投資學第7版TestBank標準答案07

1、 SecurityXhasexpectedreturnof9%andstandarddeviationof18%.SecurityYhasexpectedreturnof12%andstandarddeviationof21%.Ifthetwosecuritieshaveacorrelationcoefficientof-0.4,whatistheircovariance?0.03880.07060.0184-0.0133-0.1512Answer:EDifficulty:ModerateRationale:Cov(rX,rY)=(-.4)(.18)(.21)=-.01512Givenanop

2、timalriskyportfoliowithexpectedreturnof16%andstandarddeviationof20%andariskfreerateof4%,whatistheslopeofthebestfeasibleCAL?0.600.140.080.360.31Answer:ADifficulty:ModerateRationale:Slope=(16-4)/20=.6Givenanoptimalriskyportfoliowithexpectedreturnof12%andstandarddeviationof26%andariskfreerateof3%,whati

3、stheslopeofthebestfeasibleCAL?0.640.140.080.350.36Answer:DDifficulty:ModerateRationale:Slope=(12-3)/26=.346Usethefollowingtoanswerquestions57-60:ConsiderthefollowingprobabilitydistributionforstocksCandD:FrobabililyReturnon苛忙ickCReturn,onStofekD0.307%-9%0.5011.%14%0.20-16%J26%StateTheexpectedratesofr

4、eturnofstocksCandDareand,respectively.4.4%;9.5%.9.5%;4.4%6.3%;8.7%8.7%;6.2%noneoftheaboveAnswer:ADifficulty:EasyRationale:E(RC)=0.30(7%)+0.5(11%)+0.20(-16%)=4.4%;E(RD)=0.30(-9%)+0.5(14%)+0.20(26%)=9.5%.ThestandarddeviationsofstocksCandDareand,respectively.7.62%;11.24%11.24%;7.62%9.34%;12.93%12.93%;9

5、.34%noneoftheaboveAnswer:CDifficulty:ModerateRationale:sC=0.30(7%-4.4%)2+0.5(11%-4.4%)2+0.20(-16%-4.4%)21/2=9.34%;sD=0.30(-9%-9.5%)2+0.50(14%-9.5%)2+0.20(26%-9.5%)21/2=12.93%.ThecoefficientofcorrelationbetweenCandDis0.665.0.554.-0.554.-0.665.noneoftheabove.Answer:CDifficulty:DifficultRationale:covC,

6、D=0.30(7%-4.4%)(-9%-9.5%)+0.50(11%-4.4%)(14%-9.5%)+0.20(-16%-4.4%)(26%-9.5%)=2.40;rA,B=-66.90/(9.34)(12.93)=-0.554Ifyouinvest25%ofyourmoneyinCand75%inD,whatwouldbeyourportfoliosexpectedrateofreturnandstandarddeviation?9.891%;8.63%9.945%;11.12%10.425%;8.63%10.275%;11.12%noneoftheaboveAnswer:CDifficul

7、ty:DifficultRationale:E(RP)=0.25(4.4%)+0.75(9.5%)=10.425%;sP=(0.25)2(9.34%)2+(0.75)2(12.93)2+2(0.25)(0.75)(9.34)(12.93)(-0.554)1/2=8.63%.Usethefollowingtoanswerquestions61-62:ConsidertwoperfectlynegativelycorrelatedriskysecuritiesKandL.Khasanexpectedrateofreturnof13%andastandarddeviationof19%.Lhasan

8、expectedrateofreturnof10%andastandarddeviationof16%.TheweightsofKandLintheglobalminimumvarianceportfolioareand,respectively.0.24;0.760.50;0.500.54;0.460.45;0.550.76;0.24Answer:CDifficulty:ModerateRationale:wA=19/(19+16)=0.54;wB=1-0.54=0.46.Therisk-freeportfoliothatcanbeformedwiththetwosecuritieswill

9、earnrateofreturn.9.5%10.4%10.9%9.9%noneoftheaboveAnswer:BDifficulty:DifficultRationale:E(RP)=0.54(13%)+0.46(10%)=11.62%.SecurityMhasexpectedreturnof17%andstandarddeviationof32%.SecurityShasexpectedreturnof13%andstandarddeviationof19%.Ifthetwosecuritieshaveacorrelationcoefficientof0.78,whatistheircov

