CHAPTER 6: RISK AVERSION AND
CAPITAL ALLOCATION TO RISKY ASSETS
1. The indifference curve with U = .02
2. Point E
3. Utility for each investment = E(r) – 0.5 ? 4 ?σ 2
We choose the investment with the highest utility value.
Investment Expected
return
E(r)
Standard
deviation
σ
Utility
U
1 0.1
2 0.30 -0.0600
2 0.15 0.50 -0.3500
3 0.21 0.16 0.1588
4 0.24 0.21 0.1518
Select Investment 3.
4. When investors are risk neutral, then A = 0; the investment with the highest utility
is Investment 4 because it has the highest expected return.
5. b
6. When we specify utility by U =E(r) – 0.5Aσ 2, the utility level for T-bills is: 0.07
The utility level for the risky portfolio is: U = 0.12 – 0.5A(0.18)2 = 0.12 – 0.0162A In order for the risky portfolio to be preferred to bills, the following inequality
must hold:
0.12 – 0.0162A > 0.07 ? A < 0.05/0.0162 = 3.09
A must be less than 3.09 for the risky portfolio to be preferred to bills.
6-1
7. Points on the curve are derived by solving for E(r) in the following equation:
U = 0.05 = E(r) – 0.5Aσ 2 = E(r) – 1.5σ 2
The values of E(r), given the values of σ 2, are therefore:
σσ 2E(r)
0.00 0.0000 0.05000
0.05 0.0025 0.05375
0.10 0.0100 0.06500
0.15 0.0225 0.08375
0.20 0.0400 0.11000
0.25 0.0625 0.14375
The bold line in the following graph (labeled Q3) depicts the indifference curve.
8. Repeating the analysis in Problem 7, utility is now:
U = E(r) – 0.5Aσ 2 = E(r) – 2.0σ 2 = 0.04
The equal-utility combinations of expected return and standard deviation are
presented in the table below. The indifference curve is the upward sloping line in the graph above, labeled Q4.
6-2
σσ 2E(r)
0.00 0.0000 0.0400
0.05 0.0025 0.0450
0.10 0.0100 0.0600
0.15 0.0225 0.0850
0.20 0.0400 0.1200
0.25 0.0625 0.1650
The indifference curve in Problem 8 differs from that in Problem 7 in both slope
and intercept. When A increases from 3 to 4, the increased risk aversion results
in a greater slope for the indifference curve since more expected return is needed
in order to compensate for additional σ. The lower level of utility assumed for
Problem 8 (0.04 rather than 0.05) shifts the vertical intercept down by 1%.
9. The coefficient of risk aversion for a risk neutral investor is zero. Therefore, the
corresponding utility is equal to the portfoli o’s expected return. The corresponding indifference curve in the expected return-standard deviation plane is a horizontal
line, labeled Q5 in the graph above (see Problem 7).
10. A risk lover, rather than penalizing portfolio utility to account for risk, derives greater
utility as variance increases. This amounts to a negative coefficient of risk aversion.
The corresponding indifference curve is downward sloping in the graph above (see Problem 7), and is labeled Q6.
11. a. The expected cash flow is: (0.5 ? $70,000) + (0.5 ? 200,000) = $135,000
With a risk premium of 8% over the risk-free rate of 6%, the required rate of
return is 14%. Therefore, the present value of the portfolio is:
$135,000/1.14 = $118,421
b. If the portfolio is purchased for $118,421, and provides an expected cash
inflow of $135,000, then the expected rate of return [E(r)] is derived as
follows:
$118,421 ? [1 + E(r)] = $135,000
Therefore, E(r) =14%. The portfolio price is set to equate the expected rate of
return with the required rate of return.
6-3
6-4
c. If the risk premium over T-bills is now 12%, then the required return is:
6% + 12% = 18%
The present value of the portfolio is now:
$135,000/1.18 = $114,407
d.
For a given expected cash flow, portfolios that command greater risk premia must sell at lower prices. The extra discount from expected value is a penalty for risk.
12. Expected return for equity fund = money-market rate + risk premium
= 6% + 10% = 16%
Expected return of client’s overall portfolio = (0.6 ? 16%) + (0.4 ? 6%) = 12% Standard deviation of client’s overall portfolio = 0.6 ? 14% = 8.4%
13. Reward to variability ratio =
71.014
10
= 14. a. E(r C ) = 8% = 5% + y(11% – 5%) ? 5.05
115
8y =--=
b. σC = y σP = 0.50 ? 15% = 7.5%
c. The first client is more risk averse, allowing a smaller standard deviation.
6-5
15. Data: r f = 2%, E(r M ) = 10%, σM = 25%, and B f r = 6%
The CML and indifference curves are as follows:
16. For y to be less than 1.0 (so that the investor is a lender), risk aversion (A) must be
large enough such that:
1A σr )E(r y 2M f M <-=
? 1.280.25
0.02
0.10A 2
=-> For y to be greater than 1.0 (so that the investor is a borrower), risk aversion must
be small enough such that:
1A σr )E(r y 2M f M >-=
? 0.640.25
0.06
0.10A 2
=-< For values of risk aversion within this range, the client will neither borrow nor lend,
but instead will hold a complete portfolio comprised only of the optimal risky portfolio:
y = 1 for 0.64 ≤ A ≤ 1.28
6-6
17. a. The graph for Problem 15 has to be redrawn here, with: E(r P ) = 8% and σP = 15%
b.
