MINGGU 2-4

Analisis Investasi & Portopolio

Pokok Bahasan:

Investasi Dari Sudut Pandang Investor

Tujuan Instruksional Khusus:

Untuk memberikan pemahaman berkenaan dengan risiko dan

imbalan, serta peran investor dalam pengambilan investasi

Referensi:
1. .Bodie, Kane, Marcus: Investment ch: 6-8

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 Risk Aversion & Capital Allocation to
Risky Asset
Speculation : “The assumption of considerable risk to obtain commensurate
gain”
• Considerable risk : “The risk is sufficient to affect the decision”.
(An individual may reject investment that has + Risk Premium because ?)
• Commensurate gain : “ Positive Risk Premium, that is, an expected profit
greater than the risk free alternative.
Gambling : “to bet or wager on an uncertain outcome”

Beda Speculation VS Gamble ?

To turn Gamble to speculation prospects ?

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 Risk - Uncertain Outcomes
W1 = 150 Profit = 50

W = 100
1-p = .4
W2 = 80 Profit = -20

E(W) = pW1 + (1-p)W2 = 6 (50) + .4(-20) = 22

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 Risky Investments with Risk-
Free
W1 = 150 Profit = 50
Risky Inv.

100 1-p = .4
W2 = 80 Profit = -20

Risk Free T-bills Profit = 5

Risk Premium = 17 –> (22-5)

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 Risk Aversion & Utility
• Investor’s view of risk
– Risk Averse
– Risk Neutral
– Risk Seeking
Faktor penting penentu investasi adalah:
→(i) risk character serta
Risk Free 5%
→(ii) informasi
Portfolio Risk Premium Expected Risk (SD)
return
Low Risk 2% 7% 5%
Medium Risk 4% 9% 10%
High Risk 8% 13% 20%
 Risk Aversion & Utility
• Utility → score to competing investment portfolio on the basis of
the Expected return & risk Profile.
• Higher utility to Higher expected return & lower score higher
volatility.
Utility Function
U = E ( r ) – 1/2 A s 2
U = Utility
A = measures the degree of risk aversion
 Risk Aversion and Value:
U = E ( r ) - .005 A s 2
= .22 - .005 A (34%) 2
Risk Aversion A Value
High 5 -6.90
3 4.66 T-bill = 5%
Low 1 16.22
 Risk Aversion & Utility
• Investor’s view of risk
– Risk Averse
– Risk Neutral → A = 0 → U ?
– Risk Seeking → A < 0→ U ?

U = E ( r ) – 1/2 A s 2
 Apa yang dapat dijelaskan?

• Suatu investasi yang sama, dimaknai berbeda.

Tergantung dari risk character investor.
• ‘less risk averse’ akan ‘more tolerant’
terhadap risiko. Sehingga risiko dimaknai
lebih rendah
 Indifference Curves

Expected Return

Increasing Utility

Standard Deviation

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 Utility and Indifference Curves

• Represent an investor’s willingness to trade-

off return and risk.
• Example A=4
Exp Ret St Deviation U=E ( r ) - .005As2
10 20.0 2
15 25.5 2
20 30.0 2
25 33.9 2
 Expected Return, variance of return
E (r ) =  P( s)r ( s)
s

s = s P( s)[r ( s) − E (r )]
2
2

P(s) = Probability of each scenario

r(s) = HPR in each scenario

HPR = ((Ending Price – Beginning Price )+ Cash Dividen)

Beginning Price

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 Return on a Portfolio

Rule 3: The rate of return on a portfolio is a weighted

average of the rates of return of each asset comprising
the portfolio, with the portfolio proportions as weights.

rp = W1r1 + W2r2
W1 = Proportion of funds in Security 1
W2 = Proportion of funds in Security 2
r1 = Expected return on Security 1
r2 = Expected return on Security 2

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 Portfolio Risk with Risk-Free
Asset
Rule 4: When a risky asset is combined with a risk-free asset, the
portfolio standard deviation equals the risky asset’s standard
deviation multiplied by the portfolio proportion invested in the
risky asset.

s p = wriskyasset  s riskyasset
 Portfolio Risk
Rule 5: When two risky assets with variances s12 and s22,
respectively, are combined into a portfolio with portfolio
weights w1 and w2, respectively, the portfolio variance is
given by:

σp2 = wi2 σi2 +  2 Wi Wj Cov(rirj)

Cov(rirj) = Covariance of returns for

Security 1 and Security 2
 Allocating Capital: Risky & Risk
Free Assets
• Capital allocation decision: It’s possible to split investment funds
between safe and risky assets.

