Risiko dan Tingkat Pengembalian. I.K. Gunarta

Risiko dan Tingkat Pengembalian I.K. Gunarta

Sasaran Belajar Menggambarkan hubungan antara tingkat rata-rata pengembalian yang didapat investor dan risiko. Menjelaskan pengaruh inflasi pada tingkat pengembalian. Menggambarkan struktur tingkat bunga. Menjelaskan dan mengukur tingkat pengembalian yang diharapkan dari investasi perorangan.

Finance – I.K. Gunarta

Jurusan Teknik Industri ITS

2

Sasaran Belajar Menjelaskan dan mengukur risiko dari investasi perorangan. Menjelaskan bagaimana diversifikasi investasi dapat mempengaruhi risiko dan tingkat pengembalian yang diharapkan dari suatu portfolio atau kombinasi aktiva-aktiva. Mengukur risiko pasar dan aktiva perorangan. Mengukur risiko pasar dari suatu portfolio investasi. Mengkukur hubungan antara tingkat pengembalian yang diharapkan investor dan risiko dari investasi. Finance – I.K. Gunarta


3

Pokok Bahasan  Inflasi dan tingkat pengembalian  Bagaimana mengukur risiko (variance, standard deviation, beta)  Bagaimana mengurangi risiko (diversification)  Bagaimana menilai risiko (security market line, Capital Asset Pricing Model)



4

Tingkat pengembalian yang tinggi pada umumnya memiliki risiko yang tinggi pula

Tingkat Pengembalian Surat-surat Berharga

Pengembalian Nominal Ratarata per Tahun

Diviasi Standar Pengembalian

Pengembalian Rata-rata Riil Tahunan

Premi Risiko

Saham perusahaanperusahaan kecil

16,9%

32,2%

13,8%

13,1%

Saham perusahaanperusahaan besar

12,2

20,5

9,1

8,4

Obligasi jangka panjang korporasi

6,2

8,7

3,1

2,4

Obligasi jangka panjang Pemerintah

5,8

9,4

2,7

2,0

US Treasury Bill 3,8

3,2

0,7

0,0



6

Tingkat Pengembalian  Treasury Bill memiliki risiko yang paling kecil dari kelima portfolio karena TB memiliki waktu jatuh tempo yang singkat, maka harganya bervolatilitas lebih kecil (risiko lebih kecil) dibanding surat-surat berharga jangka panjang lainnya.  Perusahaan kecil yang dimaksud adalah perusahaan kecil yang terdaftar di Bursa NY (20% dari total).  Perusahaan kecil terlalu mengandalkan pembiayaan dari hutang.



7

Inflation, Rates of Return, and the Fisher Effect Interest Rates

 Jika hari ini anda memiliki $100 dan meminjamkannya kepada seseorang pada tingkat bunga nominal 11,3%, Anda akan mendapat $111,30 dalam satu tahun. Namun, jika harga barang dan jasa selama tahun itu naik sebesar 5%, maka akan menjadi $105 pada akhir tahun untuk membeli barang dan jasa yang tadinya dapat dibeli dengan harga $100 pada awal tahun.  Berapa peningkatan daya beli sepanjang tahun?

Conceptually:

Interest Rates

Conceptually: Nominal risk-free Interest Rate

krf

Interest Rates


krf

=

Interest Rates

Interest Rates


krf

=

Real risk-free Interest Rate

k*

Suku bunga riil (k*) menggambarkan tingkat pertumbuhan daya beli sesungguhnya, setelah disesuaikan dengan inflasi.

Interest Rates


krf

=


k*

+

Interest Rates


krf


=


k*


+

Inflationrisk premium

IRP

15

Interest Rates


=


krf Mathematically:

k*

+


IRP

Interest Rates


=


krf

k*

+


IRP

Mathematically:

(1 + krf) = (1 + k*) (1 + IRP)

Interest Rates


=


krf

k*

+


IRP

Mathematically:

(1 + krf) = (1 + k*) (1 + IRP) This is known as the “Fisher Effect”

Interest Rates  Suppose the real rate is 3%, and the nominal rate is 8%. What is the inflation rate premium?

(1 + krf) = (1 + k*) (1 + IRP) (1.08) = (1.03) (1 + IRP) (1 + IRP) = (1.0485), so IRP = 4.85%

Term Structure of Interest Rates

 The pattern of rates of return for debt securities that differ only in the length of time to maturity.