For a lending position: 2.670.150.02
0.08A 2
=->
For a borrowing position: 0.890.150.06
0.08A 2
=-<
Therefore, y = 1 for 0.89 ≤ A ≤ 2.67
18. The maximum feasible fee, denoted f, depends on the reward-to-variability ratio.
For y < 1, the lending rate, 2%, is viewed as the relevant risk-free rate, and we solve for f as follows:
2521015f 28-=-- ? %2.125
8
156f =?-=
For y > 1, the borrowing rate, 6%, is the relevant risk-free rate. Then we notice that,
even without a fee, the active fund is inferior to the passive fund because:
16.025
6
1013.01568=-<=-
6-7
More risk tolerant investors (who are more inclined to borrow) will not be clients of the fund even without a fee. (If you solved for the fee that would make investors who borrow indifferent between the active and passive portfolio, as we did above for lending investors, you would find that f is negative: that is, you would need to pay investors to choose your active fund.) These investors desire higher risk-higher return complete portfolios and thus are in the borrowing range of the relevant CAL. In this range, the reward-to-variability ratio of the index (the passive fund) is better than that of the managed fund.
19. Expected return = (0.7 ? 18%) + (0.3 ? 8%) = 15%
Standard deviation = 0.7 ? 28% = 19.6%
20. Investment proportions: 30.0% in T-bills 0.7 ? 25% = 17.5% in Stock A 0.7 ? 32% = 22.4% in Stock B 0.7 ? 43% = 30.1% in Stock C
21. Your reward-to-variability ratio: 3571.028
8
18S =-=
Client's reward-to-variability ratio: 3571.06
.198
15S =-= 22.
6-8
23. a.
E(r C ) = r f + y[E(r P ) – r f ] = 8 + y(18 - 8)
If the expected return for the portfolio is 16%, then: 16 = 8 + 10 y ?8.010
8
16y =-=
Therefore, in order to have a portfolio with expected rate of return equal to 16%, the client must invest 80% of total funds in the risky portfolio and 20% in T-bills.
b.
Client’s investment proportions: 20.0% in T-bills
0.8 ? 25% = 20.0% in Stock A 0.8 ? 32% = 25.6% in Stock B 0.8 ? 43% = 34.4% in Stock C
c. σC = 0.8 ? σP = 0.8 ? 28% = 22.4%
24. a.
σC = y ? 28%
If your client prefers a standard deviation of at most 18%, then: y = 18/28 = 0.6429 = 64.29% invested in the risky portfolio
b. E(r C ) = 8 + 10y = 8 + (0.6429 ? 10) = 8 + 6.429 = 14.429%
25. a.
y*0.36440.27440.10
0.28
3.50.080.18A σr )E (r 2
2P f P ==?-=-=
Therefore, the client’s optimal proportions are: 36.44% invested in the risky portfolio and 63.56% invested in T-bills.
b. E(r C ) = 8 + 10y* = 8 + (0.3644 ? 10) = 11.644% σC = 0.3644 ? 28 = 10.203%
6-9
26. a. Slope of the CML 20.025
8
13=-=
The diagram follows.
b. My fund allows an investor to achieve a higher mean for any given standard deviation than would a passive strategy, i.e., a higher expected return for any given level of risk.
27. a.
With 70% of his money invested in my fund’s portfolio, the client’s expected return is 15% per year and standard deviation is 19.6% per year. If he shifts that money to the passive portfolio (which has an expected return of 13% and standard deviation of 25%), his overall expected return becomes:
E(r C ) = r f + 0.7[E(r M ) - r f ] = 8 + [0.7 ? (13 – 8)] = 11.5%
The standard deviation of the complete portfolio using the passive portfolio would be:
σC = 0.7 ? σM = 0.7 ? 25% = 17.5%
Therefore, the shift entails a decrease in mean from 14% to 11.5% and a
decrease in standard deviation from 19.6% to 17.5%. Since both mean return and standard deviation decrease, it is not yet clear whether the move is beneficial. The disadvantage of the shift is that, if the client is willing to accept a mean return on his total portfolio of 11.5%, he can achieve it with a lower standard deviation using my fund rather than the passive portfolio.
6-10
To achieve a target mean of 11.5%, we first write the mean of the complete portfolio as a function of the proportion invested in my fund (y ):
E(r C ) = 8 + y(18 - 8) = 8 + 10y
Our target is: E(r C ) = 11.5%. Therefore, the proportion that must be invested in my fund is determined as follows:
11.5 = 8 + 10y ? 35.010
8
5.11y =-=
The standard deviation of this portfolio would be:
σC = y ? 28% = 0.35 ? 28% = 9.8%
Thus, by using my portfolio, the same 11.5% expected return can be achieved with a standard deviation of only 9.8% as opposed to the standard deviation of 17.5% using the passive portfolio.
b.
The fee would reduce the reward-to-variability ratio, i.e., the slope of the CAL. The client will be indifferent between my fund and the passive portfolio if the slope of the after-fee CAL and the CML are equal. Let f denote the fee:
Slope of CAL with fee 28
f
1028f 818-=
--= Slope of CML (which requires no fee)20.025
8
13=-= Setting these slopes equal we have:
20.028
f
10=-? 10 - f = 28 ? 0.20 = 5.6 ? f = 10 - 5.6 = 4.4% per year
28. a.
The formula for the optimal proportion to invest in the passive portfolio is:
2M
f
M A σr )E(r y*-=
Substitute the following: E(r M ) = 13%; r f = 8%; σM = 25%; A = 3.5:
0.22860.253.50.08
0.13y*2
=?-=
b.
The answer here is the same as the answer to Problem 27(b). The fee that you can charge a client is the same regardless of the asset allocation mix of the clien t’s portfolio. You can charge a fee that will equate the reward -to-variability ratio of your portfolio to that of your competition.
6-11
29. a.
If the period 1926 - 2005 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E(r M ) - r f = 8.39%, σM = 20.54% (we use the standard deviation of the risk premium from Table 6.8). Then y * is given by:
0.49720.205440.0839
A σr )E(r y*2
2M
f M =?=
-=
That is, 49.72% of the portfolio should be allocated to equity and 50.28%
should be allocated to T-bills.
b.
