投资学精要(博迪)(第五版)习题答案英文版chapter56.pdfVIP

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投资学精要(博迪)(第五版)习题答案英文版chapter56.pdf

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Essentials of Investments (BKM 5th Ed.) Answers to Selected Problems – Lecture 3 Chapter 5: 2 6. c. For each portfolio: Utility = E(r) – (½ × 4 ×σ ) We choose the portfolio with the highest utility value. 7. d. When an investor is risk neutral, A = 0, so that the portfolio with the highest utility is the portfolio with the highest expected return. 8. b. 18. a) Expected cash flow: 0.5($50,000) + 0.5($150,000) = $100,000 HPR = (P - P )/P 1 0 0 0.15 = (100,000 - P )/P P = $86,956.52 0 0 0 b) HPR = (100,000 - 86956.52)/86956.52 = 15% c) A risk-premium of 15%, leads to an expected return of 15%+5%=20%. 0.20 = (100,000 - P )/P P = $83,333.00 0 0 0 d) There is an inverse relationship: price decreases as the risk premium increases. In order to earn a higher risk-premium (assuming the cash flows stay the same), you must be able to buy the security at a lower price. The investor requiring the 15% risk premium (20% HPR) is requiring a larger discount as compensation for risk. 19. a) E(R ) = 0.3(7%) + 0.7(17%) = 14% σ = 0.7(27%) = 18.9% P P b) T-Bills = 30.0% Stock A = 0.7(27%) = 18.9% (The total weight in the portfolio is 70%, and the Stock B = 0.7(33%) = 23.1% portfolio consists of 27% A, 33% B, and 40% C) Stock C = 0.7(40%) = 28.0% Total Portfolio = 100% c) Your Reward-to-variability = (R - R )/σ = (17% -