10、ariance?0.0380.0490.0470.0450.054Answer:CDifficulty:ModerateRationale:Cov(rX,rY)=(.78)(.32)(.19)=.0474SecurityXhasexpectedreturnof7%andstandarddeviationof12%.SecurityYhasexpectedreturnof11%andstandarddeviationof20%.Ifthetwosecuritieshaveacorrelationcoefficientof-0.45,whatistheircovariance?0.0388-0.0

11、1080.0184-0.0133-0.1512Answer:BDifficulty:ModerateRationale:Cov(rX,rY)=(-.45)(.12)(.20)=-.0108Givenanoptimalriskyportfoliowithexpectedreturnof13%andstandarddeviationof26%andariskfreerateof5%,whatistheslopeofthebestfeasibleCAL?0.600.140.080.360.31Answer:EDifficulty:ModerateRationale:Slope=(13-5)/26=.

12、31Givenanoptimalriskyportfoliowithexpectedreturnof12%andstandarddeviationof23%andariskfreerateof3%,whatistheslopeofthebestfeasibleCAL?0.640.390.080.350.36Answer:BDifficulty:ModerateRationale:Slope=(12-3)/23=.391EssayQuestionsTheoretically,thestandarddeviationofaportfoliocanbereducedtowhatlevel?Expla

13、in.Realistically,isitpossibletoreducethestandarddeviationtothislevel?Explain.Difficulty:ModerateAnswer:Theoretically,ifonecouldfindtwosecuritieswithperfectlynegativelycorrelatedreturns(correlationcoefficient=-1),onecouldsolvefortheweightsofthesesecuritiesthatwouldproducetheminimumvarianceportfolioof

14、thesetwosecurities.Thestandarddeviationoftheresultingportfoliowouldbeequaltozero.However,inreality,securitieswithperfectnegativecorrelationsdonotexist.Therationaleforthisquestionistoascertainwhetherornotthestudentunderstandstheconceptoftheminimumvarianceportfolio,thetheoreticalzeroriskportfolio,andt

15、heprobabilityofobtainingazeroriskportfolio.Discusshowtheinvestorcanusetheseparationtheoremandutilitytheorytoproduceanefficientportfoliosuitablefortheinvestorslevelofrisktolerance.Difficulty:ModerateAnswer:Onecanidentifytheoptimumriskyportfolioastheportfolioatthepointoftangencybetweenarayextendingfro

16、mtherisk-freerateandtheefficientfrontierofriskysecurities.Belowthepointoftangencyonthisrayfromtherisk-freerate,theefficientportfoliosconsistofboththeoptimumriskyportfolioandrisk-freeinvestments(T-bills);abovethepointoftangency,theefficientportfoliosconsistoftheoptimumriskyportfoliopurchasedonmargin.

17、Iftheinvestorsindifferencecurve,whichreflectsthatinvestorspreferencesregardingriskandreturn,issuperimposedontherayfromtherisk-freerate,theresultingpointoftangencyrepresentstheappropriatecombinationoftheoptimumriskyportfolioandeitherrisk-freeassetsormarginbuyingforthatinvestor.Thus,theseparationtheor

18、emseparatestheinvestingandfinancingdecisions.Thatis,allinvestorswillinvestinthesameoptimalriskyportfolio,andadjusttheriskleveloftheportfoliobyeitherlending(investinginU.S.Treasuries,i.e.,lendingtotheU.S.government)orborrowing(buyingriskysecuritiesonmargin).Thepurposeofthisquestionistoascertainwhethe

19、rthestudentunderstandsthebasicprinciplesofutilitytheory,theoptimalriskyportfolio,andtheseparationtheorem,astheseconceptsrelatetoconstructingtheidealportfolioforaparticularinvestor.StateMarkowitzsmean-variancecriterion.Givesomenumericalexamplesofhowthecriterionwouldbeapplied.Difficulty:EasyAnswer:The

20、mean-variancecriterionstatesthatassetAdominatesassetBifandonlyifE(RA)isgreaterthanorequaltoE(RB)andthestandarddeviationofAsreturnsislessthanorequaltothestandarddeviationofBsreturns,withatleastonestrictinequalityholding.Studentscangiveexamplesofsecuritiesdominatingothersonthebasisofexpectedreturnorstandarddeviation,andcanalsogiveexamplesofcomparisonswhereneithersecurityisine