五年級(jí)《浪淘沙》《涼州詞》-

Chapter14RiskandManagerialOptionsinCapitalBudgetingChapter14RiskandManagerialRiskandManagerial OptionsinCapitalBudgetingTheProblemofProjectRiskTotalProjectRiskContributiontoTotalFirmRisk:Firm-PortfolioApproachManagerialOptionsRiskandManagerial OptionsAnIllustrationofTotalRisk(DiscreteDistribution)ANNUALCASHFLOWS:YEAR1PROPOSALA

State

Probability

CashFlowDeepRecession .05

$-3,000MildRecession .25 1,000Normal .40 5,000MinorBoom .25 9,000MajorBoom .05 13,000AnIllustrationofTotalRiskProbabilityDistributionofYear1CashFlows.40.05.25Probability-3,0001,0005,0009,00013,000CashFlow($)ProposalAProbabilityDistributionofYe

CF1

P1

(CF1)(P1)$-3,000

.05

$-150

1,000

.25

2505,000

.40

2,0009,000

.25

2,25013,000

.05

650

=1.00

CF1=$5,000ExpectedValueofYear1CashFlows(ProposalA)CF1P1

(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)

$5,000VarianceofYear1 CashFlows(ProposalA)VarianceofYear1 CasVarianceofYear1 CashFlows(ProposalA)

(CF1)(P1)

(CF1-CF1)2*(P1)

$-150 3,200,000

250 4,000,000

2,000 0

2,250 4,000,000

650 3,200,000

$5,000

14,400,000VarianceofYear1 CashFlowSummaryofProposalAThestandarddeviation= SQRT(14,400,000)=$3,795Theexpectedcashflow=$5,000SummaryofProposalAThestandAnIllustrationofTotalRisk(DiscreteDistribution)ANNUALCASHFLOWS:YEAR1PROPOSALB

State

Probability

CashFlowDeepRecession .05

$-1,000MildRecession .25 2,000Normal .40 5,000MinorBoom .25 8,000MajorBoom .05

11,000AnIllustrationofTotalRiskProbabilityDistributionofYear1CashFlows.40.05.25Probability-3,0001,0005,0009,00013,000CashFlow($)ProposalBProbabilityDistributionofYeExpectedValueofYear1CashFlows(ProposalB)

CF1

P1 (CF1)(P1)$-1,000

.05 $-50

2,000

.25

5005,000

.40

2,0008,000

.25

2,00011,000

.05

550

=1.00

CF1=$5,000ExpectedValueofYear1Cash

(CF1)(P1)

(CF1-CF1)2(P1)

$-50

(-1,000-5,000)2(.05)

500

(2,000-5,000)2(.25)

2,000

(5,000-5,000)2(.40)

2,000

(8,000-5,000)2(.25)

550

(11,000-5,000)2(.05)

$5,000VarianceofYear1 CashFlows(ProposalB)VarianceofYear1 CasVarianceofYear1 CashFlows(ProposalB)

(CF1)(P1)

(CF1-CF1)2(P1)

$-50

1,800,000

500

2,250,000

2,000

0 2,000

2,250,000 550

1,800,000

$5,000

8,100,000VarianceofYear1 CashFlowSummaryofProposalB Thestandarddeviationof ProposalB<ProposalA. ($2,846<$3,795)Thestandarddeviation = SQRT(8,100,000) =$2,846

Theexpectedcashflow =$5,000SummaryofProposalB ThestanTotalProjectRiskProjectshaveriskthatmaychangefromperiodtoperiod.Projectsaremorelikelytohavecontinuous,ratherthandiscretedistributions.CashFlow($)1

2

3 YearTotalProjectRiskProjectshavProbabilityTreeApproachAgraphicortabularapproachfororganizingthepossiblecash-flowstreamsgeneratedbyaninvestment.Thepresentationresemblesthebranchesofatree.Eachcompletebranchrepresentsonepossiblecash-flowsequence.ProbabilityTreeApproachAgraProbabilityTreeApproachBasketWondersisexaminingaprojectthatwillhaveaninitialcosttodayof$900.Uncertaintysurroundingthefirstyearcash-flowscreatesthreepossiblecash-flowscenariosinYear1.-$900ProbabilityTreeApproachBaskeProbabilityTreeApproachNode1:20%chanceofa $1,200cash-flow.Node2:60%chanceofa $450cash-flow.Node3:20%chanceofa -$600cash-flow.-$900(.20)$1,200(.20)-$600(.60)$450Year1123ProbabilityTreeApproachNodeProbabilityTreeApproachEachnodeinYear2representsabranchofourprobabilitytree.Theprobabilitiesaresaidtobeconditionalprobabilities.-$900(.20)$1,200(.20)-$600(.60)$450Year1123(.60)

$1,200(.30)$900(.10)$2,200(.35)

$900(.40)

$600(.25)

$300(.10)

$500(.50)

-$100(.40)

-$700Year2ProbabilityTreeApproachEachJointProbabilities[P(1,2)].02Branch1.12Branch2.06Branch3.21Branch4.24Branch5.15Branch6.02Branch7.10Branch8.08Branch9-$900(.20)$1,200(.20)-$600(.60)$450Year1123(.60)$1,200(.30)$900(.10)$2,200(.35)$900(.40)$600(.25)

$300(.10)$500(.50)

-$100(.40)

-$700Year2JointProbabilities[P(1,2)].0ProjectNPVBasedonProbabilityTreeUsageTheprobabilitytreeaccountsforthedistributionofcash-flows.Therefore,discountallcash-flowsatonlytherisk-freerateofreturn.TheNPVforbranchioftheprobabilitytreefortwoyearsofcashflowsisNPV=

