文件教程12投资组合管理参考第19章20问题19 22.pdfVIP

TUTORIAL12:PORTFOLIOMANAGEMENT

REFERENCE:CHAPTERS19and20

Questions:19.22,19.25,19.26,20.11,20.12,20.13

CS12–Whathasbeentheevidenceontheperformanceofmanagedfunds?Doesthisevidence

differforactivefundsandisthisperformanceinformationusefulforinvestors?

Q19-22aTheconceptofportfolioinsuranceallowsaninvestortosetafloorvaluefor

aportfolio.Thatis,thevalueoftheportfolioisnotallowedtofallbelowsome

pre-setlevel.Aputportfolioisusedforthispurposeasthevalueoftheputportfolio

movesinanoppositedirectiontothatoftheunderlyingportfoliovalue(ie.Thisis

oftendescribedbysaythatthe‘hedgeratioforaputisnegative’).

bCurrently,theworldequitiesindex,P,issetat1,000.Fromtheinformationgiven

inthequestion,putoptionswrittenontheworldequitiesindexarevaluedat100

timestheindexandsotoattaintherequiredfloorvaluefortheportfolioin3months

timetheinvestorbuysoneputoptionwithastrikeprice,X,of950indexpointsfor

each100Pdollarsinvestedintheportfolio.Iftheinvestorpurchases100ofthese

putoptionsthenthissetsafloorof$950,000onthevalueoftheportfolio.

cAtof3months,theworldmarketindexhasrisento1100.Theinsured

portfolioisnowworth$1,100,000,representingagaininvalueof$100,000.

However,eachputoptioncannotbeexercisedforapositivepayoff.Insteadthe

optionswillexpireworthlessandtheinvestorwillsimplymakealossequaltothe

premiumtimesthenumberofoptioncontractsontheinsurance(put)portfolio.

Theoverallgain(loss)willdependuponwhetherthecostoftheputoptionceeds

thegainontheinsu