金融技术分析
合集下载
相关主题
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
Investments
Introduction to Investments
Available Investment Options
Put your money under your mattress. Put your money in the bank or buy bonds from the
25%
15.00%
25.00%
75%
Portfolio Return is: (rA* WA) + (rB* WB) =
13.75%
Portfolio Risk is NOT: (RA* WA) + (RB* WB) <>
23.75%
Markowitz, Harry M. (1952). "Portfolio Selection". Journal of Finance 7 (1): 77-91.
Valuing your Investment
How much would you pay for each of these businesses?
Valuing your Investment
Let’s take a look at a simple case: How much would you pay for Jason’s gum
Diversification Effect
M arkowitz Equation:
Portfol i o
Ri sk
=百度文库
[WA2 *R A2]+
[W
2 B
*R B2]+
[2W
AW
B
CovarianceAB]
Risk A
Risk B
Risk A&B Interact
CovarianceAB = CorrelationAB StdA StdB, thus when Correlation is Negative, Overall Portfolio Risk becomes smaller
Risk (Standard Deviation)
Z
More Risk
Risk Adjusted Return
The Sharpe ratio, developed by Nobel Laureate William Sharpe, is designed to measure how many excess units of returns an investor can achieve over the risk-free rate for each unit of risk taken.
Valuing your Investment
Lending money to your bank, the government or corporation can earn you interest on your money. So the value of your investment is the value you lend plus interest.
Where, W= Weights R = Standard Deviation
Standard Deviation
Times series standard deviation or volatility is defined as risk Cross sectional standard deviation of dispersion should be
business?
Based on: Greenblatt, J., The Little Book That Beats the Market, John Wiley & Sons Inc., Hoboken, New Jersey, 2006.
Risk and Return
Higher Returns Rate of Returns
Y X U.S. Treasury
Efficient Frontier
* Portfolio A'' * Portfolio A' * Portfolio A
* Portfolio C * Portfolio B
Risk and Return
Higher Returns Rate of Returns
Y X U.S. Treasury
Efficient Frontier
* Portfolio A'' * Portfolio A' * Portfolio A
* Portfolio C * Portfolio B
government. You will be guaranteed an interest rate and your money back with no risk or little risk. Buy bonds sold by corporations. You will earn a higher interest rate than what the bank or the government guaranteed, but you can loose little or all of your money. Other investment options that can earn you more: buy a business, buy real estate or invest in the market.
Risk (Standard Deviation)
Z
More Risk
Risk and Return Properties
Two Stocks Portfolio Exam ple
Stock A Stock B
Returns (r) Risk- Std (R) Weight (W)
10.00%
20.00%
considered as opportunity not risk
Investments
How to Value Investments
Valuing your Investment
The amount of money you put under your mattress is what you will always have. What that money can buy you is the true value of that investment
Introduction to Investments
Available Investment Options
Put your money under your mattress. Put your money in the bank or buy bonds from the
25%
15.00%
25.00%
75%
Portfolio Return is: (rA* WA) + (rB* WB) =
13.75%
Portfolio Risk is NOT: (RA* WA) + (RB* WB) <>
23.75%
Markowitz, Harry M. (1952). "Portfolio Selection". Journal of Finance 7 (1): 77-91.
Valuing your Investment
How much would you pay for each of these businesses?
Valuing your Investment
Let’s take a look at a simple case: How much would you pay for Jason’s gum
Diversification Effect
M arkowitz Equation:
Portfol i o
Ri sk
=百度文库
[WA2 *R A2]+
[W
2 B
*R B2]+
[2W
AW
B
CovarianceAB]
Risk A
Risk B
Risk A&B Interact
CovarianceAB = CorrelationAB StdA StdB, thus when Correlation is Negative, Overall Portfolio Risk becomes smaller
Risk (Standard Deviation)
Z
More Risk
Risk Adjusted Return
The Sharpe ratio, developed by Nobel Laureate William Sharpe, is designed to measure how many excess units of returns an investor can achieve over the risk-free rate for each unit of risk taken.
Valuing your Investment
Lending money to your bank, the government or corporation can earn you interest on your money. So the value of your investment is the value you lend plus interest.
Where, W= Weights R = Standard Deviation
Standard Deviation
Times series standard deviation or volatility is defined as risk Cross sectional standard deviation of dispersion should be
business?
Based on: Greenblatt, J., The Little Book That Beats the Market, John Wiley & Sons Inc., Hoboken, New Jersey, 2006.
Risk and Return
Higher Returns Rate of Returns
Y X U.S. Treasury
Efficient Frontier
* Portfolio A'' * Portfolio A' * Portfolio A
* Portfolio C * Portfolio B
Risk and Return
Higher Returns Rate of Returns
Y X U.S. Treasury
Efficient Frontier
* Portfolio A'' * Portfolio A' * Portfolio A
* Portfolio C * Portfolio B
government. You will be guaranteed an interest rate and your money back with no risk or little risk. Buy bonds sold by corporations. You will earn a higher interest rate than what the bank or the government guaranteed, but you can loose little or all of your money. Other investment options that can earn you more: buy a business, buy real estate or invest in the market.
Risk (Standard Deviation)
Z
More Risk
Risk and Return Properties
Two Stocks Portfolio Exam ple
Stock A Stock B
Returns (r) Risk- Std (R) Weight (W)
10.00%
20.00%
considered as opportunity not risk
Investments
How to Value Investments
Valuing your Investment
The amount of money you put under your mattress is what you will always have. What that money can buy you is the true value of that investment