International Investments Chapter 6
在风险资产和无风险资 产间的资产配置
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Guidelines
I. 在风险资产和无风险资产间 的资产配置
1. 风险资产和无风险资产
2. 在风险资产和无风险资产间 的资产配置
II. 一个风险资产和一个无风险 资产的组合的风险和收益
III. 最佳资产分配决策
the risky asset.
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Allocation between risky assets and risk-free assets
σP = Wr×σr
(6.2)
where σr denotes the standard deviation on the risky asset’s expected return.
II. Risk and Returns on a Portfolio of One Risky and One Risk-free Asset
III. Optimal Assets Allocation Choice
IV. Summary
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I. Allocation between risky assets and risk-free assets
E(RP) = Wr E(Rr) + (1－Wr) Rf
(6. 1)
where E(Rr) : the expected rate of return of risky asset.
Suppose that E(Rr) = 10%, σr = 18%, Rf = 4%:
E(RP) = 0.10×Wr + 0.04×(1－Wr)
Risky asset: Any forms of firm’s long-term borrowing, like bonds and stocks, traded in the capital market.
The choice of the asset classes in which to invest can be between the risk-free assets and the risky assets.
E(RP) = Rf + [E(Rr)－Rf ]×Wr = 0.04 +(0.10－0.04)×Wr
the total return on their investment increased depends on
the magnitude of the risk premium and investor's position in
Regardless how many securities we invest in each assets class, we treat each assets class as a single asset.
A portfolio of one risky asset and one risk-free asset is less risky than holding risky assets only.
If Wr = 50% , σr = 18%, then, σP = 0.5×0.18 = 0.09
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Capital Allocation Line
According to the linear nature of portfolio’s expected rate of return and its risk as in equation (6.1) and (6.2), we can illustrate it using a diagram with standard deviation on the horizontal axis, and expected rate of return on the vertical axis.
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Allocation between risky assets and risk-free assets
Capital allocation decision is concerning a choice across asset classes, not one class or securities of one firm.
IV. 小结
I. Asset Allocation between Risky and Risk-free Assets
1. The Risk-free Assetation between Risky and Risk-free Assets
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Figure 6.1 Capital Allocation Line
E(RP) 100% in risky asset B
E(Rr)=10% A
Rf =4%
100% in risk-free asset
σr = 18%
CAL (Capital Allocation Line)
σp
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Capital Allocation Line
If we connect all portfolio points with different weights being the fraction of the total portfolio invested in each asset, we got a straight line which is limited between points A and B.
Risk-free asset: The instruments are short term, highly liquid debt securities such as U.S Treasury bills, banker’s acceptances (BAs), commercial paper (CP), and bank certificates of deposit (CDs).
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Allocation between risky assets and risk-free assets
If we form a portfolio with Wr, the proportion of the investment fund in the risky asset, and Wf or (1－Wr), in the risk-free asset, then :