金融学 第二版 兹维.博迪 罗伯特C默顿等著Bodie2_IM_Ch13.pdfVIP

CHAPTER 13 - Capital Market Equilibrium End-of-Chapter Problems 1. Suppose there are only three risky assets, IAM stock, IBM stock, and ICM stock. The total market equity values of these companies at current prices are $150 million for IAM, $300 million for IBM, and $1,500 million for ICM. In addition there is $50 million of riskless bonds in the market. The proportion of the riskless asset held in the aggregate market portfolio would be? 50 Solution: Using the market weights riskless bonds comprise: = 0.0250 2.5% 50+ 150 + 300 + 1500 2. Capital markets in Flatland exhibit trade in four securities, the stocks X, Y and Z, and a riskless government security. Evaluated at current prices in US dollars, the total market values of these assets are, respectively, $24 billion, $36 billion, $24 billion and $16 billion. a. Determine the relative proportions of each asset in the market portfolio. b. If an investor has holds risky assets in proportion to their market values and divides their aggregate portfolio of $100,000 with $30,000 invested in the riskless asset, how much is invested in securities X, Y, and Z? Solution: a. The proportions of each asset relative to the value of all assets are, respectively: 16 Riskless Asset = 0.1600 16% 16+ 24 + 36 + 24 24 Assets X Z = 0.2400 24% each 16+ 24 + 36 + 24 36 Asset Y = 0.3600 36% 16+ 24 + 36 + 24 Among the risky assets the proportions are: 24 Assets X Z = 0.2857 28.57% each