财务管理学培训课程(英文版).pptx

Chapter 14Risk and Managerial Options in Capital Budgeting? 2001 Prentice-Hall, Inc.Fundamentals of Financial Management, 11/eCreated by: Gregory A. Kuhlemeyer, Ph.D.Carroll College, Waukesha, WIRisk and Managerial Options in Capital BudgetingThe Problem of Project RiskTotal Project RiskContribution to Total Firm Risk: Firm-Portfolio ApproachManagerial OptionsAn Illustration of Total Risk (Discrete Distribution)ANNUAL CASH FLOWS: YEAR 1PROPOSAL A State Probability Cash FlowDeep Recession .05 $ -3,000Mild Recession .25 1,000Normal.40 5,000Minor Boom .25 9,000Major Boom .05 13,000Probability Distribution of Year 1 Cash FlowsProposal A.40.25Probability.05-3,000 1,000 5,000 9,000 13,000Cash Flow ($)Expected Value of Year 1 Cash Flows (Proposal A) CF1 P1 (CF1)(P1)$ -3,000 .05 $ -150 1,000 .25 250 5,000 .40 2,000 9,000 .25 2,250 13,000 .05 650 S=1.00 CF1=$5,000Variance of Year 1 Cash Flows (Proposal A) (CF1)(P1) (CF1 - CF1)2(P1) $ -150( -3,000 - 5,000)2 (.05) 250( 1,000 - 5,000)2 (.25) 2,000( 5,000 - 5,000)2 (.40) 2,250( 9,000 - 5,000)2 (.25) 650(13,000 - 5,000)2 (.05) $5,000Variance of Year 1 Cash Flows (Proposal A) (CF1)(P1) (CF1 - CF1)2*(P1) $ -1503,200,000 2504,000,000 2,0000 2,2504,000,000 6503,200,000 $5,000 14,400,000Summary of Proposal AThe standard deviation = SQRT (14,400,000) = $3,795 The expected cash flow = $5,000An Illustration of Total Risk (Discrete Distribution)ANNUAL CASH FLOWS: YEAR 1PROPOSAL B State Probability Cash FlowDeep Recession .05 $ -1,000Mild Recession .25 2,000Normal.40 5,000Minor Boom .25 8,000Major Boom .05 11,000Probability Distribution of Year 1 Cash FlowsProposal B.40.25Probability.05-3,000 1,000 5,000 9,000 13,000Cash Flow ($)Expected Value of Year 1 Cash Flows (Proposal B) CF1 P1 (CF1)(P1)$ -1,000 .05 $ -50 2,000 .25 500 5,000 .40 2,000 8,000 .25 2,000 11,000 .05 550 S=1.00 CF1=$5,000Variance of Year 1 Cash Flows (Proposal B) (CF1)(P1) (CF1 - CF1)2(P1) $