2022年2022年投資學(xué)第10版習(xí)題答案05

1、精選學(xué)習(xí)資料 - - - 歡迎下載chapter 5 - risk、 return、 and the historical recordchapter 5:risk、 return、 and the historicalrecordproblem sets1. the fisher equation predicts that the nominal rate will equal the equilibrium real rate plus the expected inflation rate. hence、 if the inflation rate increases from 3%

2、to 5% while there is no change in the real rate、 then the nominal rate will increase by 2%. on the other hand、 it is possible that an increase in the expected inflation rate would be accompanied by a change in the real rate of interest. while it is conceivable that the nominal interest rate could re

3、main constant as the inflation rate increased、 implying that the real rate decreased as inflation increased、 this is not a likely scenario.2. if we assume that the distribution of returns remains reasonably stable over the entire history、 then a longer sample period i.e.、 a larger sample increases t

4、he precision of the estimate of the expected rate of return; this is a consequence of the fact that the standard error decreases as the sample size increases. however、 if we assume that the mean of the distribution of returns is changing over time but we are not in a position to determine the nature

5、 of this change、 then the expected return must be estimated from a more recent part of the historical period. in this scenario、 we must determine how far back、 historically、 to go in selecting the relevant sample. here、 it is likely to be disadvantageous to use the entire data set back to 1880.3. th

6、e true statements are c and e. the explanations follow.statement c:let= the annual standard deviation of the risky investments and1 = the standard deviation of the first investment alternative over thetwo-year period. then:12therefore、 the annualized standard deviation for the first investment alter

7、native is equal to:1225-1copyright . 2021 mcgraw-hill education. all rights reserved. no reproduction or distribution without the prior written consent of mcgraw-hill education.精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載chapter 5 - risk、 return、 and the historical recordstatement e:the first investment alternative is m

8、ore attractive to investors with lower degrees of risk aversion. the first alternative entailing a sequence of two identically distributed and uncorrelated risky investments is riskier than the second alternative the risky investment followed by a risk-free investment. therefore、 the first alternati

9、ve is more attractive to investors with lower degrees of risk aversion. notice、 however、 that if you mistakenly believed that time diversification can reduce the total risk of a sequence of risky investments、 you would have been tempted to conclude that the first alternative is less risky and theref

10、ore more attractive to more risk-averse investors. this is clearly not the case; the two-year standard deviation of the first alternative is greater than the two-year standard deviation of the second alternative.4. for the money market fund、 your holding-period return for the next year depends on th

11、e level of 30-day interest rates each month when the fund rolls over maturing securities. the one-year savings deposit offers a 7.5% holding period return for the year. if you forecast that the rate on money market instruments will increase significantly above the current 6% yield、 then the money ma

12、rket fund might result in a higher hpr than the savings deposit. the 20-year treasury bond offers a yield tomaturity of 9% per year、 which is150 basis points higher than the rate on the one-year savings deposit; however、 you could earn a one-year hpr much less than 7.5% on the bond if long-term inte

13、rest rates increase during the year. if treasury bond yields rise above 9%、 then the price of the bond will fall、 and the resulting capital loss will wipe out some or all of the 9% return you would have earned if bond yields had remained unchanged over the course of the year.5. a.if businesses reduc

14、e their capital spending、 then they are likely to decrease their demand for funds. this will shift the demand curve in figure 5.1 to the left and reduce the equilibrium real rate of interest.b. increased household saving will shift the supply of funds curve to the right and cause real interest rates

15、 to fall.c. open market purchases of u.s. treasury securities by the federal reserve board are equivalent to an increase in the supply of funds a shift of the supply curve to the right. the fed buys treasuries with cash from its own account or it issues certificates which trade like cash.as a result

16、、 there is an increase in the money supply、 and the equilibrium real rate of interest will fall.5-2copyright . 2021 mcgraw-hill education. all rights reserved. no reproduction or distribution without the prior written consent of mcgraw-hill education.精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載chapter 5 - risk、 return、

17、and the historical record6. a.the “ inflatio-nplus ” cd is the safer investment because it guarantees the purchasing power of the investment. using the approximation that the real rate equals the nominal rate minus the inflation rate、 the cd provides a real rate of 1.5% regardless of the inflation r

18、ate.b. the expected return depends on the expected rate of inflation over the next year. if the expected rate of inflation is less than 3.5% then the conventional cd offers a higher real return than the inflation-plus cd; if the expected rate of inflation is greater than 3.5%、 then the opposite is t

19、rue.c. if you expect the rate of inflation to be 3% over the next year、 then the conventional cd offers you an expected real rate of return of 2%、 which is 0.5% higher than the real rate on the inflation-protected cd. but unless you know that inflation will be 3% with certainty、 the conventional cd

20、is also riskier. the question of which is the better investment then depends on your attitude towards risk versus return. you might choose to diversify and invest part of your funds in each.d. no. we cannot assume that the entire difference between the risk-free nominal rate on conventional cds of 5

21、% and the real risk-free rate on inflation-protected cds of 1.5% is the expected rate of inflation. part of the difference is probably a risk premium associated with the uncertainty surrounding the real rate of return on the conventional cds. this implies that the expected rate of inflation is less

22、than 3.5% per year.精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載7.er = 0.3544×.5% + 0.3014×.0% + 0.351×6.5% = 14%精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載2 = 0.35= 25.52%4×4.5 142 + 0.301×4 142 + 0.35×16.5 142 = 651.175精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載the mean is unchanged、 but the standard deviation has increased、 as

23、the probabilities of the high and low returns have increased.8.probability distribution of price and one-year holding period return for a 30- year u.s. treasury bond which will have 29 years to maturity at year-end:economyprobabilityytmpricecapitalgaincouponinteresthprboom0.2011.0%$ 74.05$25.95$8.00

