive fee is0.20 × C = 0.20 × $12.240 = $2.448d. Here we use the same parameters used in the Black-Scholes model in part (a) withthe exception that: X = 62 and = 0.60Now: C = $15.581The value of the annual incentive fee is0.20 × C = 0.20 × $15.581 = $3.11611. a. The spreadsheet indicates that the end-of-month value for the S&P 500 inSeptember 1977 was 96.53, so the exercise price of the put written at the beginningof October 1977 would have been:0.95 × 96.53 = 91.7035At the end of October, the value of the index was 92.34, so the put would haveexpired out of the money and th e put writer’s payout was zero. Since it is unusualfor the S&P 500 to fall by more than 5 percent in one month, all but ten of the 120months between October 1977 and September 1987 would have a payout of zero.The first month with a positive payout would have been January 1978. Theexercise price of the put written at the beginning of January 1978 would havebeen:0.95 × 95.10 = 90.3450At the end of January, the value of the index was 89.25 (more than a 6%decline), so the option writer’s payout would ha ve been:90.3450 – 89.25 = 1.0950The average gross monthly payout for the period would have been 0.2437 andthe standard deviation would have been 1.0951.b. In October 1987, the S&P 500 decreased by more than 21%, from 321.83 to251.79. The exercise price of the put written at the beginning of October 1987would have been:0.95 × 321.83 = 305.7385At the end of October, the option writer’s payout would have been:305.7385 – 251.79 = 53.9485The average gross monthly payout for the period October 1977 through October1987 would have been 0.6875 and the standard deviation would have been5.0026. Apparently, tail risk in naked put writing is substantial.12. a. In order to calculate the Sharpe ratio, we first calculate the rate of return for eachmonth in the period October 1982-September 1987. The end of month value forthe S&P 500 in September 1982 was 120.42, so the exercise price for the Octoberput is:0.95 × 120.42 = 114.3990Since the October end of month value for the index was 133.72, the put expiredout of the money so that there is no payout for the writer of the option. The rate ofreturn the hedge fund earns on the index is therefore equal to:(133.72/120.42) – 1 = 0.11045 = 11.045%Assuming that the hedge fund invests the $0.25 million premium along with the$100 million beginning of month value, then the end of month value of the fund is: $100.25 million × 1.11045 = $111.322 millionThe rate of return for the month is:($111.322/$100.00) – 1 = 0.11322 = 