风险管理和金融机构 ， 第四版英文答案（含further question）- Risk Management and Financial Institution - Solutions to Further Problems , 4th edition ，John C.docx

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SolutionstoFurtherProblems

RiskManagementandFinancialInstitutions

FourthEdition

JohnC.Hull

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Preface

ThismanualcontainsanswerstoalltheFurtherQuestionsattheendsofthechapters.Aseparatepdffilecontainsnotesontheteachingofthechaptersthatsomeinstructorsmightfinduseful.

SeveralhundredPowerPointslidescanbedownloadedfrommywebsitewww.rotman.utoronto.ca/~hull

orfromtheWileyInstructorResourceCenter.Asamplecourseoutlineisalsoavailablefromthesetwosources.

Alltextbookshavetheproblemthatsolutionstoend-of-chapterproblemshavefoundtheirwaytotheweb.Mytextbookisnoexception.IsuggesthandingoutWordfilesforassignmentsets.

ThesecanbevariationsontheFurtherQuestionscreatedbyrewordingquestionsand/orchangingnumbers.

Anycommentsorsuggestionsonthebookorthismanualormyslideswouldbeappreciated.Mye-mailaddressis

hull@rotman.utoronto.ca

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Chapter1:Introduction

1.15.

Supposethatoneinvestmenthasameanreturnof8%andastandarddeviationofreturnof14%.Anotherinvestmenthasameanreturnof12%andastandarddeviationofreturnof20%.The

correlationbetweenthereturnsis0.3.ProduceachartsimilartoFigure1.2showingalternativerisk-returncombinationsfromthetwoinvestments.

Theimpactofinvestingwiinthefirstinvestmentandw2=1-wiinthesecondinvestmentis

showninthetablebelow.Therangeofpossiblerisk-returntrade-offsisshowninfigurebelow.

WI

W2

μP

OP

0.0

1.0

12%

20%

0.2

0.8

11.2%

17.05%

0.4

0.6

10.4%

14.69%

0.6

0.4

9.6%

13.22%

0.8

0.2

8.8%

12.97%

1.0

0.0

8.0%

14.00%

1.16.

Theexpectedreturnonthemarketis12%andtherisk-freerateis7%.Thestandarddeviationofthereturnonthemarketis15%.Oneinvestorcreatesaportfolioontheefficientfrontierwithanexpectedreturnof10%.Anothercreatesaportfolioontheefficientfrontierwith