习题答案Principles of Corporate Finance第十版 Chapter8.docVIP

CHAPTER 8 Portfolio Theory and the Capital Asset Pricing Model Answers to Problem Sets 1. a. 7% b. 27% with perfect positive correlation; 1% with perfect negative correlation; 19.1% with no correlation c. See Figure 1 below d. No, measure risk by beta, not by standard deviation. 2. a. Portfolio A (higher expected return, same risk) b. Cannot say (depends on investor’s attitude -toward risk) c. Portfolio F (lower risk, same -expected return). 3. Sharpe ratio = 7.1/20.2 = .351 4. a. Figure 8.13b: Diversification reduces risk (e.g., a mixture of portfolios A and B would have less risk than the average of A and B). b. Those along line AB in Figure 9.13a.  See Figure 2 below 5. a. See Figure 3 below b. A, D, G c. F d. 15% in C e. Put 25/32 of your money in F and lend 7/32 at 12%: Expected return = 7/32 X 12 + 25/32 X 18 = 16.7%; standard deviation = 7/32 X 0 + (25/32) X 32 = 25%. If you could borrow without limit, you would achieve as high an expected return as you’d like, with correspondingly high risk, of course. 6. a. 4 + (1.41 X 6) = 12.5% b. Amazon: 4 + (2.16 X 6) = 17.0% c. Campbell Soup: 4 + (.30 X 6) = 5.8% d. Lower. If interest rate is 4%, r = 4 + (1.75 X 6) = 14.5%; if rate = 6%, r = 6 + (1.75 X 4) = 13.0% e. Higher. If interest rate is 4%, r = 4 + (.55 X 6) = 7.3%; if rate = 6%, r = 6 + (.55 X 4) 5 8.2% 7. a. True b. False (it offers twice the market risk premium) c. False 8. a. 7% b. 7 + 1(5) + 1(-1) + 1(2) = 13% c. 7 + 0(5) + 2(-1) + 0(2) = 5% d. 7 + 1(5) + (-1.5)(-1) + 1(2) = 15.5%. 9. a. False – investors demand higher expected rates of return on stocks with more nondiversifiable risk. False – a security with a beta of zero will offer the risk-free rate of return. False – the beta will be: (1/3 ( 0) + (2/3 ( 1) = 0.67 True True 10. In the following solution, security one is Campbell Soup and security two is Boe