14.1Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.Chapter 14资本预算中的风险资本预算中的风险资本预算中的风险资本预算中的风险和管理（实际）期权和管理（实际）期权和管理（实际）期权和管理（实际）期权14.2Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.After Studying Chapter 14, you should be able to:1.Define the riskiness of a capital investment project. 2.Understand how cash-flow riskiness for a particular period is measured, including the concepts of expected value, standard deviation, and coefficient of variation.3.Describe methods for assessing total project risk, including a probability approach and a simulation approach. 4.Judge projects with respect to their contribution to total firm risk (a firm-portfolio approach). 5.Understand how the presence of managerial (real) options enhances the worth of an investment project.6.List, discuss, and value different types of managerial (real) options.14.3Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.资资本本本本预预算中算中算中算中风险风险和管理期和管理期和管理期和管理期权权 项项目的目的目的目的风险问题风险问题 项项目目目目总风险总风险 降低企降低企降低企降低企业总风险业总风险的理的理的理的理论贡论贡献：企献：企献：企献：企业业项项目目目目组组合理合理合理合理论论 管理期管理期管理期管理期权权14.4Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.总风险总风险的范例的范例的范例的范例 ( (离散分布离散分布离散分布离散分布) )年度现金流年度现金流年度现金流年度现金流: : 第第第第1 1年年年年项目项目项目项目 A A 经济状况经济状况经济状况经济状况 概率概率概率概率概率概率 现金流现金流现金流现金流现金流现金流严重萧条严重萧条严重萧条严重萧条 0.050.05 $ 3,000$ 3,000衰退衰退衰退衰退 0.250.25 1,000 1,000正常正常正常正常 0.400.40 5,000 5,000繁荣繁荣繁荣繁荣 0.250.25 9,000 9,000过热过热过热过热 0.050.05 13,000 13,00014.5Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.第第第第1 1年年年年现现金流的概率分布金流的概率分布金流的概率分布金流的概率分布0.400.050.25概率概率3,000 1,000 5,000 9,000 13,000现金流现金流($)项目目 A14.6Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. CFCF1 1 P P1 1 ( (CFCF1 1)( )(P P1 1) )$ 3,000$ 3,000 0.050.05 $ 150$ 150 1,0001,000 0.250.25 250250 5,000 5,000 0.400.40 2,0002,000 9,000 9,000 0.250.25 2,2502,250 13,000 13,000 0.050.05 650650 S S S S= =1.001.00 CFCF1 1= =$5,000$5,000第第第第1 1年年年年现现金流的期望金流的期望金流的期望金流的期望值值( (项项目目目目A)A)14.7Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.第第第第1 1年年年年现现金流的方差金流的方差金流的方差金流的方差( (项项目目目目A)A) ( (CFCF1 1)( )(P P1 1) ) ( (CFCF1 1 CFCF1 1) )2 2( (P P1 1) ) $ 150$ 150 ( (3,000 3,000 5,0005,000) )2 2 ( (0.050.05) ) 250 250 ( ( 1,000 1,000 5,0005,000) )2 2 ( (0.250.25) ) 2,000 2,000 ( ( 5,000 5,000 5,0005,000) )2 2 ( (0.400.40) ) 2,250 2,250 ( ( 9,000 9,000 5,0005,000) )2 2 ( (0.250.25) ) 650 650 ( (13,000 13,000 5,0005,000) )2 2 ( (0.050.05) ) $5,000$5,00014.8Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.第第第第1 1年年年年现现金流的方差金流的方差金流的方差金流的方差( (项项目目目目A)A) ( (CFCF1 1)( )(P P1 1) ) ( (CFCF1 1 CFCF1 1) )2 2*( *(P P1 1) ) $ 150$ 150 3,200,0003,200,000 250 250 4,000,0004,000,000 2,000 2,000 0 0 2,250 2,250 4,000,0004,000,000 650 650 3,200,0003,200,000 $5,000$5,000 14,400,00014,400,00014.9Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.