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投资学第10版课后习题答案Chap007

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CHAPTER 7: OPTIMAL RISKY PORTFOLIOS

PROBLEM SETS

1. (a) and (e). Short-term rates and labor issues are factors that are common to all

firms and therefore must be considered as market risk factors. The remaining three

factors are unique to this corporation and are not a part of market risk.

2. (a) and (c). After real estate is added to the portfolio, there are four asset classes in

the portfolio: stocks, bonds, cash, and real estate. Portfolio variance now includes a

variance term for real estate returns and a covariance term for real estate returns

with returns for each of the other three asset classes. Therefore, portfolio risk is

affected by the variance (or standard deviation) of real estate returns and the

correlation between real estate returns and returns for each of the other asset classes.

(Note that the correlation between real estate returns and returns for cash is most

likely zero.)

3. (a) Answer (a) is valid because it provides the definition of the minimum variance

portfolio.

4. The parameters of the opportunity set are:

E(rS) = 20%, E(rB) = 12%, σS = 30%, σB = 15%, ρ = 0.10

From the standard deviations and the correlation coefficient we generate the

covariance matrix [note that(,)SBSBCovrr]:

Bonds Stocks

Bonds 225 45

Stocks 45 900

The minimum-variance portfolio is computed as follows:

wMin(S) =1739.0)452(22590045225)(Cov2)(Cov222BSBSBSB,rr,rr

wMin(B) = 1  0.1739 = 0.8261

The minimum variance portfolio mean and standard deviation are:

E(rMin) = (0.1739 × .20) + (0.8261 × .12) = .1339 = 13.39%

σMin = 2/12222)],(Cov2[BSBSBBSSrrwwww

= [(0.17392  900) + (0.82612  225) + (2  0.1739  0.8261  45)]1/2

= 13.92%

5.

Proportion

in Stock Fund Proportion

in Bond Fund Expected

Return Standard

Deviation

0.00% 100.00% 12.00% 15.00%

17.39 82.61 13.39 13.92 minimum variance

20.00 80.00 13.60 13.94

40.00 60.00 15.20 15.70

45.16 54.84 15.61 16.54 tangency portfolio

60.00 40.00 16.80 19.53

80.00 20.00 18.40 24.48

100.00 0.00 20.00 30.00

Graph shown below.

0.00 5.00 10.00 15.00 20.00 25.00

0.00 5.00 10.00 15.00 20.00 25.00 30.00 Tangency

Portfolio

Minimum

Variance

Portfolio Efficient frontier

of risky assets CML INVESTMENT OPPORTUNITY SET

rf = 8.00

6. The above graph indicates that the optimal portfolio is the tangency portfolio with

expected return approximately 15.6% and standard deviation approximately 16.5%.

7.

The proportion of the optimal risky portfolio invested in the stock fund is given by:

222[()][()](,)[()][()][()()](,)SfBBfSBSSfBBfSSfBfSBErrErrCovrrwErrErrErrErrCovrr

[(.20.08)225][(.12.08)45]0.4516[(.20.08)225][(.12.08)900][(.20.08.12.08)45]

10.45160.5484Bw

The mean and standard deviation of the optimal risky portfolio are:

E(rP) = (0.4516 × .20) + (0.5484 × .12) = .1561

= 15.61%

σp = [(0.45162  900) + (0.54842  225) + (2  0.4516  0.5484 × 45)]1/2

= 16.54%

8.

The reward-to-volatility ratio of the optimal CAL is:

().1561.080.4601.1654pfpErr

9. a. If you require that your portfolio yield an expected return of 14%, then you

can find the corresponding standard deviation from the optimal CAL. The

equation for this CAL is:

()().080.4601pfCfCCPErrErr

If E(rC) is equal to 14%, then the standard deviation of the portfolio is 13.04%.

b. To find the proportion invested in the T-bill fund, remember that the mean of

the complete portfolio (i.e., 14%) is an average of the T-bill rate and the

optimal combination of stocks and bonds (P). Let y be the proportion invested

in the portfolio P. The mean of any portfolio along the optimal CAL is:

()(1)()[()].08(.1561.08)CfPfPfEryryErryErry

Setting E(rC) = 14% we find: y = 0.7884 and (1 − y) = 0.2119 (the proportion

invested in the T-bill fund).

