投資學(xué)第10版習(xí)題答案-wenkub.com
2025-07-23 04:09 本頁(yè)面
【正文】 b = 4. d.5. b.814Copyright 169。 180。 =– (subject to rounding error)%18. a. If a manager is not allowed to sell short, he will not include stocks with negative alphas in his portfolio, so he will consider only A and C:Αs2(e) A3,364C3,600The forecast for the active portfolio is:α = ( ) + ( ) = %β = ( ) + ( ) = s2(e) = ( 3,364) + ( 3,600) = 1,σ(e) = %The weight in the active portfolio is:Adjusting for beta:The information ratio of the active portfolio is:Hence, the square of the Sharpe ratio is:Therefore: S = The market’s Sharpe ratio is: SM = When short sales are allowed (Problem 17), the manager’s Sharpe ratio is higher (). The reduction in the Sharpe ratio is the cost of the short sale restriction.The characteristics of the optimal risky portfolio are: With A = , the optimal position in this portfolio is:The final positions in each asset are: Bills1 – =%M 180。 =– C 180。 =A 180。 A difference of: The only moderate improvement in performance results from only a small position taken in the active portfolio A because of its large residual variance.d. To calculate the makeup of the plete portfolio, first pute the beta, the mean excess return, and the variance of the optimal risky portfolio:βP = wM + (wA βA ) = + [(–) 180。Chapter 8 Index ModelsCHAPTER 8: INDEX MODELSPROBLEM SETS1. The advantage of the index model, pared to the Markowitz procedure, is the vastly reduced number of estimates required. In addition, the large number of estimates required for the Markowitz procedure can result in large aggregate estimation errors when implementing the procedure. The disadvantage of the index model arises from the model’s assumption that return residuals are uncorrelated. This assumption will be incorrect if the index used omits a significant risk factor.2. The tradeoff entailed in departing from pure indexing in favor of an actively managed portfolio is between the probability (or the possibility) of superior performance against the certainty of additional management fees.3. The answer to this question can be seen from the formulas for w 0 (equation ) and w* (equation ). Other things held equal, w 0 is smaller the greater the residual variance of a candidate asset for inclusion in the portfolio. Further, we see that regardless of beta, when w 0 decreases, so does w*. Therefore, other things equal, the greater the residual variance of an asset, the smaller its position in the optimal risky portfolio. That is, increased firmspecific risk reduces the extent to which an active investor will be willing to depart from an indexed portfolio.4. The total risk premium equals: a + (b Market risk premium). We call alpha a nonmarket return premium because it is the portion of the return premium that is independent of market performance.The Sharpe ratio indicates that a higher alpha makes a security more desirable. Alpha, the numerator of the Sharpe ratio, is a fixed number that is not affected by the standard deviation of returns, the denominator of the Sharpe ratio. Hence, an increase in alpha increases the Sharpe ratio. Since the portfolio alpha is th
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