• Asset allocation dec: dist invest berisiko pada berbagai asset: stock,
bond, dll

• Security selection dec: pilihan berbagai sekuriti

• Risk free asset: proxy; T-bills (SBI)
• Risky asset: stock (or a portfolio)
 Allocating Capital: Risky & Risk
Free Assets
Issues
• Examine risk/return tradeoff.
→ how much portfolio invested in Risk free vs Risky Assets
• Demonstrate how different degrees of risk aversion will affect
allocations between risky and risk free assets.
 Risky Assets = P
Risk Free Assets = F

Initial Portfolio = $ 300.000, of which 90.000 is invested in Risk

Free assets & the remaining is invested in Risky Securities
= $ 113.400 in Equities & $ 96.600 in long term Bond.
The Equities & Long bond holdings :
E → W E = 113.400/210.000 = 0,54
B → W B = 96.600/210.000 = 0,46
Weight of Risky Portfolio:
y = 210.000/300.000 = 0,70 (Risky Assets)
1 – y = 90.000/300.000 = 0,30 (Risk Free Assets)
 Risky Assets = P
Risk Free Assets = F

The Weight of each asset class in the complete prortfolio:

E : 113.400/300.000 = 0,378
B: 96.600/300.000 = 0,322
Risky Portfolio = E + B = 0,700
Bila investor ingin mengurangi Resiko dgn mengurangi Alokasi di
Asset Berisiko dari 0,70 menjadi 0,56 ?
Risky → 0,56*300.000 = 168.000
Risk Free → 0,44*300.000 = 132.000
The Risk Free Asset

1. T Bill
2. CD
3. CP

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 Portfolio of One Risky Asset &
Risk Free Asset
→ Examine the Risk & return combination available. (Technical alloc)
• Proportion of the Investment budget = y, allocated to Risky
Portf = (P) & 1 – y invested in Risk Free (F).
• Return of P – rp,
• Expected Return E(rp), σp & rf as Risk Free
E(rp) = 15% sp = 22% rf = 7%
Risk Premium on the Risky Asset = ?
(rc) = y(rp) + (1 - y)rf
E(rc) = yE(rp) + (1 – y) rf σc = yσp = 22y
= rf + yE(rp) - rf
= 7+ y(15-7)
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 Sharpe ratio
1. P→ y = 1,0 → ???
2. P → y = 0,0 → ??? S = E(rp) – rf
3. y between 0 – 1 ??? (0,5) σp
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 Example

rf = 7% srf = 0%

E(rp) = 15% sp = 22%

y = % in p (1-y) = % in rf

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 Expected Returns for Combinations

E(rc) = yE(rp) + (1 - y)rf

rc = complete or combined portfolio

E(rc) = 7% + y (15%-7%)
 Capital Allocation Line with Leverage
Contoh:
Anggaran investasi 300.000 & investor meminjam 120.000
diinvest pada aset berisiko.
Sehingga y = 420.000 / 300.000
y = 1,4
E(rc) = 7% + 1,4 (8%) = 18,2%
sp = 1,4 * 22% = 30,8%

S ={ E (rc) – rf / s c} = ( 18,2 – 7) / 30,8

= 0,36
 Risk Aversion and Allocation

Greater levels of risk aversion lead to larger

proportions of the risk free rate.
Lower levels of risk aversion lead to larger proportions
of the portfolio of risky assets.
• Willingness to accept high levels of risk for high
levels of returns would result in leveraged
combinations.
 Risk Aversion and Allocation
(1) (2) (3) (4)
y E(rc) σc U=(Erc)-1/2Aσ²
0 0,070 0 0,0700
0,2 0,086 0,044 0,0821
0,41 0,102 0,092 0,0865
0,5 0,110 0,110 0,0856
0,8 0,134 0,176 0,0720
0,9 0,142 0,198 0,0636
1,0 0,150 0,220 0,0532

How to construct optimal portfolio ,”C”, ?

 Risk Aversion and Allocation

y* = E(rp) – rf / Aσ²p
Alokasi Modal :
Menggunakan contoh sebelumnya, maka posisi optimal bagi
investor yg enggan berisiko ialah : 0,41
Dengan y = 0,41, maka E(rc) = 10,28%
σc = 0,41 * 22
= 9,02%
S = E rc – rf / σc
= ( 10,28 – 7 ) / 9,02
= 0,36
 Mencari Imbal hasil dengan mempertahankan
Utilitas yg sama
U = E ( r ) – 1/2 A s 2
E ( r ) = U + 1/2 A s 2
Mencari Imbal hasil dengan mempertahankan
Utilitas yg sama
CAL
CAL
 CAL with Risk Preferences
E(r) The lender has a larger A when
compared to the borrower

Borrower

7%
Lender

s
sp = 22%
End of 3rd