If the period 1986 - 2005 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E(r M ) - r f = 8.60%, σM = 16.24% and y* is given by:
0.81520.162440.0860
A σr )E(r y*2
2M
f M =?=
-=
Therefore, 81.52% of the complete portfolio should be allocated to equity and
18.48% should be allocated to T-bills.
c.
In part (b), the market risk premium is expected to be higher than in part (a) and market risk is lower. Therefore, the reward-to-variability ratio is expected to be higher in part (b), which explains the greater proportion invested in equity.
30. Assuming no change in risk tolerance, that is, an unchanged risk aversion
coefficient (A), then higher perceived volatility increases the denominator of the equation for the optimal investment in the risky portfolio (Equation 6.12). The proportion invested in the risky portfolio will therefore decrease.
31. The portfolio expected return and variance are computed as follows:
(1) W Bills (2) r Bills (3) W Index (4) r Index r Portfolio (1)?(2)+(3)?(4) σPortfolio
(3) ? 20% σ 2 Portfolio
0.0 5% 1.0 13.5% 13.5% = 0.135 20% = 0.20 0.0400 0.2 5% 0.8 13.5% 11.8% = 0.118 16% = 0.16 0.0256 0.4 5% 0.6 13.5% 10.1% = 0.101 12% = 0.12 0.0144 0.6 5% 0.4 13.5% 8.4% = 0.084 8% = 0.08 0.0064 0.8 5% 0.2 13.5% 6.7% = 0.067 4% = 0.04 0.0016 1.0
5%
0.0
13.5%
5.0% = 0.050
0% = 0.00 0.0000
32. Computing utility from U = E? – 0.5 ? Aσ 2 = E? – 1.5σ 2 , we arrive at the values
in the column labeled U(A = 3) in the following table:
W Bills W Index r PortfolioσPortfolioσ2Portfolio U(A = 3) U(A = 5)
0.0 1.0 0.135 0.20 0.0400 0.0750 0.0350
0.2 0.8 0.118 0.16 0.0256 0.0796 0.0540
0.4 0.6 0.101 0.12 0.0144 0.0794 0.0650
0.6 0.4 0.084 0.08 0.0064 0.0744 0.0680
0.8 0.2 0.067 0.04 0.0016 0.0646 0.0630
1.0 0.0 0.050 0.00 0.0000 0.0500 0.0500
The column labeled U(A = 3) implies that investors with A = 3 prefer a portfolio that is invested 80% in the market index and 20% in T-bills to any of the other
portfolios in the table.
33. The column labeled U(A = 5) in the table above is computed from:
U = E(r) – 0.5Aσ 2 = E(r) – 2.5σ 2
The more risk averse investors prefer the portfolio that is invested 40% in the
market index, rather than the 80% market weight preferred by investors with A = 3.
34. (0.6 ? $50,000) + [0.4 ? (-$30,000)] - $5,000 = $13,000
35. b
6-12
CHAPTER 6: APPENDIX
1.By year end, the $50,000 investment will grow to: $50,000 ? 1.06 = $53,000
Without insurance, the probability distribution of end-of-year wealth is:
Probability Wealth
No fire 0.999 $253,000
Fire 0.001 $ 53,000
For this distribution, expected utility is computed as follows:
E[U(W)] = [0.999 ? ln(253,000)] + [0.001 ? ln(53,000)] = 12.439582 The certainty equivalent is:
W CE = e 12.439582 = $252,604.85
With fire insurance, at a cost of $P, the investment in the risk-free asset is: $(50,000 – P)
Year-end wealth will be certain (since you are fully insured) and equal to: [$(50,000 – P) ? 1.06] + $200,000
Solve for P in the following equation:
[$(50,000 – P) ? 1.06] + $200,000 = $252,604.85 ? P = $372.78 This is the most you are willing to pay for insurance. Note that the expected loss is “only” $200, so you are willing to pay a substantial risk premium over the expected value of losses. The primary reason is that the value of the house is a large
proportion of your wealth.
2. a. With insurance coverage for one-half the value of the house, the premium
is $100, and the investment in the safe asset is $49,900. By year end, the
investment of $49,900 will grow to: $49,900 ? 1.06 = $52,894
If there is a fire, your insurance proceeds will be $100,000, and the
probability distribution of end-of-year wealth is:
Probability Wealth
No fire 0.999 $252,894
Fire 0.001 $152,894
For this distribution, expected utility is computed as follows:
E[U(W)] = [0.999 ? ln(252,894)] + [0.001 ? ln(152,894)] = 12.4402225 The certainty equivalent is:
W CE = e 12.4402225 = $252,766.77
6-13
b.With insurance coverage for the full value of the house, costing $200, end-of-
year wealth is certain, and equal to:
[($50,000 – $200) ? 1.06] + $200,000 = $252,788
Since wealth is certain, this is also the certainty equivalent wealth of the fully insured position.
c.With insurance coverage for 1? times the value of the house, the premium
is $300, and the insurance pays off $300,000 in the event of a fire. The
investment in the safe asset is $49,700. By year end, the investment of
$49,700 will grow to: $49,700 ? 1.06 = $52,682
The probability distribution of end-of-year wealth is:
Probability Wealth
No fire 0.999 $252,682
Fire 0.001 $352,682
For this distribution, expected utility is computed as follows:
E[U(W)] = [0.999 ? ln(252,682)] + [0.001 ? ln(352,682)] = 12.4402205 The certainty equivalent is:
W CE = e 12.440222 = $252,766.27
Therefore, full insurance dominates both over- and under-insurance. Over-
insuring creates a gamble (you actually gain when the house burns down).