(NPVi)(Pi)NPVi=CF1(1+Rf

)1(1+Rf)2CF2-ICO+i=1zProjectNPVBasedonProbabiliNPVforEachCash-FlowStreamat5%Risk-FreeRate$2,238.32$1,331.29$1,059.18$344.90$72.79-$199.32-$1,017.91-$1,562.13-$2,106.35-$900(.20)$1,200(.20)-$600(.60)$450Year1123(.60)$1,200(.30)$900(.10)$2,200(.35)$900(.40)$600(.25)

$300(.10)$500(.50)

-$100(.40)

-$700Year2NPVforEachCash-FlowStreamCalculatingtheExpectedNetPresentValue(NPV)Branch NPViBranch1 $2,238.32Branch2 $1,331.29Branch3 $1,059.18Branch4 $344.90Branch5 $72.79Branch6 -$199.32Branch7 -$1,017.91Branch8 -$1,562.13Branch9 -$2,106.35P(1,2)NPVi

*P(1,2).02

$44.77.12

$159.75.06 $63.55.21 $72.43.24 $17.47.15 -$29.90.02 -$20.36.10 -$156.21.08 -$168.51ExpectedNetPresentValue=-$17.01CalculatingtheExpectedNetPCalculatingtheVarianceoftheNetPresentValueNPVi

$2,238.32$1,331.29

$1,059.18$344.90

$72.79-$199.32-$1,017.91-$1,562.13-$2,106.35P(1,2)(NPVi

-NPV)2[P(1,2)].02

$101,730.27.12

$218,149.55.06 $69,491.09.21 $27,505.56.24 $1,935.37.15 $4,985.54.02 $20,036.02.10 $238,739.58.08 $349,227.33Variance=$1,031,800.31CalculatingtheVarianceofthSummaryofthe DecisionTreeAnalysisThestandarddeviation= SQRT($1,031,800)=$1,015.78

TheexpectedNPV=-$17.01

Summaryofthe DecisionTreeSimulationApproachAnapproachthatallowsustotestthepossibleresultsofaninvestmentproposalbeforeitisaccepted.Testingisbasedonamodelcoupledwithprobabilisticinformation.SimulationApproachAnapproachSimulationApproach

MarketanalysisMarketsize,sellingprice,marketgrowthrate,andmarketshare

InvestmentcostanalysisInvestmentrequired,usefullifeoffacilities,andresidualvalue

OperatingandfixedcostsOperatingcostsandfixedcostsFactorswemightconsiderinamodel:SimulationApproachMarketanaSimulationApproachEachvariableisassignedanappropriateprobabilitydistribution.ThedistributionforthesellingpriceofbasketscreatedbyBasketWondersmightlooklike:$20$25$30$35

$40

$45

$50.02

.08.22.36.22.08

.02TheresultingproposalvalueisdependentonthedistributionandinteractionofEVERYvariablelistedonslide14-27.SimulationApproachEachvariabSimulationApproachEachproposalwillgeneratean

internalrateofreturn.Theprocessofgeneratingmany,manysimulationsresultsinalargesetofinternalratesofreturn.Thedistributionmightlooklikethefollowing:INTERNALRATEOFRETURN(%)PROBABILITYOFOCCURRENCESimulationApproachEachproposCombiningprojectsinthismannerreducesthefirmriskduetodiversification.ContributiontoTotalFirmRisk:Firm-PortfolioApproachCASHFLOWTIMETIMETIMEProposalAProposalBCombinationofProposalsA

and

BCombiningprojectsinthisman

NPVP=

(NPVj)NPVP

istheexpectedportfolioNPV,NPVjistheexpectedNPVofthejthNPVthatthefirmundertakes,misthetotalnumberofprojectsinthefirmportfolio.DeterminingtheExpected NPVforaPortfolioofProjectsmj=1NPVP=(NPVj)Determining

P=

jk

jk

isthecovariancebetweenpossibleNPVsforprojectsjandk

jk=

j

kr

jk

.

jisthestandarddeviationofprojectj,

k

isthestandarddeviationofprojectk,rjk

isthecorrelationcoefficientbetweenprojectsjandk.DeterminingPortfolioStandardDeviationmj=1mk=1P=jkDeterminingE:ExistingProjects8Combinations

E

E+1 E+1+2 E+2 E+1+3 E+3 E+2+3E+1+2+3A,B,andCaredominatingcombinationsfromtheeightpossible.Combinationsof RiskyInvestmentsABCEStandardDeviationExpectedValueofNPVE:ExistingProjectsCombinatiManagerial(Real)OptionsManagementflexibilitytomakefuturedecisionsthataffectaproject’sexpectedcashflows,life,orfutureacceptance.ProjectWorth=NPV+ Option(s)ValueManagerial(Real)OptionsManagManagerial(Real)OptionsExpand(orcontract)Allowsthefirmtoexpand(contract)productionifconditionsbecomefavorable(unfavorable).AbandonAllowstheprojecttobeterminatedearly.PostponeAllowsthefirmtodelayundertakingaproject(reducesuncertaintyvianewinformation).Managerial(Real)OptionsExpanPreviousExamplewithProjectAbandonmentAssumethatthisprojectcanbeabandonedattheendofthefirstyearfor$200.Whatistheprojectworth?-$900(.20)$1,200(.20)-$600(.60)$450Year1123(.60)$1,200(.30)$900(.10)$2,200(.35)$900(.40)$600(.25)

$300(.10)$500(.50)

-$100(.40)

-$700Year2PreviousExamplewithProjectProjectAbandonmentNode3:(500/1.05)(.1)+(-100/1.05)(.5)+(-700/1.05)(.4)=($476.19)(.1)+-($95.24)(.5)+-($666.67)(.4)=-($266.67)-$900