金融工程 第二版 课后习题 完整答案

郑振龙《金融工程》第2版课后习题第五章股指期货、外汇远期利率远期与利率期货1．美国某公司拥有一个β系数为1.2，价值为l000万美元的投资组合，当时标准普尔500指数为1530点，请问该公司应如何应用标准普尔500指数期货为投资组合套期保值?答：由题意可知，该公司持有资产组合，应进行空头套期保值。

应卖出的标准普尔500指数期货合约份数为：G H V V N ⨯=β=100000001.2312501530≈⨯份。

2．瑞士和美国两个月连续复利利率分别为2％和7％，瑞士法郎的现货汇率为0.6800美元，2个月期的瑞士法郎期货价格为0.7000美元，请问有无套利机会?答：有套利机会，理由主要如下：（1）根据已知条件可以计算瑞士法郎2个月期理论远期汇率为：2/12(0.070.02)0.680.68570.7F e ⨯-==<2个月期瑞士法郎期货价格高估。

（2）假设期初投资者在现货市场上获得2个月期0.68单位美元的借款，同时卖出2/120.02e ⨯单位的2个月期的瑞士法郎期货。

投资者在现货市场上卖出美元，兑换瑞士法郎，持有瑞士法郎直到期货到期。

期货到期时，投资者交割瑞士法郎，获得美元，并偿还美元借款。

综上，以美元计算投资者的套利所得为：2/120.022/120.070.70.680.01436e e ⨯⨯-=（美元）。

3．假设某投资者A 持有一份β系数为0.85的多样化的股票投资组合，请问，如果不进行股票现货的买卖，只通过期货交易，是否能提高该投资组合的β系数?答：可以。

理由主要如下：投资者可以利用股指期货，根据自身的预期和特定的需求改变股票投资组合的β系数，从而调整股票组合的系统性风险与预期收益。

设定股票组合的原β系数为β，目标β系数为β*．套期保值比率就应该为β*-β，需要交易的股指期货份数为()*H GV V ββ-。

这里V H 和V G 分别代表股票投资组合的总价值与一份股指期货合约的规模。

郑振龙《金融工程》第2版课后习题第七章互换的定价与风险分析1．假设在一笔互换合约中，某一金融机构每半年支付6个月期的LIBOR，同时收取8％的年利率（半年计一次复利），名义本金为l 亿美元。

互换还有1.25年的期限。

3个月、9个月和15个月的LIBOR（连续复利率）分别为10％、10.5％和11％。

上一次利息支付日的6个月LIBOR 为10.2％（半年计一次复利）。

试分别运用债券组合和FRA 组合计算此笔利率互换对该金融机构的价值。

答：（1）运用债券组合计算该笔利率互换的价值①现金流交换日交换的固定利息额)(04.0)2/%8(1亿美元=⨯=K 根据固定利率债券定价公式有：)(9824.004.104.004.025.111.075.0105.025.01.0亿美元=++=⨯-⨯-⨯-e e e B fix ；②下一交换日应交换的浮动利息额)(051.0)2/%2.10(1*亿美元=⨯=K )(0251.1)051.01(25.01.0亿美元=+=⨯-e B fl ；③由题意可知，该金融机构是互换空头，即浮动利率的支付者，则其利率互换的价值为：（亿美元）互换-0.0431.0251-0.9824==-=fl fix B B V 。

（2）运用FRA 组合计算该笔利率互换的价值6个月计一次复利的8%对应的连续复利利率为=+)2/%81ln(27.84%。

计算该金融机构每次交换后的FRA 价值。

①3个月后交换的FRA 价值为：-0.011= ）e e -(e×10.25-10%0.510%0.57.84%⨯⨯⨯（亿美元）；②3个月到9个月的远期利率为：0.1050.750.100.250.10750.5⨯-⨯=9个月后交换的FRA 价值为：-0.014= ）e e -(e×10.75-10.5%0.510.75%0.57.84%⨯⨯⨯（亿美元）；③9个月到15个月的远期利率为：%75.111175.05.075.0105.025.111.0==⨯-⨯。

金融学第二版课后习题答案【篇一：王重润公司金融学第二版课后答案】业有几种组织方式？各有什么特点？（ 1）有两种，有限责任公司和股份有限责任公司（ 2）有限责任公司特点：有限责任公司是指股东以其出资额为限对公司承担责任，公司以其全部资产对公司的债务承担责任的企业法人；有限责任公司注册资本的最低限额为人民币3万元；其资本并不必分为等额股份，也不公开发行股票，股东持有的公司股票可以再公司内部股东之间自由转让，若向公司以外的人转让，须经过公司股东的同意；公司设立手续简便，而且公司无须向社会公开公司财务状况。

（ 3）股份有限责任公司特点：1、有限责任2、永续存在3、股份有限责任公司的股东人数不得少于法律规定的数目，我国规定设立股份有限公司，应当有2人以上200人以下为发起人4、股份有限责任公司的全部资本划分为等额的股份，通过向社会公开发行的办法筹集资金，任何人在缴纳了股款之后，都可以成为公司股东，没有资格限制。

