博迪投资学第八版chap005.doc

文档介绍：Chapter5RiskandReturn:PastandPrologueThe1%VaRwillbelessthan-30%.,,,,areductionof4%(r)=[´44%]+[´14%]+[´(–16%)]=14%s2=[´(44–14)2]+[´(14–14)2]+[´(–16–14)2]=540 s=%Themeanisunchanged,: Boom: (50–40+2)/40==% Normal: (43–40+1)/40==% Recession: (34–40+)/40=–=–% E(HPR)=[(1/3)´30%]+[(1/3)´10%]+[(1/3)´(–%)]=% s2(HPR)=[(1/3)´(30–)2]+[(1/3)´(10–)2]+[(1/3)´(––)2] = s==%E(r)=(´%)+(´4%)=% s=´%=%Time-weightedaveragereturnsarebasedonyear-by-=[(capitalgains+dividend)/price]2007-2008(110–100+4)/100=%2008-2009(90–110+4)/110=–%2009-2010(95–90+4)/90=%Arithmeticmean:% Geometricmean:%TimeCashflowExplanation0-300Purchaseofthreesharesat$100pershare1-208Purchaseoftwosharesat$110,eonthreesharesheld2110Dividendsonfiveshares,plussaleofoneshareat$903396Dividendsonfourshares,plussaleoffoursharesat$95pershare396||||110|||||Date:1/1/071/1/081/1/091/1/10|||||||||208300 Dollar-weightedreturn=Internalrateofreturn=–%E(rm)–rf=AsP2=4´()2==%=AsP2=A´()2ÞA==(A),–2008,themeanannualriskpremiumforlargestocksoverT-% E(r)=Risk-freerate+Riskpremium=5%+%=%Inthetablebelow,