罗斯公司理财第九版第十一章课后答案对应版.docVIP

第十一章：收益和风险：资本资产定价模型 1.系统性风险通常是不可分散的，而非系统性风险是可分散的。但是，系统风险 是可以控制的，这需要很大的降低投资者的期望收益。 2.（1）系统性风险（2）非系统性风险（3）都有，但大多数是系统性风险（4） 非系统性风险（5）非系统性风险（6）系统性风险 3.否，应在两者之间 4.错误，单个资产的方差是对总风险的衡量。 5.是的，组合标准差会比组合中各种资产的标准差小，但是投资组合的贝塔系数 不会小于最小的贝塔值。 6. 可能为0，因为当贝塔值为0 时，贝塔值为0 的风险资产收益=无风险资产的收益，也可能存在负的贝塔值，此时风险资产收益小于无风险资产收益。 7.因为协方差可以衡量一种证券与组合中其他证券方差之间的关系。 8. 如果我们假设，在过去3 年市场并没有停留不变，那么南方公司的股价价格缺乏变化表明该股票要么有一个标准差或贝塔值非常接近零。德州仪器的股票价格变动大并不意味着该公司的贝塔值高，只能说德州仪器总风险很高。 9. 石油股票价格的大幅度波动并不表明这些股票是一个很差的投资。如果购买的石油股票是作为一个充分多元化的产品组合的一部分，它仅仅对整个投资组合做出了贡献。这种贡献是系统风险或β来衡量的。所以，是不恰当的。 10. The statement is false. If a security has a negative beta, investors would want to hold the asset to reduce the variability of their portfolios. Those assets will have expected returns that are lower than the risk-free rate. To see this, examine the Capital Asset Pricing Model: E(RS) = Rf + ?S[E(RM) – Rf] If ?S 0, then the E(RS) Rf 11. Total value = 95($53) + 120($29) = $8,515 The portfolio weight for each stock is: WeightA = 95($53)/$8,515 = .5913 WeightB = 120($29)/$8,515 = .4087 12.Total value = $1,900 + 2,300 = $4,200 So, the expected return of this portfolio is: E(Rp) = ($1,900/$4,200)(0.10) + ($2,300/$4,200)(0.15) = .1274 or 12.74% 13. E(Rp) = .40(.11) + .35(.17) + .25(.14) = .1385 or 13.85% 14. Here we are given the expected return of the portfolio and the expected return of each asset in the portfolio and are asked to find the weight of each asset. We can use the equation for the expected return of a portfolio to solve this problem. Since the total weight of a portfolio must equal 1 (100%), the weight of Stock Y must be one minus the weight of Stock X. Mathematically speaking, this means: E(Rp) = .129 = .16wX + .10(1 – wX) We can now solve this equation for the weight of Stock X as: .129 = .16wX + .10 – .10wX wX = 0.4833 So, the dollar amount invested in Stock X is the weight of Stock X times the total portfolio value, or: Investment in X = 0.4833($10,000) = $4,833.33 And the dollar amount invested