Risk is minimized when you insure exactly the value of the house.
6-14
Essentials of Investments (BKM 5th Ed.) Answers to Selected Problems – Lecture 4 Note: The solutions to Example 6.4 and the concept checks are provided in the text. Chapter 6: 23. In the regression of the excess return of Stock ABC on the market, the square of the correlation coefficient is 0.296, which indicates that 29.6% of the variance of the excesss return of ABC is explained by the market (systematic risk). Chapter 7: 3. E(R p) = R f + βp[E(R M) - R f] 0.20 = 0.05 + β(0.15 - 0.05) β = 0.15/0.10 = 1.5 β=0 implies E(R)=R f, not zero. 6. a) False: b) False: Investors of a diversified portfolio require a risk premium for systematic risk. Only the systematic portion of total risk is compensated. c) False: 75% of the portfolio should be in the market and 25% in T-bills. βp=(0.75 * 1) + (0.25 * 0) = 0.75 8. Not possible. Portfolio A has a higher beta than B, but a lower expected return. 9. Possible. If the CAPM is valid, the expected rate of return compensates only for market risk (beta), rather than for nonsystematic risk. Part of A’s risk may be nonsystematic. 10. Not possible. If the CAPM is valid, the market portfolio is the most efficient and a higher reward- to-variability ratio than any other security. In other words, the CML must be better than the CAL for any other security. Here, the slope of the CAL for A is 0.5 while the slope of the CML is 0.33. 11. Not possible. Portfolio A clearly dominates the market portfolio with a lower standard deviation and a higher expected return. The CML must be better than the CAL for security A. 12. Not possible. Security A has an expected return of 22% based on CAPM and an actual return of 16%. Security A is below the SML and is therefore overpriced. It is also clear that security A has a higher beta than the market, but a lower return which is not consistent with CAPM. 13. Not possible. Security A has an expected return of 17.2% and an actual return of 16%. Security A is below the SML and is therefore overpriced. 14. Possible. Portfolio A has a lower expected return and lower standard deviation than the market and thus plots below the CML. 17. Using the SML: 6 = 8 + β(18 – 8)
第五章 12、投资股票的预期收益是18000，而无风险的短期国库券的预期收益是5000，所以，预期的风险溢价将会是130000 第六章：风险厌恶和资本配置风险资产 14、a ．E(r C ) = 8% = 5% + y(11% – 5%) ? 5.05 1158y =--= b ． C = y P = 0.50 15% = 7.5% c ．第一个客户更厌恶风险，所能容忍的标准差更小。 第七章：优化风险投资组合 1、正确的选择是c 。直观地讲，我们注意到因为所有的股票都有相同的期望回报率和标准差,所以我们选择股票的风险最低。股票A 是在这股票中关联性最低的。更正式地讲，我们注意到，当所有的股票拥有同样的预期回报率,对任一风险厌恶投资者的最优资产组合是整个方差最小的资产组合。当这个投资组合是限制股票A 和一个额外的股票,我们的目的都是为了去找G 和与包括A 的任何组合,然后选择最小方差的投资组合。通过I 和J 这两只股票，这个G 放入回归加权公式是： )I (w 1)J (w )r ,r (Cov 2)r ,r (Cov )I (w Min Min J I 2J 2I J I 2J Min -=-σ+σ-σ= 因为所有的标准偏差都是等于20%： Cov(r I , r J ) = I J = 400 and w Min (I) = w Min (J) = 0.5
这个直观的结果就是一项有效边界的任何财产，也就是说，其他拥有有效的边界最小方差的投资组合的协方差本质上等于它的方差。(否则,额外的分散投资将进一步降低方差。) 在这种情况下，(I, J)的回归加权标准差变成： Min(G) = [200(1 + I J)]1/2 这导致了直观的结果,就是因为股票D和股票A的期望与其相关性最低,而最优的投资组合就是同样得投资股票A和股票D,他们的标准偏差均为17.03%。 4、b 6、c 16、 17、 d.
CHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURN PROBLEM SETS 1. The revised estimate of the expected rate of return on the stock would be the old estimate plus the sum of the products of the unexpected change in each factor times the respective sensitivity coefficient: revised estimate = 12% + [(1 2%) + (0.5 3%)] = 15.5% 2. The APT factors must correlate with major sources of uncertainty, i.e., sources of uncertainty that are of concern to many investors. Researchers should investigate factors that correlate with uncertainty in consumption and investment opportunities. GDP, the inflation rate, and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highly correlated with uncertainties that have to do with investment and consumption opportunities in the economy. 