:

Risk and Return


. :
. :
:
.
: .
: Beta
.
: .

Return Defined and Measurement



.Holding Period Return
:
= } ( ) +
{

.
 Measuring Returns
over Multiple Periods :
-1 Arithmetic Average
.

-2 Geometric Average

GA (1 R1 ) (1 R2 ) (1 R3 ) (1 Rn ) 1
1/ n
 -3 Weighted Return
Internal
Rate of Return




.

Risk Defined and Measurement
Uncertainty
Variability Losses .
.
:
)

. .

) Standard Deviation (SD
.
Coefficient of
) Variation (CV

.

:

( x x )2
n 1

.
 )





.
( ) The Expected
Value
.
:
 - ( )

n
k j 1
k j Pr j

k
n
j 1
(k j k ) Pr j
2

- CV
k
CV
k


- Portfolio Return

( )
()
:

) k p ( w1 k1 ) ( w2 k 2 ) ( wn k n

n
kp j 1
wjk j
 Risk of a
Portfolio


.
Covariance


Correlation Coefficient
:
) Cov( A, B
A, B
A B

Diversification
.

Negative Correlation
.Low Positive Correlation
A B :

p w w 2wA wB A B A,B
2 2
A A
2 2
B B

Capital Asset Pricing Model

) (Sharpe, 1964 ) (Lintner, 1965
) .(Black, 1972


.Beta Coefficient


-
:
-1 Nonsystematic Risk
Firm Specific Risk
.Diversifiable Risk



.

Diversification

.
 -2 Systematic Risk
Market Risk
.Non-Diversifiable Risk




.
:
j , mj m
j
m 2

j , mj
j
m


:

n
p (w1 1 ) (w2 2 ) ..... (wn n ) w j j
j 1



() :
) K j R f j (K m R f

= K j j
= R f
3
= K m

 Security
)Market Line (SML



() .

.