威廉夏普投资学课后习题答案解析第6章.pptVIP

第五小组成员： 张宝发 段俞西 李毅力 刘橙 刘月 张玲 刘畅 ;Why are typical investors assumed to prefer portfolios on indifference curves lying to the northwest?;Why are the indifference curves of more risk-averse investors more steeply sloped than those of investors with less risk aversion?;;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% ;;;=13%*0.5+5%*(-0.5) =17%;; 18.Gibby Brock has estimated the following joint probability distribution of returens For investments in the stock of Lakeland Halfway Homes and Afton Brewery:;20. Given the following varianc-covariance matrix for three securities, as well as the percentage of the portfolio for each security, calculate the portfolio’s standard deviation.;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;a. =20%x20% x 1 x 12% x 12%+20% x 80% x 0.2 x 10% x 12%+80% x 20% x 0.2 x 10% x 12% +80% x 80%x 1 x 10% x 10% =0.007744 =8.8%;c. Assume that denotes the proportion of the portfolio’s initial invested in security A, and 1- denotes the proportion of the portfolio’s init