3. Any pattern of returns can be “explained” if we are free to choose an indefinitely large number of explanatory factors. If a theory of asset pricing is to have value, it must explain returns using a reasonably limited number of explanatory variables (i.e., systematic factors). 4. Equation 10.9 applies here: E(r p) = r f + P1 [E(r1 ) r f ] + P2 [E(r2) – r f ] We need to find the risk premium (RP) for each of the two factors: RP1 = [E(r1) r f ] and RP2 = [E(r2) r f ] In order to do so, we solve the following system of two equations with two unknowns: 31 = 6 + (1.5 RP1) + (2.0 RP2) 27 = 6 + (2.2 RP1) + [(–0.2) RP2] The solution to this set of equations is: RP1 = 10% and RP2 = 5%
第10章指数模型 10.1 复习笔记 1．单指数证券市场 (1)单指数模型 ①单指数模型的定义式 马科维茨模型在实际操作中存在两个问题，一是需要估计大量的数据；二是该模型应用中相关系数确定或者估计中的误差会导致结果无效。 单指数模型大降低了马科维茨资产组合选择程序的数据数量，它把精力放在了对证券的专门分析中。 因为不同企业对宏观经济事件有不同的敏感度。所以，如果记宏观因素的非预测成分为F，记证券i对宏观经济事件的敏感度为βi；则证券i的宏观成分为，则股票收益的单因素模型为： ②单指数模型收益率的构成 因为指数模型可以把实际的或已实现的证券收益率区分成宏观(系统)的与微观(公司特有)的两部分。每个证券的收益率是三个部分的总和：
如果记市场超额收益R M的方差为σ2M，则可以把每个股票收益率的方差拆分成两部分： （2）指数模型的估计 单指数模型表明，股票GM的超额收益与标准普尔500指数的超额收益之间的关系由下式给定： R i=αi+βi R M+e i 该式通过βi来测度股票i对市场的敏感度，βi是回归直线的斜率。回归直线的截距是αi，它代表了平均的公司特有收益。在任一时期里，回归直线的特定观测偏差记为e i，称为残值。每一个残值都是实际股票收益与由描述股票同市场之间的一般关系的回归方程所预测出的股票收益之间的差异。这些量可以用标准回归技术来估计。 （3）指数模型与分散化 资产组合的方差为 其中定义资产组合方差的系统风险成分为依赖于市场运动的部分为它也
依赖于单个证券的敏感度系数。这部分风险依赖于资产组合的贝塔和σ2M，不管资产组合分散化程度如何都不会改变。 相比较，资产组合方差的非系统成分是σ2(e P)，它来源于公司特有成分e i。因为这些e i 是独立的，都具有零期望值，所以可以得出这样的结论：随着越来越多的股票加入到资产组合中，公司特有风险倾向于被消除掉，非市场风险越来越小。 当各资产为等权重，且e i不相关时，有。式中，为公司特有方差的均值。当n变大时，σ2(e p)就变得小得可以忽略了。 图10—1 证券数量与分散风险 2．资本资产定价模型与指数模型 （1）真实收益与期望收益 资本资产定价模表示了各种期望收益之间的关系，而可以观察到的只是实际的或已实现的持有期收益；构造一个规模巨大的市值加权的资产组合也是难以实现的。因此资本资产定价模型的有效性难以进行实证检验。
第1章投资环境 1.1 复习笔记 1.金融资产与实物资产 （1）概念 实物资产指经济生活中所创造的用于生产商品和提供服务的资产。实物资产包括：土地、建筑物、知识、机械设备以及劳动力。实物资产和“人力”资产是构成整个社会的产出和消费的主要内容。 金融资产是实物资产所创造的利润或政府的收入的要求权。金融资产主要指股票或债券等有价证券。金融资产是投资者财富的一部分，但不是社会财富的组成部分。 （2）两种资产的区分 ①实物资产能够创造财富和收入，而金融资产却只是收入或财富在投资者之间的配置的一种手段。 ②实物资产通常只在资产负债表的资产一侧出现，而金融资产却可以作为资产或负债在资产负债表的两侧都出现。对企业的金融要求权是一种资产，但是，企业发行的这种金融要求权则是企业的负债。 ③金融资产的产生和消除一般要通过一定的商务过程。例如，当贷款被支付后，债权人的索偿权(一种金融资产)和债务人的债务(一种金融负债)就都消失了。而实物资产只能通过偶然事故或逐渐磨损来消除。
2．金融市场 （1）金融市场与经济 ①金融市场的概念 金融市场是指以金融资产为交易对象而形成的供求关系及其机制的总和。它包括三层含义，一是它是金融资产进行交易的一个有形和无形的场所；二是它反映了金融资产的供应者和需求者之间所形成的供求关系；三是它包含了金融资产交易过程中所产生的运行机制。 ②金融市场的作用 a.金融市场允许人们通过金融资产储蓄财富，使人们消费与收入在时间上分离。人们可以通过调整消费期获得最满意的消费。 b.金融市场使人们可以通过金融资产的买卖来分配实物资产的风险。 c.金融市场保证了公司经营权和所有权的分离。 ③代理问题 代理问题是指公司的管理者追求自己的利益而非公司的利益所产生的管理者与股东潜在的利益冲突。解决代理问题的管理机制有：期权等激励机制、通过董事会解雇管理者以及雇佣独立人士监控管理者。绩效差的公司通常面临着被收购的危机，这是一种外部的激励。 公司治理危机包括会计丑闻、分析师丑闻和首次公开发行中的问题。 （2）金融系统的客户 金融系统中的客户包括家庭、企业和政府。 家庭通过金融市场持有金融资产进行理财；企业利用金融市场融资；政府一方面通过金融市场融资，另一方面也是金融环境的规范者。 （3）投资环境与客户需求 ①金融中介的定义与性质
投资学-博迪-考研真题详解 1大量证据显示，通货膨胀率高的经济体（）。[暨南大学2018金融硕士] A．货币总量增长很快 B．利率水平很低 C．财政赤字很低 D．经济增长很快 【答案】A查看答案 【解析】以弗里德曼为代表的新货币数量说认为，如果货币数量与产量以同一比率增长，就不会引起通货膨胀。但当货币数量的增长率超过了产量的增长率时，就一定会造成通货膨胀。特别是当经济达到充分就业后，由于产量不能进一步上升，因此，货币数量的任何增长都将引起一般物价水平的上升，而一旦人们对这种物价上升产生预期，整个经济就会陷入工资一物价螺旋式上升的过程，进而使由货币供给过多而引起的通货膨胀愈演愈烈。 2下列哪种表述是错误的？（）[中山大学2018金融硕士] A．不同到期期限的债券的利率随时间一起波动 B．收益率曲线通常向上倾斜
C．如果短期利率较高，收益率曲线通常向下倾斜 D．如果短期利率较低，收益率曲线通常是翻转的 【答案】D查看答案 【解析】D项，如果短期利率较高，收益率曲线通常是向下倾斜的；如果短期利率较低，收益率曲线通常是向上倾斜的。 3某投资者参与保证金卖空交易，初始保证金比例为50%，保证金最低维持率为20%，投资者以每股25元的价格买入400股，则当股票价格跌破每股（）元时，投资者必须追加保证金。[上海财经大学2017金融硕士] A．15.625 B．10 C．20 D．5 【答案】A查看答案 【解析】初始保证金比例为50%，买入标的资产价值为25×400＝10000元，即相当于投资者向经纪人借入10000×（1－50%）＝5000元买入了价值为10000元的标的股票。设股票价格为P，则400股股票价值为400P，账户中权益价值为400P－5000，保证金比率为（400P－5000）/400P，当（400P－5000）/400P＜20%，即P＜15.625时，投资者将收到保证金催缴通知。