 The pattern of rates of return for debt securities that differ only in the length of time to maturity. yield to maturity

time to maturity (years)


 The pattern of rates of return for debt securities that differ only in the length of time to maturity. yield to maturity



 The yield curve may be downward sloping or “inverted” if rates are expected to fall. yield to maturity



 The yield curve may be downward sloping or “inverted” if rates are expected to fall. yield to maturity


For a Treasury security, what is the required rate of return?


Required rate of return

=



=

Risk-free rate of return

Since Treasuries are essentially free of default risk, the rate of return on a Treasury security is considered the “risk-free” rate of return.

For a corporate stock or bond, what is the required rate of return?

For a corporate stock or bond, what is the required rate of return? Required rate of return

=


=



=


+

Risk premium

How large of a risk premium should we require to buy a corporate security?

Returns

 Expected Return - the return that an investor expects to earn on an asset, given its price, growth potential, etc.

 Required Return - the return that an investor requires on an asset given its risk and market interest rates.

Expected Return State of Probability Return Economy (P) Orl. Utility Orl. Tech Recession .20 4% -10% Normal .50 10% 14% Boom .30 14% 30% For each firm, the expected return on the stock is just a weighted average:

Expected Return State of Probability Return Economy (P) Orl. Utility Orl. Tech Recession .20 4% -10% Normal .50 10% 14% Boom .30 14% 30% For each firm, the expected return on the stock is just a weighted average: k = P(k1)*k1 + P(k2)*k2 + ...+ P(kn)*kn

Expected Return State of Probability Return Economy (P) Orl. Utility Orl. Tech Recession .20 4% -10% Normal .50 10% 14% Boom .30 14% 30% k = P(k1)*k1 + P(k2)*k2 + ...+ P(kn)*kn k (OU) = .2 (4%) + .5 (10%) + .3 (14%) = 10%

Expected Return State of Probability Return Economy (P) Orl. Utility Orl. Tech Recession .20 4% -10% Normal .50 10% 14% Boom .30 14% 30% k = P(k1)*k1 + P(k2)*k2 + ...+ P(kn)*kn k (OI) = .2 (-10%)+ .5 (14%) + .3 (30%) = 14%

Based only on your expected return calculations, which stock would you prefer?

Have you considered

RISK?

What is Risk?  The possibility that an actual return will differ from our expected return.

 Uncertainty in the distribution of possible outcomes.

What is Risk?  Uncertainty in the distribution of possible outcomes.

What is Risk?  Uncertainty in the distribution of possible outcomes. Company A 0.5 0.45 0.4 0.35 0.3 0.25 0.2 0.15 0.1 0.05 0

4

8

return

12

What is Risk?  Uncertainty in the distribution of possible outcomes. Company A 0.5

Company B 0.2

0.45

0.18

0.4

0.16

0.35

0.14

0.3

0.12

0.25

0.1

0.2

0.08

0.15

0.06

0.1

0.04

0.05

0.02

0 4

8

return

12

0

-10

-5

0

5

10

15

return

20

25

30

How do We Measure Risk?  To get a general idea of a stock’s price variability, we could look at the stock’s price range over the past year. 52 weeks Yld Vol Net Hi Lo Sym Div % PE 100s Hi Lo Close Chg 134 80 IBM .52 .5 21 143402 98 95 9549 -3 115 40 MSFT

…

29 558918 55

52

5194 -475

How do We Measure Risk?  A more scientific approach is to examine the stock’s standard deviation of returns.  Standard deviation is a measure of the dispersion of possible outcomes.  The greater the standard deviation, the greater the uncertainty, and, therefore, the greater the risk.

Standard Deviation

s=

n

S

(ki -

i=1

2 k)

P(ki)

Expected Return State of Probability Return Economy (P) Orl. Utility Orl. Tech Recession .20 4% -10% Normal .50 10% 14% Boom .30 14% 30%

s=

n

S (ki i=1

Orlando Utility, Inc.

