博迪投资学第八版Chap005.pdf

RiskandReturn:PastandPrologue

1.The1%VaRwillbelessthan-30%.Aspercentileorprobabilityofareturndeclinessodoesthemagnitudeofthatreturn.

Thus,a1percentileprobabilitywillproduceasmallerVaRthana5percentileprobability.

2.Thegeometricreturnrepresentsacompoundinggrowthnumberandwillartificiallyinflatetheannualperformanceofthe

portfolio.

3.No.Sinceallitemsarepresentedinnominalfigures,theinputshouldalsousenominaldata.

4.Decrease.Typically,standarddeviationexceedsreturn.Thus,areductionof4%ineachwillartificiallydecreasethereturn

perunitofrisk.Toreturntotheproperriskreturnrelationshiptheportfoliowillneedtodecreasetheamountofriskfree

investments.

5.E(r)=[0.3?44%]+[0.4?14%]+[0.3?(–16%)]=14%

2=[0.3?(44–14)2]+[0.4?(14–14)2]+[0.3?(–16–14)2]=540σ=23.24%

Themeanisunchanged,butthestandarddeviationhasincreased.

6.

a.Theholdingperiodreturnsforthethreescenariosare:Boom:

(50–40+2)/40=0.30=30.00%

Normal:(43–40+1)/40=0.10=10.00%Recession:(34–40+0.50)/40=–0.1375=–13.75%

E(HPR)=[(1/3)?30%]+[(1/3)?10%]+[(1/3)?(–13.75%)]=8.75%σ2(HPR)=[(1/3)?(30–8.75)2]+[(1/3)?(10–8.75)2]+

[(1/3)?(–13.75–8.75)2]

=319.79

σ=79.319=17.88%

b.E(r)=(0.5?8.75%)+(0.5?4%)=6.375%

σ=0.5?17.88%=8.94%

7.

a.Time-weightedaveragereturnsarebasedonyear-by-yearratesofreturn.

YearReturn=[(capitalgains+dividend)/price]

2007-2008(110–100+4)/100=14.00%

2008-2009(90–110+4)/110=–14.55%

2009-2010(95–90+4)/90=10.00%

Arithmeticmean:3.15%

Geometricmean:2.33%

b.

TimeCashflowExplanation

0-300Purchaseofthreesharesat$100pershare

1-208Purchaseoftwosharesat$110,

plusdividendincomeonthreesharesheld

plussaleofoneshareat$90

3396Dividendsonfourshares,

plussaleoffourshar