andcapitalallocationtoriskyassets風(fēng)險厭惡程(編輯修改稿)
2025-03-28 08:51 本頁面
【文章內(nèi)容簡介】 weight of riskfree assets: ,300$ 000,210$ ??y ,300$ 000,90$1 ??? y 378.000,300$400,113$: ?E 322.300$600,96$: ?BHafiz Hoque 614 The RiskFree Asset ? Only the government can issue defaultfree bonds. ? Riskfree in real terms only if price indexed and maturity equal to investor’s holding period. ? Tbills viewed as “the” riskfree asset ? Money market funds also considered riskfree in practice Hafiz Hoque 615 Figure Spread Between 3Month CD and Tbill Rates Hafiz Hoque 616 ? It’s possible to create a plete portfolio by splitting investment funds between safe and risky assets. ? Let y=portion allocated to the risky portfolio, P ? (1y)=portion to be invested in riskfree asset, F. Portfolios of One Risky Asset and a RiskFree Asset Hafiz Hoque 617 Example Using Chapter Numbers rf = 7% srf = 0% E(rp) = 15% sp = 22% y = % in p (1y) = % in rf Hafiz Hoque 618 Example (Ctd.) The expected return on the plete portfolio is the riskfree rate plus the weight of P times the risk premium of P ( ) ( )c f P fE r r y E r r??? ? ???? ? ? ?7157 ??? yrEcHafiz Hoque 619 Example (Ctd.) ? The risk of the plete portfolio is the weight of P times the risk of P:
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