投資學(xué)第10版習(xí)題答案06-wenkub
2023-07-08 13:53:31 本頁面
【正文】 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 as follows:$118,421 [1 + E(r)] = $135,000Therefore, E(r) = 14%. The portfolio price is set to equate the expected rate of return with the required rate of return.c. If the risk premium over Tbills is now 12%, then the required return is:6% + 12% = 18%The present value of the portfolio is now:$135,000/ = $114,407d. For a given expected cash flow, portfolios that mand greater risk premiums must sell at lower prices. The extra discount from expected value is a penalty for risk.5. When we specify utility by U = E(r) – 2, the utility level for Tbills is: The utility level for the risky portfolio is: U = – A ()2 = – AIn order for the risky portfolio to be preferred to bills, the following must hold: – 222。 A A must be less than for the risky portfolio to be preferred to bills.6. Points on the curve are derived by solving for E(r) in the following equation: U = = E(r) – = E(r) – The values of E(r), given the values of σ2, are therefore:ss 2E(r)The bold line in the graph on the next page (labeled Q6, for Question 6) depicts the indifference curve.7. Repeating the analysis in Problem 6, utility is now:U = E(r) – = E(r) – = The equalutility binations of expected return and standard deviation are presented in the table below. The indifference curve is the upward sloping line in the graph on the next page, labeled Q7 (for Question 7).ss 2E(r)The indifference curve in Problem 7 differs from that in Problem 6 in slope. 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 pensate for additional σ. 8. The coefficient of risk aversion for a risk neutral investor is zero. Therefore, the corresponding utility is equal to the portfolio’s expected return. The corresponding indifference curve in the expected returnstandard deviation plane is a horizontal line, labeled Q8 in the graph above (see Problem 6).9. 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 6), and is labeled Q9. 10. The portfolio expected return and variance are puted as follows:(1)WBills(2)rBills(3)WIndex(4)rIndexrPortfolio(1)(2)+(3)(4)sPortfolio(3) 20%s 2 Portfolio5%% % = 20% = 5 % = 16% = 5 % = 12% = 5 % = 8% = 5 % = 4% = 5 % = 0% = 11. Computing utility from U = E(r) – Aσ2 = E(r) – σ2, we arrive at the values in the column labeled U(A = 2) in the following table:WBillsWIndexrPortfoliosPortfolios2PortfolioU(A = 2)U(A = 3).0700.
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