投资管理专业留学生作业：对研讨会小组作业的问题及解决方案

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1、投资管理专业留学生作业：对研讨会小组作业地问题及解决方案ABF305InvestmentManagementABF305投资管理Term1,Workshop4GroupAssignment(Total12.5marks)第1学期,研讨会4小组作业(总计12.5分)Solutions解决方案NB:ThedeadlineforyougroupworkshopassignmentsubmissionisWednesdaythe23rdNovemberbefore12noonattheFacultySupportOffice(Level3CKY).Pleaseclearlystateonacove

2、rsheet:(1)yourgroupnumber;(2)studentnames;(3)studentIDnumbers;(4)modulecoursename;and(5)thedateandtimewhenyousubmittedyourassignment.注意：你们小作业提交地截止日期为"月23日(星期三)中午12时前在学院支援办公室(3级CKY)•当提交作业时请在封面上明确规定:(1)你地组数；(2)学生地姓名;(3)学生地ID号；(4)模块课程名称及(5)地日期和时间.Question1问题1Youthinkthatyouhaveidentifiedanarbitrageop

3、portunityforacommodityasindicatedbytheinformationgivenbelow:你以为你已经确定了对一种商品地套利机会,如下面给出地信息表明：Spotpriceforcommodity$120Futurespriceforcommodityexpiringin1year$125Interestratefor1year8%a.Describethetransactionsnecessarytotakeadvantageofthisspecificarbitrageopportunity.(3marks)b.Calculatethearbitragepr

4、ofit.(3marks)SolutiontoQuestion1对问题1地解决方案Ifthefuturespriceislessthanthespotpriceplusthecostofcarryingthegoodstothefuturedeliverydate,namelyifthespot-futuresparitytheoremdoesnotholdtrue,thenanarbitrageopportunityexists.Atraderwouldbeabletoselltheassetshort,usetheproceedstolendattheprevailinginteres

5、trate,andthenbuytheassetforfuturedelivery.Atthefuturedelivery,thetraderwouldthencollecttheproceedsoftheloanwithinterest,acceptdeliveryoftheasset,andcovertheshortpositioninthecommodity.如果期货价格低于现货价格加上未来地交付日期载运货物地成本，即如果现货-期货平价定理不成立，那么存在一个套利机会.一交易商将能够出售资产短，用所得资金按现行利率放贷,然后购买资产未来交付•在未来交付，交易者将连本带利收回贷款所得款

6、项，交付资产，并覆盖在商品地淡仓.Question2OneChicagohasjustintroducedasingle-stockfuturescontractonBrandexstock,acompanythatcurrentlypaysnodividend・Eachcontractcallsfordeliveryof1,000sharesofstockin1year.TheT-billrateis6%peryear.a.IfBrandexstocknowsellsat$120pershare,whatshouldthefuturespricebe?(1mark)b.IftheBran

7、dexpricedropsby3%,whatwillbethechangeinthefuturespriceandthechangeintheinvestor'smarginaccount?(2marks)c.Ifthemarginonthecontractis$12,000,whatisthepercentagereturnontheinvestor'sposition?(1mark)Question3TheS&