5、可转让性6、易于筹资2题：为什么我国《公司法》允许存在一人有限责任公司？一人有限责任公司与个人独资企业有何不同？答：1.就立法初衷而言，许可自然人投资设立一人有限责任公司的重要考虑是减少实质上的一人公司的设立，简化和明晰股权归属，减少纷争。

以往由于我国《公司法》禁止设立一人公司，使得投资人通过各种途径设立或形成的实质上的一人公司大量存在，挂名股东与真实股东之间的投资权益纠纷以及挂名股东与公司债权人之间的债务纠纷不断，令工商行政管理部门和司法机关无所适从。

在修订《公司法》的过程中，法律委员会、法制工作委员会会同国务院法制办、工商总局、国资委、人民银行和最高人民法院反复研究认为：从实际情况看，一个股东的出资额占公司资本的绝大多数而其他股东只占象征性的极少数，或者一个股东拉上自己的亲朋好友作挂名股东的有限责任公司，即实质上的一人公司，已是客观存在，也很难禁止。

根据我国的实际情况，并研究借鉴国外的通行做法，应当允许一个自然人投资设立有限责任公司。

CHAPTER 8VALUATION OF KNOWN CASH FLOWS: BONDSObjectives«To show how to value con tracts and securities that promise a stream of cash flows that areknown with certa inty.«To un dersta nd the shape of the yield curve .«To un dersta nd how bond prices and yields cha nge over time.Outline8.1 Us ing Prese nt Value Formulas to Value Known Cash Flows8.2 The Basic Build ing Blocks: Pure Discou nt Bonds8.3 Coupon Bo nds, Curre nt Yield, and Yield to Maturity8.4 Readi ng Bond Listi ngs8.5 Why Yields for the Same Maturity Differ8.6 The Behavior of Bond Prices over TimeSummary* A cha nge in market in terest rates causes a cha nge in the opposite directi on in the market values of all exist ing con tracts promisi ng fixed payme nts in the future.* The market prices of $1 to be received at every possible date in the future are the basic building blocks for valuing all other streams of known cash flows. These prices are inferred from the observed market prices of traded bonds and the n applied to other streams of known cash flows to value them.* An equivale nt valuati on can be carried out by appl ying a discou nted cash flow formula with a differe nt discou nt rate for each future time period.* Differe nces in the prices of fixed-i ncome securities of a give n maturity arise from differe nces in coup on rates, default risk, tax treatme nt, callability, con vertibility, and other features.* Over time the prices of bonds con verge towards their face value. Before maturity, however, bond prices can fluctuatea great deal as a result of cha nges in market in terest rates.Solutions to Problems at End of ChapterBond Valuation with a Flat Term Structure1. Suppose you want to know the price of a 10-year 7% coupon Treasury bond that pays interest annually. a. You have been told that the yield to maturity is 8%. What is the price?b. What is the price if coupons are paid semiannually, and the yield to maturity is 8% per year?c. Now you have been told that the yield to maturity is 7% per year. What is the price? Could you have guessedthe answer without calculating it? What if coupons are paid semiannually?c. Price = 100. When the coup on rate and yield to maturity are the same, the bond sells at par value (i.e. the price equalsthe face value of the bon d).2. Assume six months ago the US Treasury yield curve was flat at a rate of 4% per year (with annualcompounding) and you bought a 30-year US Treasury bond. Today it is flat at a rate of 5% per year. What rate of return did you earn on your initial investment: a. If the bond was a 4% coupon bond? b. If the bond was a zero coupon bond?c. How do your answer change if compounding is semiannual? SOLUTION: a and b.Coupon = 4% 30 4 ? 100 4 PV =100 Zero coupon30 4 ? 100 0 PV =30.83Step 2: Find prices of the bonds today: Coupon = 4% 29.5 5?100 4 84.74 Zero coupon29.5 5 ? 100 0 23.71Step 3: Find rates of retur n:Rate of retur n = (coup on + cha nge in price)/in itial price4% coupon bond: r = (4 + 84.74 —100)/100 = -0.1126 or —11.26%Zero-coupon bon d: r = (0 + 23.71 —30.83)/30.83 = -0.2309 or -23.09%. Note that the zero-coupon bo nd is more sen sitive to yield cha nges tha n the 4% coup on bond. c.Step 1: Find prices of the bonds six mon ths ago:Coup on=4% 60 2 ?100 2 PV =100 Zero coupon 60 2 ? 100 0 PV =30.48 Step 2: Find prices of the bonds today:Coup on=4% 59 2.5? 100 2 84.66 Zero coupon59 2.5 ?10023.30SOLUTION:a. With coup ons paid once a year:Price = 93.29b. With coup ons paid twice a year:Price = 93.20Step 3: Find rates of retur n:Rate of return = (coupon + change in price) / initial price4% coupon bond: r = (2 + 84.66 -100)/100 = -0.1334 or -13.34%Zero coupon bond: r = (0 + 23.30 - 30.48)/30.48 = -0.2356 or -23.56%. Note that the zero-coupon bond is more sen sitive to yield cha nges tha n the 4% coup on bond.Bond Valuatio n With a Non-Flat Term Structure3. Suppose you observe the following prices for zero-coupon bonds (pure discount bonds) that have no risk of default:a. What should be the price of a 2-year coupon bond that pays a 6% coupon rate, assuming coupon paymentsare made once a year starting one year from now?b. Find the missing entry in the table.c. What should be the yield to maturity of the 2-year coupon bond in Part a?d. Why are your answers to parts b and c of this question different?SOLUTION:a. Present value of first year's cash flow = 6 x .97 = 5.82Prese nt value of sec ond year's cash flow = 106 x .90 = 95.4Total prese nt value = 101.22 b^Th^y^^tomaturityon^^^^arzerocoupo^bon^wrt^pr^eof9^an^facevalu^of1^3i^5^^^^^^^^2 I ? I -90 I 100 I 0 1 i = 5.41%c. The yield to maturity on a 2-year 6% coup on bond with price of 101.22 isd. The two bonds are differe nt because they have differe nt coup on rates. Thus they have differe nt yields to maturity.Coupon Stripping4. You would like to create a 2-year synthetic zero-coupon bond. Assume you are aware of the following information: 1-year zero- coupon bonds are trading for $0.93 per dollar of face value and 2-year 7% coupon bonds (annual payments) are selling at $985.30 (Face value = $1,000).a. What are the two cash flows from the 2-year coupon bond?b. Assume you can purchase the 2-year coupon bond and unbundle the two cash flows and sell them.i. How much will you receive from the sale of the first