第1章:投资环境 问题集 1．的确,实际资产决定经济的物质享受。然而,当金融工程创建新产品时, 个人可以受益，可以让他们更有效地管理金融资产投资组合。因为对于不同的风险来源，捆绑和拆分创造具有新属性和敏感性的金融产品,能让投资者更有效地对冲特定来源的风险。 2．证券化需要大量的潜在投资者。为了吸引这些投资者,资本市场需求: 1。一个安全系统的商业法律和概率低的没收的税收法律/法规; 2。一个成熟的投资银行业; 3。成熟的经纪和金融交易系统,; 4。发达的媒介,尤其是财务报告。 这些特征在一个发达的金融市场中具有。 3．证券化导致金融脱媒;也就是说,证券化为市场参与者提供了一个手段绕过中介。例如,抵押贷款支持证券是房地产市场获得资金不需要通过银行或储蓄机构发放贷款的投资组合。随着资产证券化的发展,金融中介机构必须增加其他活动，例如向消费者和小型企业提供短期流动性,金融服务。 4．金融资产使大公司筹集支持实物资产投资的资本变得容易。如果福特,例如,可以不向公众发行股票或债券,这将更难以筹集资金。紧缩金融资产的供应将使融资更加困难,从而增加了资本成本。更高的资本成本导致更少的投资和较低的实际增长。 5．即使公司不需要发行股票，股票市场对于财务经理依然很重要。股票价格提供关于公司投资项目的市场价值的重要信息。例如，如果股票价格大幅上涨，经理可能得出结论，认为公司的前景是光明的。这对于公司继续投资扩大资产业务可能是个有用的信号。此外，股票可以在二级市场交易是对初始投资者更具吸引力的方面，因为他们知道他们可以出售股票。反过来这会使得市场投资者更愿意购买初始股票，从而使得公司更容易在股市筹集资金。6．a、不会，价格的增加不会增加经济的生产能力。 b、是的，股票在这些资产的价值增加了。 c、未来业主作为一个整体更糟，因为抵押贷款债务也增加了。此外，这个房 价泡沫最终会破裂，社会作为一个整体将承受损失。 7．a 银行贷款是兰尼的金融负债，收到的现金是兰尼的金融资产。银行的金融资产转换成本票。 b 兰尼将金融资产投入到软件开发，则兰尼得到实物资产，开发的软件。没 有创造和减少金融资产，金融资产（现金）只是从一方转移到了另一方。 c 兰尼用实物资产（软件）和微软公司交换了金融资产（1500股股票），如 果微软为了支付兰尼增发了新股，则创造了金融资产。 d 兰尼将股票金融资产转化为了现金金融资产。兰尼将部分现金金融资产还 给银行，赎回借据金融资产，则减少了金融资产。 8
第15章利率的期限结构 15.1 复习笔记 利率期限结构，即不同到期期限债券利率之间的关系，通常用被称为收益率曲线的曲线图来描述。 1. 确定的期限结构 长期债券收益率较高的原因有二：一是长期债券风险较大，需要较高的收益率来补偿利率风险；二是投资者预期利率会上升，因此较高的平均收益率反应了对债券后续寿命期的高利率预期。 （1）债券定价 给定期限的利率称为短期利率。利用不同期限的短期利率对债券进行贴现可以得到债券的价格。利用债券的价格，可计算出每种债券的到期收益率。收益率是单利，它等于相对于债券价格的债券支付额的现值。虽然利率可随时间变化，但各期的到期收益率均以“平均”利率计算，以贴现所有各期的债券支付。不同期限的到期收益率可以构成收益率曲线。 零息票债券的到期收益率有时也称为即期利率，即今日对应于零期时的利率。到期收益率实际上是每一时期利率的几何平均值。 （2）分离债券和息票债券的定价 零息票债券的价格可以通过用债券到期时的即期利率对债券票面价值贴现后得到。可以把息票债券的每一次付息从结果上视为各自独立支付的零息票债券，它们可以独立地被估价。息票债券的总价值就是其每一次现金流价值的总和。
债券交易者经常要区分零息票债券和息票支付债券的收益曲线。纯收益曲线反映了零息票债券的到期收益和到期时间之间的关系。 （3）持有期收益（holding period yield, HPY ） 在一个简单的没有不确定性因素的世界中，任何期限的债券一定会提供相同的收益率。实际上，尽管不同的债券有不同的到期收益率，但每一种债券提供的未来一年的收益率将等于这一年的短期利率。 持有期收益指在一定时期内投资的总收益，包括各种来源的收入。其计算公式如下： 投资的期初价值投资的期末价值 HPR 其计算得出的值总是大于或等于0, 即它不可能为负值。如果该值大于1.0表明财富增加，这意味着持有期的收益率为正；如果该值小于1.0表明财富减少，这意味着在持有期的收益率为负；如果该值等于0表明投资损失殆尽。 持有期收益率（HPR ）指一定时间内投资的总收益率，用百分数表示。其计算公式如下： HPY=HPR －1 （4）远期利率 在利率变化确定的情况下，可从零息票债券的收益率曲线中推出未来短期利率，其计算公式为： 式中，n 为期数；y n 为n 期零息票债券的到期收益率。 当未来利率与不确定性相联系，用式(15-4)推断出的利率称为远期利率而不是未来短期利率，因为它不一定是未来某一期间的真实利率。 如果n 期的远期利率为f n ，则可用下式定义f n ：
CHAPTER 02 ASSET CLASSES AND FINANCIAL INSTRUMENTS https://www.doczj.com/doc/257824269.html,mon stock is an ownership share in a publicly held corporation. Common shareholders have voting rights and may receive dividends. Preferred stock represents nonvoting shares in a corporation, usually paying a fixed stream of dividends. While corporate bonds are long-term debt by corporations, typically paying semi-annual coupons and returning the face value of the bond at maturity. 2.While the DJIA has 30 large corporations in the index, it does not represent the overall market nearly as well as the 500 stocks contained in The Wilshire index. The DJIA is simply too small. 3.They are short term, very safe, and highly liquid. Also, their unit value almost never changes. 4.Treasury bills, certificates of d eposit, commercial paper, bankers’ acceptances, Eurodollars, repos, reserves, federal funds and brokers’ calls. 5.American Depository Receipts, or ADRs, are certificates traded in U.S. markets that represent ownership in shares of a foreign company. Investors may also purchase shares of foreign companies on foreign exchanges. Lastly, investors may use international mutual funds to own shares indirectly. 6.Because they produce coupons that are tax free. 7.The fed funds rate is simply the rate of interest on very short-term loans among financial institutions. The London Interbank Offer Rate (LIBOR) is the rate at which large banks in London are willing to lend money among themselves. 