11.322%The first month that the put expires in the money is May 1984. The end ofmonth value for the S&P 500 in April 1984 was 160.05, so the exercise pricefor the May put is:0.95 × 160.05 = 152.0475The May end of month value for the index was 150.55, and therefore thepayout for the writer of a put option on one unit of the index is:152.0475 – 150.55 = 1.4975The rate of return the hedge fund earns on the index is equal to:(150.55/160.05) – 1 = -0.05936 = –5.936%The payout of 1.4975 per unit of the index reduces the hedge fund’s rate ofreturn by:1.4975/160.05 = 0.00936 = 0.936%The rate of return the hedge fund earns is therefore equal to:–5.936% – 0.936% = –6.872%The end of month value of the fund is:$100.25 million × 0.93128 = $93.361 millionThe rate of return for the month is:($93.361/$100.00) – 1 = –0.06639 = –6.639%For the period October 1982-September 1987:Mean monthly return = 1.898%Standard deviation = 4.353%Sharpe ratio = (1.898% – 0.7%)/4.353% = 0.275b. For the period October 1982-October 1987:Mean monthly return = 1.238%Standard deviation = 6.724%Sharpe ratio = (1.238% – 0.7%)/6.724% = 0.08013. a., b., c.Hedge Fund 1 HedgeFund 2HedgeFund 3Fundof FundsStand-AloneFundStart of year value (millions) $100.0 $100.0 $100.0 $300.0 $300.0 Gross portfolio rate of return 20% 10% 30%End of year value (before fee) $120.0 $110.0 $130.0 $360.0 Incentive fee (Individual funds) $4.0 $2.0 $6.0 $12.0End of year value (after fee) $116.0 $108.0 $124.0 $348.0 $348.0 Incentive fee (Fund of Funds) $9.6End of year value (Fund of Funds) $338.4Rate of return (after fee) 16.0% 8.0% 24.0% 12.8% 16.0% Note that the end of year value (after-fee) for the Stand-Alone (SA) Fund is the same as the end of year value for the Fund of Funds (FF) before FF charges its extra layer of incentive fees. Therefore, the investor’s rate of return in SA (16.0%) is higher than in FF (12.8%) by an amount equal to the extra layer of fees ($9.6 million, or 3.2%) charged by the Fund of Funds.d.HedgeFund 1 HedgeFund 2HedgeFund 3Fundof FundsStand-AloneFundStart of year value (millions) $100.0 $100.0 $100.0 $300.0 $300.0 Gross portfolio rate of return 20% 10% -30%End of year value (before fee) $120.0 $110.0 $70.0 $300.0Incentive fee (Individual funds) $4.0 $2.0 $0.0 $0.0 End of year value (after fee) $116.0 $108.0 $70.0 $294.0 $300.0 Incentive fee (Fund of Funds) $0.0End of year value (Fund of Funds) $294.0Rate of return (after fee) 16.0% 8.0% -30.0% -2.0% 0.0% Now, the end of year value (after fee) for SA is $300, while the end of year value for FF is only $294, despite the fact that neither SA nor FF charge an incentive fee. The reason for the difference is the fact that the Fund of Funds pays an incentive fee to each of the component portfolios. If even one of these portfolios does well, there will be anincentive fee charged. In contrast, SA charges an incentive fee only if the aggregateportfolio does well (at least better than a 0% return). The fund of funds structuretherefore results in total fees at least as great as (and usually greater than) the stand-alone structure.。
《投资学第1章》课件
04
投资风险与回报
风险与回报的关系
风险与回报成正比
通常来说，风险较高的投资往往能带来更高的回报，而风险较低的投资回报也 相对较低。
不同投资工具的风险和回报特点
股票、债券、基金、房地产等投资工具的风险和回报各有特点，投资者应根据 自身风险承受能力和投资目标进行选择。
如何评估风险和回报
历史数据
通过分析历史数据，可以了解不同投 资工具的风险和回报情况，从而为未 来的投资决策提供参考。
风险评估工具
利用现代金融理论和统计方法，可以 开发出各种风险评估工具，帮助投资 者更准确地评估投资风险和回报。
风险管理和资产配置
风险管理
通过合理的风险管理，投资者可以降低投资风险，提高投资 回报的稳定性。
债券
债券定义
债券收益
债券是发行人发行的一种债务凭证， 代表发行人对投资者的债务关系。
投资者购买债券可以获得利息收入， 同时也可以在二级市场卖出债券获得 差价收益。
债券种类
债券有多种类型，包括国债、企业债 、地方债等，每种债券具有不同的利 率和风险特征。
期货
1 2
期货定义
期货是一种标准化合约，买卖双方约定在未来某 一特定时间和地点交割一定数量的某种商品。
中期投资策略需要投资者关注 宏观经济和市场走势，以便及 时调整投资组合。
短期投资策略
01 02 03 04
短期投资策略是一种以短期收益为目标，通常以1-2年为一个周期的 投资策略。
短期投资策略的目标是在市场波动中获得短期收益，同时保持较高的 流动性。
短期投资策略通常包括高风险、高收益的投资工具，如股票、外汇和 期权等。
《投资学导论》课件
特定的投资目标和风险承受能力。
分散化原则
02
通过持有多种不同类型的资产，降低单一资产的风险，实现整
体风险的分散。
风险与回报权衡
03
投资者应根据自身的风险承受能力和投资目标，选择合适的资
产配置比例。
投资组合的风险与回报
风险测量
使用标准差、贝塔系数等指标来衡量投资组合的 风险。
回报测量
计算投资组合的平均回报率、夏普比率等指标， 以评估其相对于无风险利率的超额回报。
04
资产定价理论
资本资产定价模型（CAPM）
总结词
资本资产定价模型是一种描 述资产预期收益率与风险之 间关系的模型，用于评估单 个资产的合理预期收益率。
公式
CAPM的公式为 E(R)=Rf+β(E[Rm]-Rf)，其中 E(R)是资产预期收益率，Rf是 无风险收益率，β是资产的系 统风险系数，E[Rm]是市场组
损失厌恶
投资者对损失的反应比对同等规模获 利的反应要强烈，导致保守的投资决 策。
羊群效应
投资者容易受到其他人的影响，跟随 大众的决策，而非独立思考。
代表性启发
投资者倾向于根据过去的经验来预测 未来的结果，忽视其他可能因素。
行为金融学的主要理论与应用
前景理论
过度反应与反应不足
该理论解释了投资者如何评估风险和收益 ，以及在面对不确定性时的决策过程。
投资工具的分类与特点
01
股票
代表公司所有权，收益与公司盈利 相关，风险较高。
期货
标准化合约，高杠杆，风险较大。
03
02
债券
固定收益证券，风险低，收益稳定 。
基金
集合投资，分散风险，专业管理。
《投资学》第一章投资学概论
根据投资对象、投资期限、投资目的 等不同标准，投资可分为实物投资、 金融投资、长期投资、短期投资等多 种类型。
投资学研究对象与任务
研究对象
投资学主要研究投资活动的基本规律、 投资市场的运行机制、投资主体的行 为特征以及投资策略的选择等问题。
研究任务
投资学的任务是揭示投资活动的内在 规律，为投资者提供科学的决策依据 和方法，促进投资活动的健康发展。
投资活动参与者角色分析
投资者
融资者
投资者是投资活动的主体，包括个人投资 者和机构投资者，他们的行为特征和决策 过程对投资市场有着重要影响。
融资者是投资活动的资金需求方，他们通 过发行股票、债券等金融工具筹集资金， 用于扩大生产、改善经营பைடு நூலகம்目的。
中介机构
监管机构
中介机构在投资活动中扮演着桥梁和纽带 的角色，他们为投资者和融资者提供信息 咨询、交易撮合、资产管理等服务。
适应新环境。
可持续发展理念在投资中应用
可持续发展理念逐渐成为全球共识，投资者越来越关注企业的社会责任和环保表现。 绿色金融、社会责任投资等可持续投资方式逐渐兴起，为投资者提供了更多选择。
可持续投资也有助于推动企业履行社会责任，实现长期可持续发展。
监管政策变革及市场应对
各国监管政策不断调整和完善， 对投资市场产生深远影响。
信息比率
衡量投资组合相对于基准的超额收益与跟踪误差 之间的比率。
特雷诺比率
衡量投资组合承受的系统风险所获得的超额收益。
投资者风险偏好分析
风险厌恶型投资者
偏好低风险投资，追求稳定的收益。
风险偏好型投资者
愿意承担较高风险以追求更高的收益。
风险中性投资者