payment?ii. How much do you need to receive from the sale of the 2-year Treasury strip to break even?SOLUTION:a. $70 at the end of the first year and $1070 at the end of year 2.b. i. I would receive .93 x $70 = $65.10 from the sale of the first payment.ii. To break even, I would need to receive $985.30- $65.10 = $920.20 from the sale of the 2-year strip.The Law of One price and Bond Pricing5. Assume that all of the bonds listed in the following table are the same except for their pattern of promised cash flows over time. Prices are quoted per $1 of face value. Use the information in the table and the Law of One Price to infer the values of the missing entries. Assume that coupon payments are annual.6% 2 years 5.5%0 2 years7% 2 years0 1 year $0.95From Bond 1 and Bond 4, we can get the miss ing en tries for the 2-year zero-coup on bond. We know from bond 1 that:2 21.0092 = 0.06/1.055 +1.06/(1.055) . This is also equal to 0.06/(1+z 1) + 1.06/(1+z 2) where z 1 and Z2 are the yields to maturity on on e-year zero-coup on and two-year zero-coup on bonds respectively. From bond 4 , we have z 1, we can find z2.1.0092 -0.06/1.0526 = 1.06/(1+z 2)2, hence z = 5.51%.To get the price P per $1 face value of the 2-year zero-coup on bond, using the same reasoning:1.0092 -0.06x0.95 = 1.06xP, he nee P = 0.8983To find the entries for bond 3: first find the price, then the yield to maturity. To find the price, we can use z 1 and Z2 found earlier: PV of coupon payment in year 1: 0.07 x 0.95 = 0.0665PV of coupon + pri ncipal payme nts in year 2: 1.07 x 0.8983 =0.9612「otal prese nt value of bond 3 二 1.02772 ? 0.07 -1.0277 1 i = 5.50%Hence the table becomes:6% 2 years $1.0092 5.5%0 2 years $0.8983 5.51%SOLUTION:Bond 1:Bond 4:Bond Features and Bond Valuation6. What effect would adding the following features have on the market price of a similar bond which does not have this feature?a. 10-year bond is callable by the company after 5 years (compare to a 10-year non-callable bond);b. bond is convertible into 10 shares of common stock at any time (compare to a non-convertible bond);c. 10-year bond can be “ put back ” to the company after 3 years at par (puttable boiumipare to a 10year non-puttablebond)d. 25-year bond has tax-exempt coupon paymentsSOLUTION:a. The callable bond would have a lower price tha n the non-callable bond to compe nsate the bon dholders for gra nti ng theissuer the right to call the bon ds.b. The con vertible bond would have a higher price because it gives the bon dholders the right to con vert their bonds intoshares of stock.c. The puttable bond would have a higher price because it gives the bondholders the right to sell their bonds back to the issuerat par.d. The bond with the tax-exempt coup on has a higher price because the bon dholder is exempted from pay ing taxes on thecoup ons. (Coup ons are usually con sidered and taxed as pers onal in come).Inferring the Value of a Bond Guarantee7. Suppose that the yield curve on dollar bonds that are free of the risk of default is flat at 6% per year. A 2-year 10% coupon bond (with annual coupons and $1,000 face value) issued by Dafolto Corporation is rates B, and it is currently trading at a market price of $918. Aside from its risk of default, the Dafolto bond has no other financially significant features. How much should an investor be willing to pay for a guarantee against Dafolto ' s defaulting on this bond?The difference between the price of the bond if it were free of default and its actual price (with risk of default) is the value of a guarantee against default: 1073.3-918 = $155.3The implied Value of a Call Provision and Convertibility8. Suppose that the yield curve on bonds that are free of the risk of default is flat at 5% per year. A 20-year default-free coupon bond (with annual coupons and $1,000 face value) that becomes callable after 10 years is trading at par and has a coupon rate of 5.5%.a. What is the implied value of the call provision?b. A Safeco Corporation bond which is otherwise identical to the callable 5.5% coupon bond describedabove, is also convertible into 10 shares of Safeco stock at any time up to the bond ' s maturity. If its yield to maturity is currently 3.5% per year, what is the implied value of the conversion feature?SOLUTION:a. We have to find the price of the bond if it were only free of the risk of default.The bond is traded at par value, hence the differe nee betwee n the value calculated above and the actual traded value is the implied value of the call provisio n: 1062.3 T000 = $62.3Note that the call provisi on decreases the value of the bond.b. We have to find the price of the Safeco Corporati on:This bond has the same features as the 5.5% default free callable bond described above, plus an additional feature: it is con vertible into stocks. Hence the implied value of the con versi on feature is the differe nee betwee n the values of both bonds: 1284.2-1000 = $284.25. Note that the con version feature in creases the value of the bond.Changes in Interest Rates and Bond Prices9. All else being equal, if interest rates rise along the entire yield curve, you should expect that:i. Bond prices will fallii. Bond prices will riseiii. Prices on long-term bonds will fall more than prices on short-term bonds.iv. Prices on long-term bonds will rise more than prices on short-term bondsa. ii and iv are correctb. We can ' t be certain that prices will changec. Only i is correctd. Only ii is correcte. i and iii are correctSOLUTION:The correct an swer is e.Bond prices are in versely proporti onal to yields hence whe n yields in crease, bond prices fall. Lon g-term bonds are more sen sitive to yield cha nges tha n short-term bon ds.。