8.General obligation bonds are backed by the local governments, while revenue bonds have proceeds attached to specific projects. A revenue bond has less guarantees, therefore, it is riskier and will have a higher yield. 9.Corporations may exclude 70% of dividends received from domestic corporations in the computation of their taxable income. 10.Limited liability means that the most shareholders can lose in event of the failure of the corporation is their original investment. 11.Money market securities are referred to as “cash equivalents” because of their great liquidity. The prices of money market securities are very stable, and they can be converted to cash (i.e., sold) on very short notice and with very low transaction costs.
博迪《投资学》（第10版）笔记和课后习题详解完整版>精研学习?>无偿试用20％资料 全国547所院校视频及题库全收集 考研全套>视频资料>课后答案>往年真题>职称考试 第一部分绪论 第1章投资环境 1.1复习笔记 1.2课后习题详解 第2章资产类别与金融工具 2.1复习笔记 2.2课后习题详解 第3章证券是如何交易的 3.1复习笔记 3.2课后习题详解 第4章共同基金与其他投资公司 4.1复习笔记 4.2课后习题详解 第二部分资产组合理论与实践 第5章风险与收益入门及历史回顾 5.1复习笔记 5.2课后习题详解 第6章风险资产配置 6.1复习笔记 6.2课后习题详解 第7章最优风险资产组合 7.1复习笔记 7.2课后习题详解 第8章指数模型 8.1复习笔记 8.2课后习题详解 第三部分资本市场均衡 第9章资本资产定价模型 9.1复习笔记 9.2课后习题详解 第10章套利定价理论与风险收益多因素模型 10.1复习笔记 10.2课后习题详解 第11章有效市场假说
11.1复习笔记 11.2课后习题详解 第12章行为金融与技术分析 12.1复习笔记 12.2课后习题详解 第13章证券收益的实证证据 13.1复习笔记 13.2课后习题详解 第四部分固定收益证券 第14章债券的价格与收益 14.1复习笔记 14.2课后习题详解 第15章利率的期限结构 15.1复习笔记 15.2课后习题详解 第16章债券资产组合管理 16.1复习笔记 16.2课后习题详解 第五部分证券分析 第17章宏观经济分析与行业分析 17.1复习笔记 17.2课后习题详解 第18章权益估值模型 18.1复习笔记 18.2课后习题详解 第19章财务报表分析 19.1复习笔记 19.2课后习题详解 第六部分期权、期货与其他衍生证券第20章期权市场介绍 20.1复习笔记 20.2课后习题详解 第21章期权定价 21.1复习笔记 21.2课后习题详解 第22章期货市场 22.1复习笔记 22.2课后习题详解 第23章期货、互换与风险管理 23.1复习笔记 23.2课后习题详解 第七部分应用投资组合管理 第24章投资组合业绩评价 24.1复习笔记
第19章财务报表分析 19.1 复习笔记 财务会计的数据资料由于容易得到，尽管存在一些缺点，但对于评估一家公司的经济前景非常有用。投资者可以利用财务资料来进行股票估价分析。本章将说明如何以一种系统的方法，利用财务比率来揭示一家公司盈利能力的来源，并且评价其收益的“质量”，以及负债政策对各种财务比率的影响。但是，由于每个公司会计程序不同，加之通货膨胀会使会计数据失真，财务报表分析作为寻找定价不当的股票的一种工具，是有其局限性的。 1．基本财务报表 （1）损益表 损益表是对公司在一段时期内(例如一年)的盈利能力的总结。它表示在运营期间公司获得的收入，以及与此同时产生的费用。收入减去费用所得的差额就是公司的净利润或利润。 公司支付的主要的费用有四种：①货物的销售成本，即在生产公司销售的产品时产生的一种直接成本。②各种管理费用，包括间接费用、酬金、广告费和运营公司所需的其他成本，这不是由生产直接产生的。③由公司债务产生的利息费用。④应缴纳的联邦及当地政府的所得税。 在损益表中，营业收入与随之产生的营业费用（包括折旧费用）之差称为营业收益。营业收益再加上或减去其他临时性的收入或者费用可以得到息税前收益(EBIT)，它是指在不承担对债权人支付和缴税的前提下的公司之所得。在忽略由于借债筹资而产生的利息负担的情
况下，息税前收益是检验公司盈利能力的一个方法。如果息税前收益减去净利息费用，就可以得到应税收入。最后从应税收入中减去应缴给政府的所得税，就得到损益表的最下面一行，净收入。 （2）资产负债表 资产负债表提供了公司在某一时点的财务状况信息，显示该公司在那一时刻的资产与负债清单。 资产负债表的第一部分列示公司的资产。资产包括流动资产和长期资产两部分。首先列示的是流动资产，如现金、应收账款及存货等。接着列示的是长期资产，主要包括公司的不动产、厂房与设备。流动资产与长期资产的总和称为总资产，列在该表资产部分的最后一项。 负债及股东权益部分也同理排列。负债包括流动负债，如应付账款、应交税金与一年内到期的负债，以及长期债务与一年以上的其他负债。总资产与总负债的差额称为股东权益，它是公司的净资产或者账面价值。股东权益又可分为股本、资本公积与盈余公积。股本加上资本公积相当于股票卖给公众所得收益，盈余公积相当于从利润中提取的股权留存在公司。即使公司不再增加股权，但公司的账面价值仍可以通过将收益留存在公司而每年增加。 （3）现金流量表 现金流量表详细描述了由公司的经营、投资与筹资活动所产生的现金流。损益表与资产负债表均建立在权责发生制上，即使没有现金交易，收入与费用也在发生时就确认。而现金流量表以收入实现制为基础，只承认产生现金变化的交易。 现金流量表主要分为三大块，即经营活动、投资活动和筹资活动产生的现金流。经营活动产生的现金流主要通过对净收益进行包括应收应付款项、折旧摊销等在内的若干项目的调整，得到经营活动的净现金。投资活动产生的现金流，记录的是公司的投资活动在一定时期的净现金流入或流出，对公司保持并提高生产能力很有必要。最后一部分筹资活动所产生的
CHAPTER 1: THE INVESTMENT ENVIRONMENT PROBLEM SETS 1.Ultimately, it is true that real assets determine the material well being of an economy. Nevertheless, individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets more efficiently. Because bundling and unbundling creates financial products with new properties and sensitivities to various sources of risk, it allows investors to hedge particular sources of risk more efficiently. 2.Securitization requires access to a large number of potential investors. To attract these investors, the capital market needs: 1. a safe system of business laws and low probability of confiscatory taxation/regulation; 2. a well-developed investment banking industry; 3. a well-developed system of brokerage and financial transactions, and; 4.well-developed media, particularly financial reporting. These characteristics are found in (indeed make for) a well-developed financial market. 