0609章习题分析和总结.docx

Chapter06

Considerariskyportfolio.Theend-of-yearcashflowderivedfromtheportfoliowillbeeither$70,000or$200,000withequalprobabilitiesof.5.ThealternativeriskfreeinvestmentinT-billspays6%peryear.

Ifyourequireariskpremiumof8%,howmuchwillyoubewillingtopayfortheportfolio?

Supposethattheportfoliocanbepurchasedfortheamountyoufoundin( a).Whatwillbetheexpectedrateofreturnontheportfolio?

Nowsupposethatyourequireariskpremiumof12%.Whatisthepricethatyouwillbewillingtopay?

Comparing your answers to (a) and (c), what do you conclude about therelationshipbetweentherequiredriskpremiumonaportfolioandthepriceatwhichtheportfoliowillsell?

Usethefollowingdatainansweringquestions2,3,and4.

Basedontheutilityformulaabove,whichinvestmentwouldyouselectifyouwereriskaversewithA=4?

a.1 b.2 c.3 d.4

Basedontheutilityformulaabove,whichinvestmentwouldyouselectifyouwereriskneutral?

a.1b.2c.3d.4

Thevariable(A)intheutilityformularepresentsthe:

investor’sreturnrequirement.b.investor’saversiontorisk.c.certaintyequivalentrateoftheportfolio.d.preferenceforoneunitofreturnperfourunitsofrisk.

Chapter07-09

Considerthefollowinginformationaboutariskyportfoliothatyoumanage,anda

risk-freeasset:E(rP)=11%, P=15%,rf=5%.

Yourclientwantstoinvestaproportionofhertotalinvestmentbudgetinyourriskyfundtoprovideanexpectedrateofreturnonheroverallorcompleteportfolioequalto 8%. What proportion should she invest in the risky portfolio, P, and whatproportionintherisk-freeasset?

Whatwillbethestandarddeviationoftherateofreturnonherportfolio?

1

Anotherclientwantsthehighestreturnpossiblesubjecttotheconstraintthatyoulimithisstandarddeviationtobenomorethan12%.Whichclientismoreriskaverse?

Usethefollowinggraphtoanswerproblems.

Whichindifferencec