Fabozzi-金融市场与金融机构基础课后答案12.doc

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1、CHAPTER12RISK/RETURNANDASSETPRICINGMODELSPORTFOLIOTHEORYPortfoliotheoryproceedsfromtheaxiomthatinvestorsseektomaximizereturnsgivensomeriskleveltheyarewillingtoaccept.Portfoliosthatmaximizetheexpectedreturnfromaninvestmentsubjecttoagivenlevelofriskaresaidtobeefficie

2、nt.Fromamongefficientportfolios,theonewhichrisk-averseinvestorsprefer,issaidtobeanoptimalportfolio.Toconstructanefficientportfolio,itisnecessarytounderstandwhatismeantbyexpectedreturnandrisk.InvestmentReturnThereturnonaninvestmentportfolioduringagivenintervaloftime

3、isequaltothechangeinvalueoftheportfolioplusanydistributionsreceivedfromtheassetsintheportfolio.Thesereturnsareexpressedasafractionoftheinitialportfoliovalue.R=(V1–V0+D)/V0whereV1=portfoliovalueattheendofintervalV0=portfoliovalueatthebeginningofintervalD=cashdistrib

4、utionduringintervalForpurposesofcomparison,returnsareexpressedperunitoftime,usuallyayear.Ifseveralyearsofunitsareincludedinthetimehorizon,thenthereturncanbecomputedbyaveragingthereturnovertheseveralunitintervals.Therearethreeaveragingmethodsinuse:(1)thearithmeticav

5、eragereturn(simpleaverageoftotalreturndividedbynumberoftimeunits),(2)time-weightedrateofreturn(alsoreferredtoasthegeometricaverage),(3)dollarweightedreturn.Onemeasureofriskistheextenttowhichfutureportfoliovaluesarelikelytodivergefromtheexpectedvalue.PortfolioRiskPo

6、rtfolioriskcanbemeasuredintermsofthedispersionofreturnsabouttheexpectedvalueormeanreturn.Thevarianceofreturnisaweightedsumofthesquareddeviationsfromtheexpectedreturn.Thestandarddeviationisthesquarerootofthevariance.ExpectedPortfolioReturnAparticularlyusefulwaytoqua

7、ntifytheuncertaintyabouttheportfolioreturnistospecifytheprobabilityassociatedwitheachofthepossiblefuturereturnsandcalculatetheexpectedvalueoftheportfolioreturn.Theexpectedvalueistheweightedaverageofthepossibleoutcomes,wheretheweightsaretherelativechancesofoccurrenc

8、e.Theexpectedreturnontheportfoliois12-10expressedas:E(R)=P1R1+P2R2+...+PNRNProbabilitydistributionscantakevariousshapes.Forasymmetricaldistributi