⾦融⼯程（2版）周复之课后习题答案《⾦融⼯程》（第2版）计算题答案第⼆章计算题1、假设现在6个⽉即期利率为10%（半年复利⼀次，下同），1年期的即期利率是12%。

如果有⼈把今后6个⽉到1年期的远期利率定为11%，试计算说明这样的市场⾏情能否产⽣套利活动？答：按6个⽉即期利率10%和远期利率11%计算，有(1+10% /2) ( 1+11% /2) = 1.108按1年期即期利率12% (半年复利⼀次)计算，有= 1.124(1+12% /2)2显然，两者结果并不相等，所以市场上的远期利率如果是11%时，则⼀定存在套利机会。

2、假设⼀种不⽀付红利股票⽬前的市价为10元，我们知道在3个⽉后，该股票价格要么是11元，要么是9元。

假设现在的⽆风险年利率等于10%，现在我们要找出⼀份3个⽉期协议价格为10.5元的该股票欧式看涨期权的价值。

答：为了找出该期权的价值，可构建⼀个由⼀单位看涨期权空头和Δ单位的标的股票多头组成的组合。

为了使该组合在期权到期时⽆风险，Δ须满⾜下式：11Δ- max (0,11-10.5) =9Δ- max (0,9-10.5)即 11Δ- 0.5 = 9Δ- 0Δ = 0.25由于11Δ－0.5 = 9Δ=2.25，该⽆风险组合的现值应为：= 2.192.25e-10%×3/12因当前股票市价是10元，有10Δ-f = 10×0.25 -f = 2.19得f = 2.5-2.19 = 0.31元3.⼀只股票现在的价格是40元，该股票⼀个⽉后的价格将上涨到42元或者是下降到38元。

假如市场⽆风险利率是8%，运⽤⽆套利原理说明，执⾏价格为39元的⼀个⽉欧式看涨期权的价值是多少？答：为了找出该期权的价值，可构建⼀个由⼀单位看涨期权空头和Δ单位的标的股票多头组成的组合。

为了使该组合在期权到期时⽆风险，Δ须满⾜下式：42Δ- max (0,42-39) =38Δ- max (0,38-39)即 42Δ- 3 = 38Δ- 0Δ = 0.75由于42Δ- 3 = 38Δ=28.5，该⽆风险组合的现值应为：28.5e-0.08×1/12= 28.30因当前股票市价是40元，有40Δ-f = 40×0.75 -f = 28.30得f = 30-28.30 = 1.70元4.条件同上题，试⽤风险中性定价法计算看涨期权的价值，并⽐较两种计算的结果。

郑振龙《金融工程》第2版课后习题第十章期权的回报与价格分析1．某投资者买进一份欧式看涨期权，同时卖出一份标的资产、期限和协议价格都相同的欧式看跌期权，请描述该投资者的盈亏状况，并揭示相关衍生产品之间的关系。

答：不考虑期权费，该投资者最终的回报为：max（S T-X,0）+min（S T-X,0）=S T-X可见，这相当于协议价格为X的远期合约多头。

类似的，欧式看涨期权空头和欧式看跌期权多头可以组成远期合约空头。

该习题就说明了如下问题：远期合约多头可以拆分成欧式看涨期权多头和欧式看跌期权空头；远期合约空头可以拆分成欧式看涨期权空头和欧式看跌期权多头。

当X等于远期价格时，远期合约的价值为0。

此时看涨期权和看跌期权的价值相等。

2．假设现在是5月份，A股票价格为18元，期权价格为2元。

甲卖出1份A股票的欧式看涨期权，9月份到期，协议价格为20元。

如果期权到期时A股票价格为25元，请问甲在整个过程中的现金流状况如何?答：甲会在5月份收入200元（2×100）的期权费，9月份因行权而付出500元（=（25-20）×100）。

3．设某一无红利支付股票的现货价格为30元，连续复利无风险年利率为6％，求该股票的协议价格为27元、有效期为3个月的看涨期权价格的下限。

答：无收益看涨期权的价格的下限为：C≥max[S-Xe-r（T-t），0]。

因而本题看涨期权价格的下限=max[30－27e-0.06×0.25，0]=3.40（元）。

4．某一协议价格为25元、有效期为6个月的欧式看涨期权价格为2元，标的股票价格为24元，该股票预计在2个月和5个月后各支付0.50元股息，所有期限的无风险连续复利年利率均为8％，请问该股票的协议价格为25元、有效期为6个月的欧式看跌期权价格等于多少?答：根据有收益欧式看涨期权与欧式看跌期权平价关系：，可得：看跌期权价格p=c+Xe-rT+D-S0=2+25e-0.08×0.5+0.5e-0.08×2/12+0.5e-0.08×5/12-24=3.00（元）。

郑振龙《金融工程》第2版课后习题第十四章期权价格的敏感性和期权的套期保值1．一个看涨期权的Delta 值为0.7意味着什么?若每个期权的Delta 值均为0.7，如何使一个1000个看涨期权的空头变成Delta 中性?答：（1）Delta 值为0.7意味着此时该看涨期权的标的股票每上涨1元钱，该看涨期权的价格就应该上涨0.7元钱。

（2）看涨期权空头的Delta 值为负，需要用正的Delta 值对冲才能使Delta=0。

因而若每个期权的Delta 值均为0.7，要使一个1000个看涨期权空头变成Delta 中性，则必须买入700份股票，或者进入标的为700份该股票的远期的多头。

2．无风险年利率为10％，股票价格的年波动率为25％。

计算标的为不支付红利的股票、6个月期的平价欧式看涨期权的Delta 值。

答：Delta=1()N d 。

由于该期权为平价期权，因而标的资产价格S=协议价格X，则)ln(XS =1ln =0，则21()()2r T t d T tσσ+-=-20.25(0.1)*0.520.25*0.5+Delta=1()N d =0.6447。

3．以年计，一个期权头寸的Delta 值为-0.1意味着什么?若一个交易者认为股票价格的隐含波动率都不会变，那么期权头寸是什么类型?答：Theta 衡量期权价格对时间变化的敏感度。

以年计，一个期权头寸的Theta 值为－0.1意味着时间每减少1年，期权的价值将下降0.1元。

若股票价格的隐含波动率不变，期权的头寸将可能是任何期权的多头或者是实值状态的无收益资产欧式看跌期权和处于实值状态的附有很高利率的外汇的欧式看涨期权的空头。

4．为什么说对于处于实值状态的无收益资产欧式看跌期权和处于实值状态的附有很高利率的外汇的欧式看涨期权来说，Theta 可能为正?答：根据推导可得，对无收益资产的欧式看跌期权：210.5()2[1()]22()d r T t rXe N d T t π---Θ=-+--则当S<X 的时候，Θ有可能大于零。

郑振龙《金融工程》第2版章节题库第一章金融工程概述一、概念题1．金融工程（中南财大2000研）答：金融工程指开发、设计与实施各种创新性金融工具和金融手段，包括为各种金融问题提供创造性的解决方案的过程。

这个过程实际上就是金融工程师针对客户的问题，运用概念性工具作出诊断，运用和组合各种实体金融工具，为客户寻找可能的创新性的解决方案，而创造出的金融产品经大规模标准化后，又作为下一次金融创新的工具。

在创新中用到的概念性工具主要是一系列理论知识，包括套期保值理论、估值理论、证券组合理论、会计和税收方面的理论和知识；而实体性工具则包括各种权益证券、固定收益证券、期权、期货、互换协议等一系列金融工具，以及计算机技术、电子证券交易和其他数学模型等手段。

2．单利和复利答：单利指本金所生利息后不再加入本金重复计息的计算方式。

即在计算下一时间单位的利息时，本金中不包括上一时间单位所生的利息，而仅按原始的本金和借贷时间的长短来计算。

用单利法计算利息，优点是简便易行，有利于减轻借款人的利息负担。

其计算公式为：I=P×R×n，S=P（1+R×n）。

式中，S为终值，I为利息，P为本金，R为利率，n为期限。

复利指本金所生利息加入本金重复计息的计算方式。

即在计算利息时，分期计息，在一定时期内按本金计息，随即将所得到的利息加入本金，作为计算下一期利息的基础，俗称“利滚利”。

复利法计算的利息比按单利法计算的多，它体现了货币资金的时间价值，符合信用和利息的本质要求。

其计算公式为（字母含义同上）：S=P（1+R）n，I=S-P=P［（1+R）n-1］。

3．资本市场线（capital market line）答：资本市场线是指在以预期收益和标准差为坐标轴的图上，表示风险资产的有效组合与一种无风险资产再组合的有效的组合线。

