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Chapter06
Considerariskyportfolio.Theend-of-yearcashflowderivedfromtheportfoliowillbeeither$70,000or$200,000withequalprobabilitiesof.5.ThealternativeriskfreeinvestmentinT-billspays6%peryear.
Ifyourequireariskpremiumof8%,howmuchwillyoubewillingtopayfortheportfolio?
Supposethattheportfoliocanbepurchasedfortheamountyoufoundin( a).Whatwillbetheexpectedrateofreturnontheportfolio?
Nowsupposethatyourequireariskpremiumof12%.Whatisthepricethatyouwillbewillingtopay?
Comparing your answers to (a) and (c), what do you conclude about therelationshipbetweentherequiredriskpremiumonaportfolioandthepriceatwhichtheportfoliowillsell?
Usethefollowingdatainansweringquestions2,3,and4.
Basedontheutilityformulaabove,whichinvestmentwouldyouselectifyouwereriskaversewithA=4?
a.1 b.2 c.3 d.4
Basedontheutilityformulaabove,whichinvestmentwouldyouselectifyouwereriskneutral?
a.1b.2c.3d.4
Thevariable(A)intheutilityformularepresentsthe:
investor’sreturnrequirement.b.investor’saversiontorisk.c.certaintyequivalentrateoftheportfolio.d.preferenceforoneunitofreturnperfourunitsofrisk.
Chapter07-09
Considerthefollowinginformationaboutariskyportfoliothatyoumanage,anda
risk-freeasset:E(rP)=11%, P=15%,rf=5%.
Yourclientwantstoinvestaproportionofhertotalinvestmentbudgetinyourriskyfundtoprovideanexpectedrateofreturnonheroverallorcompleteportfolioequalto 8%. What proportion should she invest in the risky portfolio, P, and whatproportionintherisk-freeasset?
Whatwillbethestandarddeviationoftherateofreturnonherportfolio?
1
Anotherclientwantsthehighestreturnpossiblesubjecttotheconstraintthatyoulimithisstandarddeviationtobenomorethan12%.Whichclientismoreriskaverse?
Usethefollowinggraphtoanswerproblems.
Whichindifferencec
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