投资学第九章技术总结.ppt

1;2;第3至第5题中假定无风险利率为6%，市场收益率是1 6%。;;;;;7、如果rf＝6%， E(rM)＝1 4%， E(rP) ＝1 8%的资产组合的值等于多少？;;; 如果简单的C A P M模型是有效的，下列各题中哪些情形是有可能的，试说明之。每种情况单独考虑。9、;10;11;12;13;14;15;;;17;18;;19;;;;22、Karen Kay, a portfolio manager at Collins Asset Management, is using the capital asset pricing model for making recommendations to her clients. Her research department has developed the information shown in the following exhibit. a. Calculate expected return and alpha for each stock. b. Identify and justify which stock would be more appropriate for an investor who wants to i. add this stock to a well-diversified equity portfolio. ii. hold this stock as a single-stock portfolio.;B、i. Kay should recommend Stock X because of its positive alpha, compared to Stock Y, which has a negative alpha. In graphical terms, the expected return/risk profile for Stock X plots above the security market line (SML), while the profile for Stock Y plots below the SML. Also, depending on the individual risk preferences of Kay’s clients, the lower beta for Stock X may have a beneficial effect on overall portfolio risk.;ii. Kay should recommend Stock Y because it has higher forecasted return and lower standard deviation than Stock X. The respective Sharpe ratios for Stocks X and Y and the market index are: Stock X: (14% ? 5%)/36% = 0.25 Stock Y: (17% ? 5%)/25% = 0.48 Market index: (14% ? 5%)/15% = 0.60 The market index has an even more attractive Sharpe ratio than either of the individual stocks, but, given the choice between Stock X and Stock Y, Stock Y is the superior alternative. When a stock is held as a single stock portfolio, standard deviation is the relevant risk measure. For such a portfolio, beta as a risk measure is irrelevant. Although holding a single asset is not a typically recommended investment strategy, some investors may hold what is essentially a single-asset portfolio when they hold the stock of their employer company. For such investors, the relevance of standard deviation