如果用E和σ分别表示证券或组合的期望收益率和方差，f、m和P分别表示无风险证券、市场组合和任意有效组合，资本市场线所代表的方程是：。

金融学第二版课后答案英文版中国人民大学Bodie2_IM_Ch01CHAPTER 1 – Financial EconomicsEnd-of-Chapter ProblemsDefining Finance1. What are your main goals in life? How does finance play a part in achieving those goals? What are the major tradeoffs you face?SAMPLE ANSWER:Finish schoolGet good paying job which I likeGet married and have childrenOwn my own homeProvide for familyPay for children’s educationRetireHow Finance Plays a Role:SAMPLE ANSWER:Finance helps me pay for undergraduate and graduate education and helps me decide whether spending the money on graduate education will be a good investment decision or not.Higher education should enhance my earning power and ability to obtain a job I like.Once I am married and have children I will have additional financial responsibilities (dependents) and I will have to learn how to allocate resources among individuals in the household and learn how to set aside enough money to pay for emergencies, education, vacations etc. Finance also helps me understand how to manage risks such as for disability, life and health.Finance helps me determine whether the home I want to buyis a good value or not. The study of finance also helps me determine the cheapest source of financing for the purchase of that home.Finance helps me determine how much money I will have to save in order to pay for my children’s education as well as my own retirement.Major Tradeoffs:SAMPLE ANSWERSpend money now by going to college (and possibly graduate school) but presumably make more money once I graduate due to my higher education.Consume now and have less money saved for future expenditures such as for a house and/or car or save more money now but consume less than some of my friendsFinancial Decisions of Households2. What is your net worth? What have you included among your assets and your liabilities? Would you list the value of your potential lifetime earning power as an asset or liability? How does it compare in value to other assets you have listed?SAMPLE ANSWER:$ ____________ (very possibly negative at this point)Assets:Checking account balanceSavings account balanceFurniture/Jewelry (watch)Car (possibly)Liabilities:Student loansCredit card balanceIf renting, remainder of rental agreement (unless sublettingis a possibility)Car payments (possibly)Students typically don’t think about the high value of their potential lifetime earning power when calculating their net worth but for young people it is often their most valuable asset.3. How are the financial decisions faced by a single person living alone different from those faced by the head of a household with responsibility for several children of school age? Are the tradeoffs they have to make different, or will they evaluate the tradeoffs differently?A single person needs only to support himself and therefore can make every financial decision on his own. If he does not want health insurance (and is willing to bear the financial risks associated with that decision) then no one will be affected by that decision other than that single person. In addition, this person needs to make no decisions about allocating income among dependents. A single person is very mobile and can choose to live almost anywhere. The tradeoffs this individual makes generally concern issues of consuming (or spending) today versus saving for consumption tomorrow. Since this person is supporting only himself, the need to save now is less important than for the head of household discussed next.T he head of household with several children must share resources (income) among dependents. This individual must be prepared to deal with risk management issues such as how to be prepared for potential financial emergencies (such as a serious health problem experienced by a member of the family or home owners insurance in case of a fire or other mishap). Because there are more people in this household than with a single person, there are greater risks that someone will get sick or injured. Andbecause there are dependents, the wage earner(s) should think carefully about life and disability insurance. In addition, the family is not as mobile as the single individual. Because of the school age children, the family might want to live near “good schools” thinking that a stronger education will eventually help those children’s future well being and financial situation. Thus, the tradeoffs for the head of household are more complex: more money is needed to consume today (he or she needs to support more dependents), but a lot more money is also needed to save for future expenses such as education and housing and more money is needed for risk management such as life and disability insurance.4. Family A and family B both consist of a father, mother and two children of school age. In family A both spouses have jobs outside the home and earn a combined income of $100,000 per year. In family B, only one spouse works outside the home and earns $100,000 per year. How do the financial circumstances and decisions faced by the two families differ?With two wage earners, there is less risk of a total loss of family income due to unemployment or disability than there is in a single wage earning household. The single wage earning family will probably want more disability and life insurance than the two wage earning family. On the flip side, however, the two wage earning family may need to spend extra money on child care expenses if they need to pay someone to watch the children after school.5. Suppose we define financial independence as the ability to engage in the four basic household financial decisions without resort to the use of relative’s resources when making financing decisions. At what age should children be expected to becomefinancially independent?Students will have differing responses to this question depending upon their specific experiences and opinions. Most will probably say independence should come after finishing their education, and they have a significant flow of income.6. You are thinking of buying a car. Analyze the decision by addressing the following issues:a.Are there are other ways to satisfy your transportation requirements besides buying a car? Make a list ofall the alternatives and write down the pros and cons.Transportation Mode Pros ConsWalking ?Takes you directly where you wantto goNo out of pocket costsConvenient ?Takes a long time ?Destination may be too far Bicycle ?Takes you directly to where youwant to goNo out of pocket marginal costsConvenient ?Requires physical strength and endurance ?Destination may be too farBus ?InexpensiveReaches more distant destinations ?May not take you directly where you want to go ?Inconvenient schedules to go ?Many stops, not efficientSubway ?InexpensiveFast ?May not take you directly where you want to goLocal destinations only on limited networkTrain ?Reaches distant destinations ?Moderately expensiveMay not take you directly whereyou want to goAirplane ?Reaches distant destinationsFast ?Most expensiveWill not take you directly where you want to gob. What are the different ways you can finance the purchase of a car?F inance through a bank loan or lease, finance through a car dealer with a loan or a lease or finance the car out of your own savings.c. Obtain information from at least three different providers of automobile financing on the terms they offer.d. What criteria should you use in making your decision?Your decision will be to select the financing alternative that has the lowest cost to you.When analyzing the information, you should consider the following:Do you have the cash saved to make an outright purchase? What interest rate would you be giving up to make that purchase? Do you pay a different price for the car if you pay cash rather than finance?For differing loan plans, what is the down payment today? What are the monthly payments? For how long? What is the relevant interest rate you will be paying? Does the whole loan get paid through monthly payments or is there a balloon payment at the end? Are taxes and/or insurance payments included in the monthly payments? ?For differing lease plans, what is the down payment today? What are the monthly payments? For how long? Do you own the car at the end of the lease? If not, what does it cost to buy the car? Do you have to buy the car at the end of the lease or is it an option? Is there a charge if you decide not to buy the car? What relevant interest rate will you be paying? Are taxesand/or insurance payments included in the monthly payments? Are there mileage restrictions?7. Match each of the following examples with one of the four categories of basic types of household financial decisions.At the Safeway paying with your debit card rather than taking the time to write a checkDeciding to take the proceeds from your winning lottery ticket and use it to pay for an extended vacation on the Italian RivieraFollowing Hillary’s advice and selling your Microsoft shares to invest in pork belly futuresHelping your 15-year old son learn to drive by letting putting him behind the wheel on the back road into townTaking up the offer from the pool supply company to pay off your new hot tub with a 15-month loan with zero payments for the first three monthsThe first is the most difficult since in practice it is simply a cash transaction involving no financing. As such the purchase is a consumption decision only and the payment choice is not a financing decision. The second is also a consumption/saving decision. The third is an exchange of one financial asset for another and therefore an investment decision. The fourth is a risk-management decision since you have subjected yourself to increased risk that is not covered by insurance. The final example is a financing decision involving a loan to finance a purchase.Forms of Business Organization8. You are thinking of starting your own business, but have no money.a.Think of a business that you could start without having to borrow any money.A ny business that involves a student’s own personal service would be cheap to start up. For instance he or she could start a business running errands for others, walking their dogs, shopping etc. Along those same lines they could start some kind of consulting business. Both of these businesses could be run out of their dorm room or their own home and could be started with very little capital. If they wanted to hire additional workers, they would have to be paid on a commission basis to limit upfront expenses.b. Now think of a business that you would want to start if you could borrow any amount of money at the going market interest rate.Certainly there are many interesting businesses that could be started if one could finance 100% of the business with borrowed capital and no equity. Since you will be able to borrow 100% of the financing, you will be willing to take a lot greater risk than if you were investing your own money.c. What are the risks you would face in this business?[Answer is, of course, dependent on answer to question “b.”]d. Where can you get financing for your new business?Depending upon the size of the financing needed, students should be looking for both debt and equity financing. The sources of this financing ranges from individuals and credit cards (for very small sums) to banks, venture capitalists, public debt and equity markets, insurance companies and pension funds9. Choose an organization that is not a firm, such as a club or church group and list the most important financial decisions it has to make. What are the key tradeoffs the organization faces? What role do preferences play in choosing among alternatives?Interview the financial manager of the organization and check to see if he or she agrees with you.SAMPLE ANSWER:Local Church group. Most important financial decisions:Whether or not to repair damage done to church and grounds during last big hurricane (specifically repairing the leaking roof)What project to put off in order to pay for repair damageHow to pay for renovations to downstairs Sunday school roomsHow to increase member attendance and contributionsHow to organize and solicit volunteers for the annual Church Sale (largest fund raiser of the year)Key Tradeoffs and Preferences:C hurch group funds are severely limited, so the organization needs to prioritize expenses based upon cost and need. Not all projects that are needed will be undertaken due to the expense involved. An equally large amount of timewill be spent trying to raise financing since funds inflow is variable. Since not all projects can be financed, preferences of different important individuals (such as the pastor) take on great significance in the decision-making process.Market Discipline: Takeovers10. Challenge Question: While there are clear advantages to the separation of management from ownership of business enterprises, there is also a fundamental disadvantage in that it may be costly to align the goals of management with those of the owners. Suggest at least two methods, other than the takeover market, by which the conflict can be reduced, albeit at some cost.One way is to provide incentives for the managers so that they increase their pay when owners interests are improved. An example would be compensating managers with stock options, the value of which increase with the market value of shareholder’s int erests. A second method is to more closely monitor the behavior of the managers. Outside management consultants and auditors serve this role in part particularly to the extent that they report their findings to representatives from ownership groups. Both of these solutions assume the management cannot effectively deceive markets or consultant/auditors through misleading information or actions to inflate the market value of the ownership shares or there performance records.11. Challenge Question:Consider a poorly run local coffee shop with its prime location featuring a steady stream of potential clients passing by on their way to and from campus. How does the longtime disgruntled, sloppy and inefficient owner-manager of Cup-a-Joe survive and avoid disciplining from the takeover market? This is not a question about a misalignment of the goals of the owner(s) and manager(s) of a firm since we have explicitly said the firm is owner-managed. If in fact the coffee shop is mismanaged the potential exists for an outsider to purchase a controlling interest in the operation and put more efficient management into place if the purchase price does not exceed the value of profits to be generated by the efficiently managed firm. If the present owner chooses not to sell he must value the firm for more than the value of the profits generated by an efficiently managed firm. Therefore his position in the firm must generate for him non-pecuniary benefits, or benefits unrelated to the firm’s profitability and he is therefore not avalue maximizer. Perhaps he enjoys making fun of his clients or takes pride in his eclectic tastes in interior decorating. In any case the takeover market does discipline him in the sense that he will be forced to pay for his non-pecuniary benefits in the sense that he trades off profits.The same could be said of an owner-manager who lacks the required specialized skills to properly run the firm but never the less continues to operate the company inefficiently because he ‘likes’ the work!The Role of the Finance Specialist in a Corporation12. Which of the following tasks undertaken within a corporate office are likely to fall under the supervision of the treasurer? The controller?Arranging to extend a line of credit from a bankArranging with an investment bank for a foreign exchange transactionProducing a detailed analysis of the cost structure of the company’s alternative product linesTaking cash payments for company sales and purchasing U.S. Treasury BillsFiling quarterly statements with the Securities and Exchange CommissionThe first two and the fourth items are responsibilities of the treasurer while the third and fifth items fall under the workload of the controller’s office.Objectivesy Define finance.y Explain why finance is worth studying.y Introduce two of the main players in the world of finance—households and firms—and the kinds of financial decisions theymake. The other main players, financial intermediaries and government, are introduced in chapter 2.Contents1.1Defining Finance1.2Why Study Finance?1.3Financial Decisions of Households1.4Financial Decisions of Firms1.5Forms of Business Organization1.6Separation of Ownership and Management1.7The Goal of Management1.8Market Discipline: Takeovers1.9The Role of the Finance Specialist in a CorporationSummaryFinance is the study of how to allocate scarce resources over time. The two features that distinguish finance are that the costs and benefits of financial decisions are spread out over time and are usually not known with certainty in advance by either the decision maker or anybody else.A basic tenet of finance is that the ultimate function of the system is to satisfy people’s consumption preferences. Economic organizations such as firms and governments exist in order to facilitate the achievement of that ultimate function. Many financial decisions can be made strictly on the basis of improving the trade-offs available to people without knowledge of their consumption preferences.There are at least five good reasons to study finance:y To manage your personal resources.y To deal with the world of business.y To pursue interesting and rewarding career opportunities.y To make informed public choices as a citizen.y To expand your mind.The players in finance theory are households, business firms, financial intermediaries, and governments. Households occupy a special place in the theory because the ultimate function of the system is to satisfy the preferences of people, and the theory treats those preferences as given. Finance theory explains household behavior as an attempt to satisfy those preferences. The behavior of firms is viewed from the perspective of how it affects the welfare of households.Households face four basic types of financial decisions:y Saving decisions: How much of their current income should they save for the future?y Investment decisions: How should they invest the money they have saved?y Financing decisions: When and how should they use other people’s money to sa tisfy their wants and needs?y Risk-management decisions: How and on what terms should they seek to reduce the economic uncertainties they face or to take calculated risks?There are three main areas of financial decision making in a business: capital budgeting, capital structure, and working capital management.There are five reasons for separating the management from the ownership of a business enterprise: y Professional managers may be found who have a superior ability to run the business.y To achieve the efficient scale of a business the resources of many households may have to be pooled.y In an uncertain economic environment, owners will want to diversify their risks across many firms. Such efficient diversification is difficult to achieve without separation ofownership and management.y To achieve savings in the costs of gathering information.y The “learning curve” or “going concern” effect: When the owner is also the manager, the new owner has to learn the business from the former owner in order to manage it efficiently. If the owner is not the manager, then when the business is sold, the manager continues in place and works for the new owner.The corporate form is especially well suited to the separation of ownership and management of firms because it allows relatively frequent changes in owners by share transfer without affecting the operations of the firm.The primary goal of corporate management is to maximize shareholder wealth. It leads managers to make the same investment decisions that each of the individual owners would have made had they made the decisions themselves.A competitive stock market imposes a strong discipline on managers to take actions to maximize the market value of the firm’s shares.。