威廉夏普投资学课后习题解答解析第6章节.ppt

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威廉夏普投资学课后习题解答解析第6章节.ppt

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威廉夏普投资学课后习题解答解析第6章节

12. At the beginning of the year, Corns Bradley owned four securities in the following amounts and with the following current and expected end-of-year prices: end-of-period wealth –beginning-of-period wealth Return= ----------------------------------------------------- beginning-of-period wealth (100*60+200*40+50*50+100*110)- (100*50+200*35+50*25+100*100) rp= ----------------------------------------------------- (100*50+200*35+50*25+100*100) rp=(27500-23250)/23250 =4250/23250=18.2795% 13. Given the following information about four stocks comprising a portfolio, calculate each stock’s expected return. Then, using these individual securities’ expected returns, calculate the portfolio’s expected return. Ra=(700-500)/500=40% Ra=(300-200)/200=50% Ra=(1000-100)/1000=0 Ra=(1500-900)/900=66.7% Rp=40%*19.2%+50%*7.7%+34.6%*66.7% =7.68%+3.85%+23.07% =34.6% 公式：书上151页 6.3a和6.4a Standard deviation公式见书上153 页和154页公式见书上153 页和154页 * * * * 第五小组成员：张宝发段俞西李毅力刘橙刘月张玲刘畅 Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Why are typical investors assumed to prefer portfolios on indifference curves lying to the northwest? 为什么典型的投资者被假定认为更偏好于“西北”的无差异曲线上的投资组合？ Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Why are the indifference curves of more risk-averse investors more steeply sloped than those of investors with less risk aversion? 为什么风险厌恶程度高的投资者的无差异曲线比风险厌恶程度低的投资者的无差异曲线倾斜的更陡一些？ Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. Evaluation only. Cre