2 k)

P(ki)

s=

n

S (ki -

2 k)

i=1

Orlando Utility, Inc. ( 4% - 10%)2 (.2) = 7.2

P(ki)

s=

n

S (ki -

2 k)

i=1

Orlando Utility, Inc. ( 4% - 10%)2 (.2) = 7.2 (10% - 10%)2 (.5) = 0

P(ki)

s=

n

S (ki -

2 k)

i=1

Orlando Utility, Inc. ( 4% - 10%)2 (.2) = 7.2 (10% - 10%)2 (.5) = 0 (14% - 10%)2 (.3) = 4.8

P(ki)

s=

n

S (ki -

2 k)

i=1

Orlando Utility, Inc. ( 4% - 10%)2 (.2) = (10% - 10%)2 (.5) = (14% - 10%)2 (.3) = Variance =

7.2 0 4.8 12

P(ki)

s=

n

S (ki -

2 k)

i=1

Orlando Utility, Inc. ( 4% - 10%)2 (.2) = 7.2 (10% - 10%)2 (.5) = 0 (14% - 10%)2 (.3) = 4.8 Variance = 12 Stand. dev. = 12 =

P(ki)

s=

n

S (ki -

2 k)

P(ki)

i=1

Orlando Utility, Inc. ( 4% - 10%)2 (.2) = 7.2 (10% - 10%)2 (.5) = 0 (14% - 10%)2 (.3) = 4.8 Variance = 12 Stand. dev. = 12 = 3.46%

s=

n

S (ki -

2 k)

i=1

Orlando Technology, Inc.

P(ki)

s=

n

S (ki -

2 k)

P(ki)

i=1

Orlando Technology, Inc. (-10% - 14%)2 (.2) = 115.2

s=

n

S (ki -

2 k)

P(ki)

i=1

Orlando Technology, Inc. (-10% - 14%)2 (.2) = 115.2 (14% - 14%)2 (.5) = 0

s=

n

S (ki -

2 k)

P(ki)

i=1

Orlando Technology, Inc. (-10% - 14%)2 (.2) = 115.2 (14% - 14%)2 (.5) = 0 (30% - 14%)2 (.3) = 76.8

s=

n

S (ki -

2 k)

P(ki)

i=1

Orlando Technology, Inc. (-10% - 14%)2 (.2) = 115.2 (14% - 14%)2 (.5) = 0 (30% - 14%)2 (.3) = 76.8 Variance = 192

s=

n

S (ki -

2 k)

P(ki)

i=1

Orlando Technology, Inc. (-10% - 14%)2 (.2) = 115.2 (14% - 14%)2 (.5) = 0 (30% - 14%)2 (.3) = 76.8 Variance = 192 Stand. dev. = 192 =

s=

n

S (ki -

2 k)

P(ki)

i=1

Orlando Technology, Inc. (-10% - 14%)2 (.2) = 115.2 (14% - 14%)2 (.5) = 0 (30% - 14%)2 (.3) = 76.8 Variance = 192 Stand. dev. = 192 = 13.86%

Which stock would you prefer? How would you decide?

Summary Orlando Utility

Expected Return Standard Deviation

Orlando Technology

10%

14%

3.46%

13.86%

It depends on your tolerance for risk!

Remember, there’s a tradeoff between risk and return.

It depends on your tolerance for risk! Return

Risk


It depends on your tolerance for risk! Return

Risk


Portfolios

 Combining several securities in a portfolio can actually reduce overall risk.  How does this work?

Suppose we have stock A and stock B. The returns on these stocks do not tend to move together over time (they are not perfectly correlated). rate of return

time

Suppose we have stock A and stock B. The returns on these stocks do not tend to move together over time (they are not perfectly correlated).

kA rate of return

time

Suppose we have stock A and stock B. The returns on these stocks do not tend to move together over time (they are not perfectly correlated).

kA rate of return

kB

time

What has happened to the variability of returns for the portfolio?

kA rate of return

kB

time

What has happened to the variability of returns for the portfolio?

kA rate of return

kp kB

time

Diversification

 Investing in more than one security to reduce risk.  If two stocks are perfectly positively correlated, diversification has no effect on risk.  If two stocks are perfectly negatively correlated, the portfolio is perfectly diversified.

 If you owned a share of every stock traded on the NYSE and NASDAQ, would you be diversified? YES!  Would you have eliminated all of your risk? NO! Common stock portfolios still have risk.

Some risk can be diversified away and some cannot.

 Market risk (systematic risk) is nondiversifiable. This type of risk cannot be diversified away.  Company-unique risk (unsystematic risk) is diversifiable. This type of risk can be reduced through diversification.

Market Risk (Risiko Pasar)  Perubahan tingkat suku bunga yang tak terduga.  Perubahan tak terduga pada arus kas karena perubahan tarif pajak, persaingan internasional, dan siklus bisnis secara keseluruhan.