对风险无特别偏好，关注投资品种的预期收 益。
投资学理论讲义课件
投资者是理性的，追求效用最大化
03
市场是完全竞争的，无摩擦
资本资产定价模型（CAPM）
01
所有投资者具有相同的预期和风险偏好
02
CAPM主要内容
03
系统性风险与非系统性风险
资本资产定价模型（CAPM）
资本市场线（CML） 证券市场线（SML）
β系数与期望收益率的关系
股票投资分析
03
股票基本面分析
02
资产配置方法
历史数据法
03
资产配置原则和方法
情景分析法
蒙特卡洛模拟法
马科维茨投资组合理论
投资组合 投资组合理论基本概念
可行集
01
03 02
马科维茨投资组合理论
有效集
1
2
马科维茨投资组合理论主要内容
均值-方差分析Leabharlann 3马科维茨投资组合理论
有效前沿
最优投资组合
资本资产定价模型（CAPM）
01
CAPM基本假设
07 投资学前沿话题探讨
加密货币与区块链技术在投资领域的应用
加密货币作为投资资 产类别的崛起
价格波动与风险管理
市值增长与投资者接 受度
加密货币与区块链技术在投资领域的应用
01
区块链技术在投资领域的应用案例
02
智能合约与自动化执行
03
提高透明度和减少欺诈
加密货币与区块链技术在投资领域的应用
01
05 衍生品市场及投资策略
期货市场简介及交易策略
01
期货市场基本概念
期货合约、交易所、交割等
02
期货交易策略
03
期货市场风险管理
套期保值、套利交易、趋势跟踪 等
投资学英文课件-(10)【可修改文字】
(ri - rf) = i + i (rm - rf) + ei
Risk Premium Or Excess Return
Market Risk Premium or Index Risk Premium
i = the stock’s expected return ifs zero (rm - rf) = 0
GE's contribution to risk premium wGE E(rGE ) rf E(rGE ) rf
GE's contribution to variance
wGECov(rGE , rM ) Cov(rGE , rM )
9-10
Using GE Text Example Continued
9-15
Liquidity and the CAPM
• Liquidity • Illiquidity Premium • Research supports a premium for illiquidity.
– Amihud and Mendelson – Acharya and Pedersen
• CAPM holds for the overall portfolio because:
E(rP ) wk E(rk ) and
k
P wk k
k
• This also holds for the market portfolio:
E(rM ) rf M E(rM ) rf
9-12
• Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value
滋维博迪投资学Chap023-PPT文档资料
determine the hedge ratio.
INVESTMENTS | BODIE, KANE, MA2R3C-1U8S
Hedging Systematic Risk Example
• Futures price too low - long the future and short sell the underlying stocks
INVESTMENTS | BODIE, KANE, MA2R3C-1U6S
Index Arbitrage and Program Trading
• Foreign currency futures are traded on the CME and the London International Futures Exchange.
INVESTMENTS | BODIE, KANE, MAR2C3U-3S
Figure 23.2 Foreign Exchange Futures
INVESTMENTS | BODIE, KANE, MAR2C3U-4S
Pricing on Foreign Exchange Futures
•Interest rate parity theorem
Developed using the US Dollar and British Pound
T
Portfolio Beta = .8
S&P 500 = 1,000
Decrease = 2.5%
S&P falls to 975
Portfolio Value = $30 million
投资学讲义(DOC 246页)
假設朱一決定自行創業成立公司生產CPU專用的散熱風扇。公司設立前，朱一必須聘請會計、財務以及採購治理人員負責採購生產原物料以及財務、人事治理，找到合適的廠房、機器設備，並招募到足夠的工人從事生產。
依財務治理的用語，朱一這些決策已涉及了廠房、機器設備的購置或租賃、存貨以及人力資源治理與運用等投資行為。這些投資所需支出等於公司應籌措的金額。假如CPU散熱專用風扇的銷售狀況如事前的預期，扣除各項成本支出後，所剩餘的确实是公司投資所創造的價值。當初朱一因此願意成立公司生產CPU散熱用風扇，無非确实是預期到這些投資的活動能為朱一及公司其他股東在未來創造最大的價值。購買廠房、機器、土地或累積存貨或保有現金等於公司資產的增加，這些資產投入公司與營運會為公司未來各期創造收益，這些收益若大於購置資產的支出，就表示投資計畫是值得的。由於未來的收益分屬不同期間，如何將這些收益轉換為同一單位來衡量是評估投資計畫的首要步驟。也确实是說，財務治理第一要處理确实是時間要素，如此才能給何謂「價值」找答案！為籌措執行投資計劃所需的資金，朱一可借款或發行債券或發行新股，此屬於融資決策（financing decisions）範疇。一旦決定籌措資金方式將會改變公司負債及股東權益的大小與結構比重。