To find the proportions invested in each of the funds, multiply 0.7884 times

the respective proportions of stocks and bonds in the optimal risky portfolio:

Proportion of stocks in complete portfolio = 0.7884  0.4516 = 0.3560 Proportion of bonds in complete portfolio = 0.7884  0.5484 = 0.4323

10. Using only the stock and bond funds to achieve a portfolio expected return of 14%,

we must find the appropriate proportion in the stock fund (wS) and the appropriate

proportion in the bond fund (wB = 1 − wS) as follows:

0.14 = 0.20 × wS + 0.12 × (1 − wS) = 0.12 + 0.08 × wS  wS = 0.25

So the proportions are 25% invested in the stock fund and 75% in the bond fund.

The standard deviation of this portfolio will be:

σP = [(0.252  900) + (0.752  225) + (2  0.25  0.75  45)]1/2 = 14.13%

This is considerably greater than the standard deviation of 13.04% achieved using

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投资学 课后习题及答案

投资学 课后习题及答案

投资学 课后习题及答案

投资学练习

导论习题

1证券投资是指投资者购买_______、________、________等有价证券以及这些有价证券的_______以获取________、_________及________的投资行为和投资过程，是直接投资的重要形式。(填空)

2 ____是投资者为实现投资目标所遵循的基本方针和基本准则。(单选) A证券投资政策 B证券投资分析 C证券投组合 D评估证券投资组合的业绩 3 一般来说，证券投资与投机的区别主要可以从________等不同角度进行分析。(多选) A动机 B对证券所作的分析方法 C投资期限 D投资对象 E风险倾向

4在证券市场中，难免出现投机行为，有投资就必然有投机。适度的投机有利于证券市场发展(判断)

第一至第四章习题

1在股份有限公司利润增长时，参与优先股股东除了按固定股息率取得股息外，还可以分得___________。(填空)

2 累积优先股是一种常见的、发行很广泛的优先股股票。其特点是股息率______，而且可以 ________计算。(填空)

3________不是优先股的特征之一。(单选)

A约定股息率 B股票可由公司赎回 C具有表决权 D优先分派股息和清偿剩余资产。 4 股份有限公司最初发行的大多是_____，通过这类股票所筹集的资金通常是股份有限公司股本的基础。(单选)

A特别股 B优先股 CB股 D普通股 5 当公司前景和股市行情看好、盈利增加时，可转换优先股股东的最佳策略是_______ 。(单选)

A转换成参与优先股 B转换成公司债券 C转换成普通股 D转换成累积优先股

6 下列外资股中，不属于境外上市外资股的是________。(单选)

A H股 BN股 CB股 DS股

7 股份制就是以股份公司为核心，以股票发行为基础，以股票交易为依托。(判断) 8 可赎回优先股是指允许拥有该股票的股东在一个合理的价格范围内将资金赎回。(判断) 9________是指在管理层和股东之间发生冲突的可能性，它是由管理层在利益回报方面的控制以及管理人员的低效业绩所产生的问题。(单选)

投资学第10版习题答案06

投资学第10版习题答案06

投资学第10版习题答案06

CHAPTER 6: CAPITAL ALLOCATION TO RISKY ASSETS

PROBLEM SETS

1. (e) The first two answer choices are incorrect because a

highly

risk averse investor would avoid portfolios with higher risk

premiums and higher standard deviations. In addition,

higher or

lower Sharpe ratios are not an indication of an investor's

tolerance for risk. The Sharpe ratio is simply a tool to

absolutely measure the return premium earned per unit of

risk.

2. (b) A higher borrowing rate is a consequence of the risk of

the

borr owers’ default. In perfect markets with no additional

cost of default, this increment would equal the value of the

borrower’s

option to default, and the Sharpe measure, with appropriate

treatment of the default option, would be the same. However,

in

reality there are costs to default so that this part of the

博迪投资学第10版英文教材课后答案 (1)

博迪投资学第10版英文教材课后答案 (1)

CHAPTER 1: THE INVESTMENT ENVIRONMENT

1-1 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;

投资学10版习题答案10

投资学10版习题答案10

投资学10版习题答案10 Chapter 10 - Arbitrage Pricing Theory and Multifactor Models of Risk and Return

10-1

Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written

consent of McGraw-Hill Education. 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%

Note that the IP estimate is computed as: 1 × (5% - 3%), and the IR estimate is

computed as: 0.5 × (8% - 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