投資學(xué)第10版習(xí)題答案(參考版)
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【正文】 2014 McGrawHill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGrawHill Education.。 this is nonsystematic risk.3. 9 = 3 + b (11 3) 222。 =b. The mean and variance of the optimized plete portfolios in the unconstrained and shortsales constrained cases, and for the passive strategy are:E(RC )Unconstrained % = = Constrained % = = Passive % = = The utility levels below are puted using the formula: Unconstrained 8% + % – ( ) = %Constrained 8% + % – ( ) = %Passive 8% + % – ( ) = % 19. All alphas are reduced to times their values in the original case. Therefore, the relative weights of each security in the active portfolio are unchanged, but the alpha of the active portfolio is only times its previous value: % = %The investor will take a smaller position in the active portfolio. The optimal risky portfolio has a proportion w* in the active portfolio as follows:The negative position is justified for the reason given earlier.The adjustment for beta is:Since w* is negative, the result is a positive position in stocks with positive alphas and a negative position in stocks with negative alphas. The position in the index portfolio is: 1 – (–) = To calculate the Sharpe ratio for the optimal risky portfolio we pute the information ratio for the active portfolio and the Sharpe ratio for the market portfolio. The information ratio of the active portfolio is times its previous value:A = = – and A2 =Hence, the square of the Sharpe ratio of the optimized risky portfolio is:S2 = S2M + A2 = (8%/23%)2 + = S = Compare this to the market’s Sharpe ratio: SM = = The difference is: Note that the reduction of the forecast alphas by a factor of reduced the squared information ratio and the improvement in the squared Sharpe ratio by a factor of: = 20. If each of the alpha forecasts is doubled, then the alpha of the active portfolio will also double. Other things equal, the information ratio (IR) of the active portfolio also doubles. The square of the Sharpe ratio for the optimized portfolio (Ssquare) equals the square of the Sharpe ratio for the market index (SMsquare) plus the square of the information ratio. Since the information ratio has doubled, its square quadruples. Therefore: Ssquare = SMsquare + (4 IR)Compared to the previous Ssquare, the difference is: 3IRNow you can embark on the calculations to verify this result. CFA PROBLEMS1. The regression results provide quantitative measures of return and risk based on monthly returns over the fiveyear period.β for ABC was , considerably less than the average stock’s β of . This indicates that, when the Samp。 =C 180。 (1 ) =A 180。 (–) 180。 (–) 180。 (–) 180。 (–) 180。A difference of: The final positions are (M may include some of stocks A through D):Bills1 – =%M 180。 ] = E(RP) = αP + βPE(RM) = [(–) 180。 hence, Stock A’s alpha is larger.e. The correlation coefficient is simply the square root of R2, so Stock B’s correlation with the market is higher.8. a. Firmspecific risk is measured by the residual standard deviation. Thus, stock A has more firmspecific risk: % %b. Mark
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