75

Risiko perusahaan (Company-Unique Risk)

 Tenaga kerja perusahaan mogok.  Manajemen puncak sebuah perusahaan meninggal dalam kecelakaan pesawat.  Ledakan tangki minyak dan banjir besar pada area produksi perusahaan.



76

As you add stocks to your portfolio, company-unique risk is reduced.

As you add stocks to your portfolio, company-unique risk is reduced. portfolio risk

number of stocks

As you add stocks to your portfolio, company-unique risk is reduced. portfolio risk

Market risk number of stocks

As you add stocks to your portfolio, company-unique risk is reduced. portfolio risk companyunique risk

Market risk number of stocks

Do some firms have more market risk than others? Yes. For example: Interest rate changes affect all firms, but which would be more affected: a) Retail food chain b) Commercial bank

Do some firms have more market risk than others? Yes. For example: Interest rate changes affect all firms, but which would be more affected: a) Retail food chain b) Commercial bank

 Note As we know, the market compensates investors for accepting risk - but only for market risk. Companyunique risk can and should be diversified away.

So - we need to be able to measure market risk.

This is why we have Beta. Beta: a measure of market risk.  Specifically, beta is a measure of how an individual stock’s returns vary with market returns.

 It’s a measure of the “sensitivity” of an individual stock’s returns to changes in the market.

The market’s beta is 1  A firm that has a beta = 1 has average market risk. The stock is no more or less volatile than the market.  A firm with a beta > 1 is more volatile than the market.

The market’s beta is 1  A firm that has a beta = 1 has average market risk. The stock is no more or less volatile than the market.  A firm with a beta > 1 is more volatile than the market.  (ex: technology firms)


 A firm with a beta < 1 is less volatile than the market.


 A firm with a beta < 1 is less volatile than the market.  (ex: utilities)

Calculating Beta

Calculating Beta XYZ Co. returns 15 10 5 S&P 500 returns

-15

-10

-5 -5 -10 -15

5

10

15

Calculating Beta XYZ Co. returns 15

S&P 500 returns

-15

.. .

. . . . 10 . . . . .. . . .. . . 5 .. . . . . . . -10 5 -5 -5 10 .. . . . . . . -10 .. . . . . . -15.

15


S&P 500 returns

-15

.. .

. . . . 10 . . . . .. . . .. . . 5 .. . . . . . . -10 5 -5 -5 10 .. . . . . . . -10 .. . . . . . -15.

15


S&P 500 returns

-15

.. .

Beta = slope = 1.20

. . . . 10 . . . . .. . . .. . . 5 .. . . . . . . -10 5 -5 -5 10 .. . . . . . . -10 .. . . . . . -15.

15

TAHUN

2000

2001

2002

BULAN May June July August September October November December January February March April May June July August September October November December January February March April May

HARLEY-DAVIDSON Harga Pengembalian 37.25 38.50 3.36% 44.88 16.57% 49.81 10.98% 47.88 -3.87% 48.19 0.65% 45.44 -5.71% 39.75 -12.52% 45.39 14.19% 43.35 -4.49% 37.95 -12.46% 46.09 21.45% 46.97 1.91% 47.08 0.23% 51.61 9.62% 48.59 -5.85% 40.50 -16.65% 45.26 11.75% 52.58 16.17% 54.31 3.29% 57.00 4.95% 51.26 -10.07% 55.13 7.55% 52.99 -3.88% 52.58 -0.77%

Pengembalian rata-rata bulanan Deviasi standar

1.93% 10.16%

S & P 500 INDEX Harga Pengembalian 1,420.60 1,454.60 2.39% 1,430.83 -1.63% 1,517.68 6.07% 1,436.51 -5.35% 1,429.40 -0.49% 1,314.95 -8.01% 1,320.28 0.41% 1,366.01 3.46% 1,239.94 -9.23% 1,160.33 -6.42% 1,249.46 7.68% 1,255.82 0.51% 1,224.42 -2.50% 1,211.23 -1.08% 1,133.58 -6.41% 1,040.94 -8.17% 1,059.78 1.81% 1,139.45 7.52% 1,148.08 0.76% 1,130.20 -1.56% 1,106.73 -2.08% 1,147.39 3.67% 1,076.92 -6.14% 1,067.14 -0.91% -1.07% 4.86%

Slope = 1.6

Summary:

 We know how to measure risk, using standard deviation for overall risk and beta for market risk.  We know how to reduce overall risk to only market risk through diversification.  We need to know how to price risk so we will know how much extra return we should require for accepting extra risk.