公司一旦決定投資計劃後，接下來的工作确实是籌措執行這個投資計畫所需的資金。籌資方式則表現在資產負債表的右邊。資產負債表右邊要紧的項目有負債（debt）以及股東權益（shareholders’ equity）。如同資產一样，負債亦可區分為流動負債（current debt），如：應付帳款及一年期以下的貸款或負債以及長期負債（long-term debt）。而股東權益則是資產價值扣除負債總額的殘值，當資產價值大於負債總額時，股東權益才是正數，這也是為何股東權益屬於股東對公司資產的殘餘價值（資產價值扣除負債）的請求權。一個典型的資產負債表可表現如下：
投资学投资概论ppt教案(2024)
2024/1/29
资本市场没有摩擦。所谓摩擦，是指市场对资本和信息自由流动的阻碍。
16
资本资产定价模型的公式与含义
公式
E(ri)=rf+βim(E(rm)-rf)。其中，E(ri)表示投资组合i的期望收益率，rf为无风险收益率，βim表示投资组合i的系统 风险，E(rm)表示市场m的预期市场收益率。
20世纪80年代后，关注投资者心理和行 为对投资决策的影响，对现代投资理论进 行补充和修正。
2024/1/29
5
投资学的研究方法
01
实证研究方法
运用统计和计量经济学工具， 对投资市场数据进行实证分析 ，检验投资理论的假设和预测
。
2024/1/29
02
规范研究方法
基于经济学、金融学等理论， 构建投资行为的规范模型，为
投资学投资概论ppt教案
2024/1/29
1
目录
2024/1/29
• 投资学概述 • 金融市场与金融工具 • 投资组合理论 • 资本资产定价模型 • 债券投资分析 • 股票投资分析 • 衍生金融工具投资分析
2
01
投资学概述
2024/1/29
3
投资学的定义与研究对象
01
投资学的定义
02
研究对象
研究投资行为和投资市场的学科，探讨投资者如何在不确定环境下进 行资源配置以获取收益。
看涨期权和看跌期权。
期权投资策略
保护性看跌期权策略、备兑开仓策略、价差 策略等。
30
其他衍生金融工具投资分析
01
远期合约
非标准化的远期合约，与期货 合约类似但更加灵活。
02
互换合约
双方同意交换未来一系列现金 流的合约，包括利率互换、货
投资学基础PPT培训课件
2021/12/21
21
Jorgenson,1963 新古典
厂商投资理论
微观投资理论发展简图
Eisner and Strotz (1963) Lucas(1967)，Gould (1968)
以及Treadway(1969) 资本调整成本理论
Tobin,1969 Q理论
Arrow, 1968 引入不可逆性假设 Abel, 1983,1984, 1985 Bernanke, 1983
Petersen,1988 宏观投资的微观基础
Kaplan and Zingales, 1997
宏观投资的微观基础
20
（二）现代投资理论的产生（续）
在宏观领域 后凯恩斯主义者不仅提出了IS-LM和AS—AD模型，形成了以乘数-加
速数模型为基础的一系列经济周期理论，同时还建立了几种以投资为关 键性变量的经济增长理论模型，其中主要的有哈罗德—多马模型、新古 典增长模型和新剑桥增长模型。
Chenery(1952)、Kyock(1954)和Eisner(1960)分别得出了灵活加速器 理论或者分布滞后的加速器理论。该理论区分了实际的资本存量和合意 的资本存量，着重强调的是产量需求对投资的决定作用。
Witte（1963）在凯恩斯理论的框架内，重新讨论了总体投资函数的 微观基础，强调了投资函数是市场均衡曲线。
G·M·Dowrie, D·R·Fuller，广义的投资是指以获利为目的的资本使用， 包括购买股票和债券，也包括运用资金以建筑厂房、购置设备、原材料等从 事扩大生产流通事业；狭义的投资指投资人购买各种证券，包括政府公债、 公司股票、公司债券、金融债券等。
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一、投资的定义（续）
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23-9
Index Arbitrage
23-5
Hedge Ratio for Foreign Exchange Example
Hedge Ratio in pounds $200,000 per $.10 change in the pound/dollar exchange rate $.10 profit per pound delivered per $.10 in exchange rate = 2,000,000 pounds to be delivered Hedge Ratio in contacts Each contract is for 62,500 pounds or $6,250 per a $.10 change $200,000 / $6,250 = 32 contracts
23-8
Pricing on Stock Index Contracts
The spot-futures price parity that was developed in Chapter 22 is given as;
F0 = S0 (s + rf ) − D = S0 (1+ rf − d)
Exploiting mispricing between underlying stocks and the futures index contract. Futures Price too high - short the future and buy the underlying stocks. Futures price too low - long the future and short sell the underlying stocks.
