投资学第10版课后习题答案.doc

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1、CHAPTER7:OPTIMALRISKYPORTFOLIOSPROBLEMSETS1.(a)and(e).Short-termratesandlaborissuesarefactorsthatarecommontoallfirmsandthereforemustbeconsideredasmarketriskfactors.Theremainingthreefactorsareuniquetothiscorporationandarenotapartofmarketrisk.2.(a)and(c).Af

2、terrealestateisaddedtotheportfolio,therearefourassetclassesintheportfolio:stocks,bonds,cash,andrealestate.Portfoliovariancenowincludesavariancetermforrealestatereturnsandacovariancetermforrealestatereturnswithreturnsforeachoftheotherthreeassetclasses.Ther

3、efore,portfolioriskisaffectedbythevariance(orstandarddeviation)ofrealestatereturnsandthecorrelationbetweenrealestatereturnsandreturnsforeachoftheotherassetclasses.(Notethatthecorrelationbetweenrealestatereturnsandreturnsforcashismostlikelyzero.)3.(a)Answe

4、r(a)isvalidbecauseitprovidesthedefinitionoftheminimumvarianceportfolio.4.Theparametersoftheopportunitysetare:E(rS)=20%,E(rB)=12%,σS=30%,σB=15%,ρ=0.10Fromthestandarddeviationsandthecorrelationcoefficientwegeneratethecovariancematrix[notethat]:BondsStocksBo

5、nds22545Stocks45900Theminimum-varianceportfolioiscomputedasfollows:wMin(S)=wMin(B)=1-0.1739=0.8261Theminimumvarianceportfoliomeanandstandarddeviationare:E(rMin)=(0.1739×.20)+(0.8261×.12)=.1339=13.39%σMin==[(0.17392´900)+(0.82612´225)+(2´0.1739´0.8261´45)]

6、1/2=13.92%5.ProportioninStockFundProportioninBondFundExpectedReturnStandardDeviation0.00%100.00%12.00%15.00%17.3982.6113.3913.92minimumvariance20.0080.0013.6013.9440.0060.0015.2015.7045.1654.8415.6116.54tangencyportfolio60.0040.0016.8019.5380.0020.0018.40

7、24.48100.000.0020.0030.00Graphshownbelow.6.Theabovegraphindicatesthattheoptimalportfolioisthetangencyportfoliowithexpectedreturnapproximately15.6%andstandarddeviationapproximately16.5%.7.Theproportionoftheoptimalriskyportfolioinvestedinthestockfundisgiven

8、by:Themeanandstandarddeviationoftheoptimalriskyportfolioare:E(rP)=(0.4516×.20)+(0.5484×.12)=.1561=15.61%σp=[(0.45162´900)+(0.54842´225)+(2´0.4516´0.5484×45)]1/2=16.54%8.Thereward-to-volatilityratiooftheoptimalCALis: