(完整版)风险管理与金融机构约翰第二版答案.docxVIP

PAGE PAGE # PAGE PAGE # Solutions to Further Problems Risk Management and Financial Institutions Second Edition John C. Hull Chapter 1: In troducti on The impact of inv esti ng wi in the first inv estme nt and w2 = 1 -wi in the sec ond in vestme nt is show n in the table below. The range of possible risk-retur n trade-offs is show n in figure below. w1 W2 p p 0.0 1.0 12% 20% 0.2 0.8 11.2% 17.05% 0.4 0.6 10.4% 14.69% 0.6 0.4 9.6% 13.22% 0.8 0.2 8.8% 12.97% 1.0 0.0 8.0% 14.00% 0 0 C5 0/1 0.15 0 2 0 25 In this case the efficient frontier is as shown in the figure below. The standard dev