3.Securitization leads to disintermediation; that is, securitization provides a means for market participants to bypass intermediaries. For example, mortgage-backed securities channel funds to the housing market without requiring that banks or thrift institutions make loans from their own portfolios. As securitization progresses, financial intermediaries must increase other activities such as providing short-term liquidity to consumers and small business, and financial services. 4.Financial assets make it easy for large firms to raise the capital needed to finance their investments in real assets. If Ford, for example, could not issue stocks or bonds to the general public, it would have a far more difficult time raising capital. Contraction of the supply of financial assets would make financing more difficult, thereby increasing the cost of capital. A higher cost of capital results in less investment and lower real growth. 5.Even if the firm does not need to issue stock in any particular year, the stock market is still important to the financial manager. The stock price provides important information about how the market values the firm's investment projects. For example, if the stock price rises considerably, managers might conclude that the market believes the firm's future prospects are bright. This might be a useful signal to the firm to proceed with an investment such as an expansion of the firm's business. In addition, shares that can be traded in the secondary market are more attractive to initial investors since they know that they will be able to sell their shares. This in turn makes investors more willing to buy shares in a primary offering, and thus improves the terms on which firms can raise money in the equity market. 6. a. No. The increase in price did not add to the productive capacity of the economy. b.Yes, the value of the equity held in these assets has increased.
CHAPTER 3: HOW SECURITIES ARE TRADED PROBLEM SETS 1.Answers to this problem will vary. 2. The SuperDot system expedites the flow of orders from exchange members to the specialists. It allows members to send computerized orders directly to the floor of the exchange, which allows the nearly simultaneous sale of each stock in a large portfolio. This capability is necessary for program trading. 3. The dealer sets the bid and asked price. Spreads should be higher on inactively traded stocks and lower on actively traded stocks. 4. a. In principle, potential losses are unbounded, growing directly with increases in the price of IBM. b. If the stop-buy order can be filled at $128, the maximum possible loss per share is $8. If the price of IBM shares goes above $128, then the stop-buy order would be executed, limiting the losses from the short sale. 5. a. The stock is purchased for: 300 ? $40 = $12,000 The amount borrowed is $4,000. Therefore, the investor put up equity, or margin, of $8,000. b.If the share price falls to $30, then the value of the stock falls to $9,000. By the end of the year, the amount of the loan owed to the broker grows to: $4,000 ? 1.08 = $4,320 Therefore, the remaining margin in the investor’s account is: $9,000 - $4,320 = $4,680 The percentage margin is now: $4,680/$9,000 = 0.52 = 52% Therefore, the investor will not receive a margin call. c.The rate of return on the investment over the year is: (Ending equity in the account - Initial equity)/Initial equity = ($4,680 - $8,000)/$8,000 = -0.415 = -41.5%