Exercise 投资学.doc

1、Suppose you purchases 10 shares of Apple on margin at $110 per share and short sells 1000 shares of GM at $2 per share on April 1. The initial and maintenance margin rate are 60% and 30%, respectively. On May 31, GM is selling for $1 and Apple for $130. Draw your balance sheet on April 1. Draw your balance sheet on May 31. Determine whether your account is restricted on May 31. Assuming the cash dividend for GM is $0.01, calculate your rate of return on GM. Assuming the cash dividend for Apple is $0.05, calculate your rate of return on Apple. Calculate your total rate of return. 2、If the one-year spot rate is 4%, the two-year spot rate is 7%. The forward rate for two year hence is 9%. (1) According to the liquidity preference theory, the one-year liquidity premium is 2%, what is the one-year spot rate expected ? (2) Jack, your friend, offers to pay you $100 one year from now, $200 two years from now, and $300 three years from now in return for a loan. So how much will you provide loan for him now? 3、Given some information for four assets: (1)Finish the missing numbers, give you calculation Expected return Standard deviation beta A 8% 9% 0.8 B 0 C 11% 1 D 10% 15% 1.2 (2)Draw the CML and give the equation. (3)Draw the SML and give the equation, plot the four assets on the line. (4)You construct a portfolio. If the proportion for risk-free asset is 30%, and for A is 70%, calculate the total return and risk of the new portfolio. 4.Abigail Grace has a $900,000 fully diversified portfolio. She subsequently inherits ABC Company common stock worth $100,000. Her financial adviser provided her with the following forecast information: Risk and Return Characteristics Expected Monthly Returns Standard Deviation of Monthly Returns Original Portfolio 0.67% 2.37% ABC Company 1.25 2.95 The correlation coefficient of ABC stock returns with the original portfolio returns is .40. The inheritance changes Grace’s overall portfolio and she is deciding whether to k