项目目A的的总结标准差标准差标准差标准差= SQRT (14,400,000) = $3,795$3,795期望现金流期望现金流期望现金流期望现金流 = $5,000$5,000方差系数方差系数方差系数方差系数(CV)(CV) = $3,795 / $5,000 = $3,795 / $5,000 = = 0.7590.759方差系数是相对风险的测度，是某个概率分布的标准差与方差系数是相对风险的测度，是某个概率分布的标准差与方差系数是相对风险的测度，是某个概率分布的标准差与方差系数是相对风险的测度，是某个概率分布的标准差与期望值之比期望值之比期望值之比期望值之比. .14.10Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.总总风险风险的范例的范例的范例的范例( (离散分布离散分布离散分布离散分布) )年度现金流年度现金流年度现金流年度现金流: : 第第第第1 1年年年年项目项目项目项目 B B 经济状况经济状况经济状况经济状况 概率概率概率概率概率概率 现金流现金流现金流现金流现金流现金流严重萧条严重萧条严重萧条严重萧条 0.050.05 $ 1,000$ 1,000衰退衰退衰退衰退 0.250.25 2,000 2,000正常正常正常正常 0.400.40 5,000 5,000繁荣繁荣繁荣繁荣 0.250.25 8,000 8,000过热过热过热过热 0.050.05 11,00011,00014.11Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.第第第第1 1年年年年现现金流的概率分布金流的概率分布金流的概率分布金流的概率分布0.400.050.25概率概率3,000 1,000 5,000 9,000 13,000现金流现金流($)项目目 B14.12Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.第第第第1 1年年年年现现金流的期望金流的期望金流的期望金流的期望值值( (项项目目目目B)B) CFCF1 1 P P1 1 ( (CFCF1 1)( )(P P1 1) )$ 1,000$ 1,000 0.050.05 $ 50 $ 50 2,0002,000 0.250.25 500500 5,000 5,000 0.400.40 2,0002,000 8,000 8,000 0.250.25 2,0002,000 11,000 11,000 0.050.05 550550 S S S S= =1.001.00 CFCF1 1= =$5,000$5,00014.13Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.第第第第1 1年年年年现现金流的方差金流的方差金流的方差金流的方差( (项项目目目目B)B) ( (CFCF1 1)( )(P P1 1) ) ( (CFCF1 1 CFCF1 1) )2 2( (P P1 1) ) $ 50$ 50 ( (1,000 1,000 5,0005,000) )2 2 ( (0.050.05) ) 500500 ( ( 2,000 2,000 5,0005,000) )2 2 ( (0.250.25) ) 2,0002,000 ( ( 5,000 5,000 5,0005,000) )2 2 ( (0.400.40) ) 2,0002,000 ( ( 8,000 8,000 5,0005,000) )2 2 ( (0.250.25) ) 550550 ( (11,00011,000 5,0005,000) )2 2 ( (0.050.05) ) $5,000$5,00014.14Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. ( (CFCF1 1)( )(P P1 1) ) ( (CFCF1 1 CFCF1 1) )2 2( (P P1 1) ) $ 50$ 50 1,800,0001,800,000 500 500 2,250,0002,250,000 2,0002,000 0 0 2,000 2,000 2,250,0002,250,000 550 550 1,800,0001,800,000 $5,000$5,000 8,100,000 8,100,000 第第第第1 1年年年年现现金流的方差金流的方差金流的方差金流的方差( (项项目目目目B)B)14.15Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.项目目B的的总结标准差：标准差： B B A A ( ($2,846$2,846 $3,795$3,795), ), 所以所以所以所以 “ “B B” ” 的风险比的风险比的风险比的风险比 “A” “A”更更更更小小小小. .方差系数：方差系数：方差系数：方差系数： B A ( B A (0.5690.569 ($266.67)($266.67)“ “新新新新” ” 项目价值项目价值项目价值项目价值是是多少多少?14.43Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.放弃期放弃期权 $ 2,238.32 $ 1,331.29 $ 1,059.18 $ 344.90 $ 72.79$ 199.32 $ 1,280.95 $900$900(0.200.20) $1,200$1,200 (0.200.20) $400*$400*(0 0.6060) $450$450Year 1Year 11 12 23 3(0.60) $1,200$1,200(0.30) $ 900$ 900(0.10) $2,200$2,200(0.35) $ 900$ 900(0.40) $ 600$ 600(0.25) $ 300$ 300(1.0) $ 0 $ 0Year 2Year 2*$600 + $200 放弃价值放弃价值14.44Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.放弃期放弃期权的的总结* For “True” Project considering abandonment option标准差标准差* = SQRT (740,326) = $857.56 期望期望NPV* = $ 71.88 NPV* = 原始（无放弃期权）原始（无放弃期权） NPV + 放弃期权的价值放弃期权的价值 因此因此, $71.88 = $17.01 + 期权价值期权价值 放弃期权的价值放弃期权的价值= $ 88.89