投资学6单元题目及答案.docx

Problem1:Consider a risky portfolio. The end-of-year cash flow derived from the portfolio willbe either $70,000 or $200,000 with equal probabilities of .5. The alternative risk-freeinvestment in T-bills pays 6% per year.a. If you require a risk premium of 8%, how much will you be willing to pay for theportfolio?b. Suppose that the portfolio can be purchased for the amountyou found in (a). Whatwill be the expected rate of return on the portfolio?answers: a.The expected cash flow is: (0.5 * $70,000) + (0.5 *200,000) = $135,000With a risk premium of 8% over the risk-free rate of 6%, the required rate of return is 14%. Therefore, the present value of the portfolio is:$135,000/1.14 = $118,421b.If the portfolio is purchased for $118,421, and provides an expected cash inflow of $135,000, then the expected rate of return [E(r)] is derived as follows:$118,421*[1 + E(r)] = $135,000Therefore, E(r) =14%. The portfolio price is set to equate the expected rate or return with the required rate of return.Problem2:Consider a portfolio that offers an expected rate of return of 12% and a standard deviationof 18%. T-bills offer a risk-free 7% rate of return. What is the maximum level ofrisk aversion for which the risky portfolio is still preferred to bills?（Hint: use this utility function U =E(r) – 0.005A???）answers: When we specify utility by U =E(r) – 0.005A???, the utility level for T-bills is 7%. The utility level for the risky portfolio is: U = 12 – 0.005A? 182 = 12 – 1.62AIn order for the risky portfolio to be preferred to bills, the following inequality must hold:12 – 1.62A 7 A 5/1.62 = 3.09A must be less than 3.09 for the risky portfolio to be preferred to bills.Problem3:Draw the indifference curve in the expected return–standard deviation plane correspondingto a utility level of 5% for an investor with a risk aversion coefficient of 3.(Hint: Choose several possible standard deviations, ranging from 5% to 25%, and findthe expected rates of return providing a utility level