24、17.95%normal growth0.508.0100.000.008.008.00recession0.307.0112.2812.288.0020.285-3copyright . 2021 mcgraw-hill education. all rights reserved. no reproduction or distribution without the prior written consent of mcgraw-hill education.精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載chapter 5 - risk、 return、 and the historic

25、al record精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載9.eq = 00×.25 + 10.2×5 + 20.5×0 = 1.25精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載q = 0.250×1.252 + 0.25×1 1.252 + 0.50×2 1.252 1/2 = 0.8292精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載10. awith probability 0.9544、 the value of a normally distributed variable will fall within 2 st

26、andard deviations of the mean; that is、 between40% and 80%. simply add and subtract 2 standard deviations to and from the mean.11. from table 5.4、 the average risk premium for the period 7/1926-9/2021 was: 12.34% per year.adding 12.34% to the 3% risk-free interest rate、 the expected annual hpr for t

27、he big/value portfolio is: 3.00% + 12.34% = 15.34%.12.01/1928-06/1970lowsmall2highlowbig2highaverage1.03%1.21%1.46%0.78%0.88%1.18%sd8.55%8.47%10.35%5.89%6.91%9.11%skew1.67041.66732.30640.00671.62511.6348kurtosis13.150513.528417.21376.256416.230513.672907/1970-12/2021lowsmall2highlowbig2highaverage0.

28、91%1.33%1.46%0.93%1.02%1.13%sd7.00%5.49%5.66%4.81%4.50%4.78%skew-0.3278-0.5135-0.4323-0.3136-0.3508-0.4954kurtosis1.79623.19173.83201.85162.07562.8629no. the distributions from 01/192806/1970 and 07/197012/2021 periods have distinct characteristics due to systematic shocks to the economy andsubseque

29、nt government intervention. while the returns from the two periods do not differ greatly、 their respective distributions tell a different story. the standard deviation for all six portfolios is larger in the first period. skew is also positive、 but negative in the second、 showing a greater likelihoo

30、d of higher-than-normal returns in the right tail. kurtosis is also markedly larger in the first period.5-4copyright . 2021 mcgraw-hill education. all rights reserved. no reproduction or distribution without the prior written consent of mcgraw-hill education.精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載chapter 5 - risk、

31、return、 and the historical record精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載13. arr1rn1rni0.800.700.0588 、 or 5 .88%精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載1i1i1.70b.rrrni = 80%70% = 10%clearly、 the approximation gives a real hpr that is too high.14. from table 5.2、 the average real rate on t-bills has been 0.52%.a. t-bills: 0.52% real

32、 rate + 3% inflation = 3.52%b. expected return on big/value:3.52% t-bill rate + 12.34% historical risk premium = 15.86%c. the risk premium on stocks remains unchanged. a premium、 the difference between two rates、 is a real value、 unaffected by inflation.15. real interest rates are expected to rise.

33、the investment activity will shift the demand for funds curve in figure 5.1 to the right. therefore the equilibrium real interest rate will increase.16. a.probability distribution of the hpr on the stock market and put:stockputstate of theeconomyprobabilityending price +dividendhprendingvaluehprexce

34、llent0.25$ 131.0031.00%$0.00100%good0.45114.0014.00$0.00100poor0.2593.25- 6.75$ 20.2568.75crash0.0548.0052.00$ 64.00433.33remember that the cost of the index fund is $100 per share、 and the cost of the put option is $12.b. the cost of one share of the index fund plus a put option is $112. the probab

35、ility distribution of the hpr on the portfolio is:ending price +state of theeconomyprobabilityput +dividendhprexcellent0.25$ 131.0017.0%= 131112/112good0.45114.001.8= 114112/112poor0.25113.501.3= 113.50112/112crash0.05112.000.0= 112112/112c. buying the put option guarantees the investor a minimum hp

36、r of 0.0%5-5copyright . 2021 mcgraw-hill education. all rights reserved. no reproduction or distribution without the prior written consent of mcgraw-hill education.精品學(xué)習(xí)資料精選學(xué)習(xí)資料 - - - 歡迎下載chapter 5 - risk、 return、 and the historical recordregardless of what happens to the stock's price. thus、 it

37、offers insurance against a price decline.17. the probability distribution of the dollar return on cd plus call option is:state of theeconomyprobabilityending valueof cdending valueof callcombinedvalueexcellent0.25$ 114.00$16.50$130.50good0.45114.000.00114.00poor0.25114.000.00114.00crash0.05114.000.0

38、0114.0018.a. total return of the bond is 100/84.49-1 = 0.1836. witht = 10、 the annual rate on the real bond is 1 + ear = 1.69%.b. with a per quarter yield of 2%、 the annual yield is= 1.0824、 or 8.24%. the equivalent continuously compounding cc rate is ln1+.0824= .0792、 or 7.92%. the risk-free rate i

39、s 3.55% with a cc rate of ln1+.0355= .0349、 or 3.49%. the cc risk premium will equal .0792 - .0349 = .0443、 or4.433%.c. the appropriate formula is、where. using solver or goal seek、 setting thetarget cell to the known effective cc rate by changing the unknown variance cc rate、 the equivalent standard

40、 deviation cc is 18.03% excel mayyield slightly different solutions.d. the expected value of the excess return will grow by 120 months 12months over a 10-year horizon. therefore the excess return will be 120×4.433% = 531.9%. the expected sd grows by the square root of timeresulting in 18.03%×= 197.5%. the resulting sharpe ratio is 531.9/197.5 = 2.6929. normsdist -2.6929 = .0035、 or a .35% probability of shortfall over a 10-year horizon.cfa problems1.the expected dollar return on the investment in equities is $18、000 0.6 $50、000 + 0.4××- $30、000 com