投資學(xué)第10版習(xí)題答案06(編輯修改稿)
2025-07-20 13:53 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 ortfolio and % invested in Tbills.b. E(rC) = + y* = + ( ) = or %sC = 28 = %20. a. If the period 1926–2012 is assumed to be representative of future expected performance, then we use the following data to pute the fraction allocated to equity: A = 4, E(rM) ? rf = %, σM = % (we use the standard deviation of the risk premium from Table ). Then y* is given by:That is, % of the portfolio should be allocated to equity and % should be allocated to Tbills.b. If the period 1968–1988 is assumed to be representative of future expected performance, then we use the following data to pute the fraction allocated to equity: A = 4, E(rM) ? rf = %, σM = % and y* is given by:Therefore, % of the plete portfolio should be allocated to equity and % should be allocated to Tbills.c. In part (b), the market risk premium is expected to be lower than in part (a) and market risk is higher. Therefore, the rewardtovolatility ratio is expected to be lower in part (b), which explains the greater proportion invested in Tbills.21. a. E(rC) = 8% = 5% + y (11% – 5%) 222。 b. σC = y σP = 15% = %c. The first client is more risk averse, preferring investments that have less risk as evidenced by the lower standard deviation.22. Johnson requests the portfolio standard deviation to equal one half the market portfolio standard deviation. The market portfolio , which implies . The intercept of the CML equals and the slope of the CML equals the Sharpe ratio for the market portfolio (35%). Therefore using the CML:23. Data: rf = 5%, E(rM) = 13%, σM = 25%, and = 9%The CML and indifference curves are as follows:24. For y to be less than (that the investor is a lender), risk aversion (A) must be large enough such that: 222。 For y to be greater than 1 (the investor is a borrower), A must be small enough: 222。 For values of risk aversion within this range, the client will neither borrow nor lend but will hold a portfolio posed only of the optimal risky portfolio:y = 1 for ≤ A ≤ 25. a. The graph for Problem 23 has to be redrawn here, with:E(rP) = 11% and σP = 15%b. For a lending position: For a borrowing position: Therefore, y = 1 for ≤ A ≤ 26. The maximum feasible fee, denoted f, depends on the rewardtovariability ratio.For y 1, the lending rate, 5%, is viewed as the relevant riskfree rate, and we solve for f as follows: 222。 For y 1, the borrowing rate, 9%, is the relevant riskfree rate. Then we notice that, even without a fee, the active fund is inferior to the passive fund because:.11 – .09 – f= .13 – .09= → f = –.004.15.25More risk tolerant investors (who are more inclined to borrow) will not be clients of the fund. We 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 plete portfolios and thus are in the borrowing range of the relevant CAL. In this range, the rewardtovariability ratio of the index (the passive fund) is better than that of the managed fund.27. a. Slope of the CMLThe diag
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