23-7
Creating Synthetic Positions with Futures
Synthetic stock purchase:
Purchase of the stock index instead of actual shares of stock.
Creation of a synthetic T-bill plus index futures that duplicates the payoff of the stock index contract.
23-11
Hedging Systematic Risk
To protect against a decline in level stock prices, short the appropriate number of futures index contracts. Less costly and quicker to use the index contracts. Use the beta for the portfolio to determine the hedge ratio.
Owners of fixed-income portfolios protecting against a rise in rates. Corporations planning to issue debt securities protecting against a rise in rates. Investor hedging against a decline in rates for a planned future investment. Exposure for a fixed-income portfolio is proportional to modified duration.
23-16
Hedging Interest Rate Risk: Text Example
Portfolio value
= $10 million
Modified duration = 9 years If rates rise by 10 basis points (.1%) Change in value = ( 9 ) ( .1%) = .9% or $90,000 Present value of a basis point (PVBP) = $90,000 / 10 = $9,000
Domestic interest rate contracts
T-bills, notes and bonds municipal bonds
International contracts
Eurodollar
Hedging
Underwriters Firms issuing debt
23-15
Uses of Interest Rate Hedges
23-2
Pricing on Foreign Exchange Futures
Interest rate parity theorem Developed using the US Dollar and British Pound
1+ r US F0 = E0 1+ r UK
23-12
Hedging Systematic Risk: Text Example
Portfolio Beta = .8 Decrease = 2.5% S&P 500 = 1,000 S&P falls to 975
Portfolio Value = $30 million Project loss if market declines by 2.5% = (.8) (2.5) = 2% 2% of $30 million = $600,000 Each S&P500 index contract will change $6,250 for a 2.5% change in the index
If the futures price varies from $1.58 per pound arbitrage opportunities will be present.
23-4
Hedging Foreign Exchange Risk
A US firm wants to protect against a decline in profit that would result from a decline in the pound: Estimated profit loss of $200,000 if the pound declines by $.10. Short or sell pounds for future delivery to avoid the exposure.
Futures and Swaps: A Closer Look
Chapter 23
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
Foreign Exchange Futures
Interest rate cap Interest rate floor Collars Swaptions
23-20
Pricing on Swap Contracts
Swaps are essentially a series of forward contracts. One difference is that the swap is usually structured with the same payment each period while the forward rate would be different each period. Using a foreign exchange swap as an example, the swap pricing would be described by the following formula.
23-10
Index Arbitrage and Program Trading
This is difficult to implement in practice. Transactions costs are often too large. Trades cannot be done simultaneously. Development of Program Trading Used by arbitrageurs to perform index arbitrage. Permits acquisition of securities quickly. Triple-witching hour Evidence that index arbitrage impacts volatility.
where
T
F0 is the forward price E0 is the current exchange rate
23-3
Text Pricing Example
rus = 5% T = 1 yr
ruk = 6%
1
E0 = $1.60 per pound
1.05 F0 = $1.60 = $1.585 1.06
23-6
Stock Index Contracts
Available on both domestic and international stocks. Advantages over direct stock purchase:
lower transaction costs better for timing or allocation strategies takes less time to acquire the portfolio