金融学 第二版 兹维.博迪 罗伯特C默顿等著Bodie2_IM_Ch10.pdfVIP

CHAPTER 10 - Principles of Risk Management End-of-Chapter Problems 1. Suppose you are aware of the followi ng investment opportuni ty: You coul d ope n a coffee shop ar ound the corner from your home for $25,000. If business is strong, you could net $15,000 in after-tax cash flows each year over the next 5 years. a. If you knew for certain the business would be a success, would this be a risky investment? b. Now assume this is a risky venture and that there is a 50% chance it is a success and a 50% chance you go bankrupt within 2 years. You decide to go ahead and invest. If the business subsequently goes bankrupt, di d you make the wrong decision base d on the infor mati on you had at the ti me? Why or why not? Solution: a. No, this investment would not be risky. b. No, you did not make a “wrong” decision. When you made your decision, you did not know for certain that the company would go bankrupt. You decided to invest for many reasons, including the possibility of making a lot of money. Given your tolerance for risk and the fact that you based our decision on the information available at the time, your decision was not wrong and may have been optimal at the time. 2. Suppose your new business venture will last only one year. For $110,000 you plan to purchase 20 acres of farm land next to a site that may be developed into a retail shopping mall. You will sell the land in a year and based on the outcome of the zoning hearing there is an equal chance that it will be worth either $100,000, or $125,000, or $145,000 next year. The bank is willing to make you a riskless loan to finance the purchase of the property at an interest rate of 10% . The loan balance in total will be paid in one year when you sell the property. What is the most the bank will be willing to lend? Solution: A riskless loan should be one where the bank expected full repayment of the loan so only loans requiring $100,000 or less in repayment would be riskless. This me