What is the Required Rate of Return?

 The return on an investment required by an investor given market interest rates and the investment’s risk.


=


=


+


=


+

Risk premium


=


market risk

+

Risk premium


=


market risk

+

Risk premium

companyunique risk


=


market risk

+

Risk premium

companyunique risk can be diversified away


Let’s try to graph this relationship!

Beta


12%

.

Risk-free rate of return (6%)

1

Beta


12%

.

security market line (SML)

1

Beta


This linear relationship between risk and required return is known as the Capital Asset Pricing Model (CAPM).


SML

.

12%


0

1

Beta


Is there a riskless (zero beta) security?

SML

.

12%


0

1

Beta


Is there a riskless (zero beta) security?

.

12%


0

1

SML

Treasury securities are as close to riskless as possible.

Beta


Where does the S&P 500 fall on the SML?

SML

.

12%


0

1

Beta


Where does the S&P 500 fall on the SML?

SML

.

12%

The S&P 500 is a good approximation for the market


0

1

Beta


SML Utility Stocks

12%

.


0

1

Beta


High-tech stocks

SML

.

12%


0

1

Beta

The CAPM equation:

The CAPM equation:

kj = krf + b j (km - krf )

The CAPM equation:

kj = krf + b j (km - krf ) where:

kj = the required return on security j,

krf = the risk-free rate of interest, b j = the beta of security j, and km = the return on the market index.

Example:

 Suppose the Treasury bond rate is 6%, the average return on the S&P 500 index is 12%, and Walt Disney has a beta of 1.2.  According to the CAPM, what should be the required rate of return on Disney stock?

kj = krf + b (km - krf ) kj = .06 + 1.2 (.12 - .06) kj = .132 = 13.2% According to the CAPM, Disney stock should be priced to give a 13.2% return.


SML

.

12%


0

1

Beta


Theoretically, every security should lie on the SML

SML

.

12%


0

1

Beta


Theoretically, every security should lie on the SML

SML

.

12%

If every stock is on the SML, investors are being fully compensated for risk.


0

1

Beta


If a security is above the SML, it is underpriced.

SML

.

12%


0

1

Beta


If a security is above the SML, it is underpriced.

SML

.

12%

If a security is below the SML, it is overpriced.


0

1

Beta

Simple Return Calculations

Simple Return Calculations $50

$60

t

t+1


$60

t

t+1

Pt+1 - Pt Pt

=

60 - 50 50

= 20%


$60

t

t+1

Pt+1 - Pt Pt Pt+1 Pt

=

-1 =

60 - 50 50 60 50

= 20%

-1 = 20%

month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040 0.070

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040 0.070 0.000

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040 0.070 0.000 0.087

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040 0.070 0.000 0.087 0.100

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040 0.070 0.000 0.087 0.100 -0.115

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040 0.070 0.000 0.087 0.100 -0.115 0.096

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00

(a) (b) monthly expected return return 0.160 0.100 -0.075 0.051 0.040 0.070 0.000 0.087 0.100 -0.115 0.096 0.075

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00


0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049

(a - b)2


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00


0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049

(a - b)2 0.012321 0.002601 0.015376 0.000004 0.000081 0.000441 0.002401 0.001444 0.002601 0.028960 0.002090 0.000676


price $50.00 $58.00 $63.80 $59.00 $62.00 $64.50 $69.00 $69.00 $75.00 $82.50 $73.00 $80.00 $86.00


0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049 0.049

(a - b)2 0.012321 0.002601 0.015376 0.000004 0.000081 0.000441 0.002401 0.001444 0.002601 0.028960 0.002090 0.000676

St. Dev: sum, divide by (n-1), and take sq root: 0.0781

Calculator solution using HP 10B:  Enter monthly return on 10B calculator, followed by sigma key (top right corner).  Shift 7 gives you the expected return.  Shift 8 gives you the standard deviation.

Terminologi Kunci  Alokasi asset  Beta  Capital Asset Pricing Model  Characteristic Line  Expected Rate of Return


 Risk free/Riskless rate of return  Risk premium  Security market line  Standard deviation  Term structure of interest rates (yield to maturity)


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Risiko dan Tingkat Pengembalian. I.K. Gunarta

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