Chapter 06
1. Consider a risky portfolio. The end-of-year cash flow derived from the portfolio will be either $70,000 or $200,000 with equal probabilities of .5. The alternative riskfree investment in T-bills pays 6% per year.
a. If you require a risk premium of 8%, how much will you be willing to pay for the portfolio?
bwet的比较级和最高级. Suppo that the portfolio can be purchad for the amount you found in (a).What will be the expected rate of return on the portfolio?
c. Now suppo that you require a risk premium of 12%. What is the price that you will be willing to pay?
d. Comparing your answers to (a) and (c), what do you conclude about the relationship between the required risk premium on a portfolio and the price at which the portfolio will ll?
U the following data in answering questions2,3, and 4.
2. Bad on the utility formula above, which investment would you lect if you were risk aver with A = 4?
a.1 b. 2 c. 3 d. 4
3.Bad on the utility formula above, which investment would you lect if you were risk neutral?
a步履蹒跚. 1 厌学学生怎么办b. 2 c. 3 d. 4
4. The variable (A) in the utility formula reprents the:
a. investor’s return requirement. b. investor’s aversion to risk. c. certainty equivalent rate of the portfolio. d. preference for one unit of return per four units of risk.
母亲节的礼物>人比黄花
Chapter 07-09
1. Consider the following information about a risky portfolio that you manage, and a risk-free ast: E(rP) =11%, P = 15%, rf = 5%.
a. Your client wants to invest a proportion of her total investment budget in your risky fund to provide an expected rate of return on her overall or complete portfolio equal to 8%. What proportion should she invest in the risky portfolio, P, and what proportion in the risk-free ast?
b. What will be the standard deviation of the rate of return on her portfolio?
c. Another client wants the highest return possible subject to the constraint that you limit his standard deviation to be no more than 12%. Which client is more risk aver?
U the following graph to answer problems.
2.Which indifference curve reprents the greatest level of utility that can be achieved by the investor?
a. 1 b. 2 c. 3 d. 4
3. Which point designates the optimal portfolio of risky asts?
a. E b. F c. G d. H
4. Given $100,000 to invest, what is the expected risk premium in dollars of investing in e
quities versus risk-free T-bills bad on the following table?
a. $13,000 b. $15,000科目一多少分及格 c. $18,000 d. $20,000
5. The change from a straight to a kinked capital allocation line is a result of the:
a. Reward-to-variability ratio increasing.
b. Borrowing rate exceeding the lendingrate.
c. Investor’s risk tolerance decreasing.
d. Increa in the portfolio proportion of the risk-free ast深圳社保补缴
6.You manage an equity fund with an expected risk premium of 10% and an expected sta
ndard deviation of 14%. The rate on Treasury bills is 6%. Your client choos to广式蒸鱼 invest $60,000 of her portfolio in your equity fund and $40,000 in a T-bill money market fund. What is the expected return and standard deviation of return on your client’s portfolio?
7.What is the reward-to-variability ratio for the equity fund in problem6?
a. .71 b. 1.00 c. 1.19 d. 1.91
8. Suppo that there are many stocks in the curity market and that the characteristics of Stocks A and B are given as follows:
Suppo that it is possible to borrow at the risk-free rate, rf. What must be the value of the risk-free rate? (Hint: Think about constructing a risk-free portfolio from Stocks A and B.)
9.Assume that expected returns and standard deviations for all curities (including the risk-free rate for borrowing and lending) are known. In this ca all investors will have the same optimal risky portfolio. (True or fal?)
10. The standard deviation of the portfolio is always equal to the weighted average of the standard deviations of the asts in the portfolio. (True or fal?)
11.Suppo you have a project that has a .7 chance of doubling your investment in a year and a .3 chance of halving your investment in a year. What is the standard deviation of the rate of return on this investment?
12. Suppo that you have $1 million and the following two opportunities from which to construct a portfolio:
a. Risk-free ast earning 12% per year.
b. Risky ast earning 30% per year with a standard deviation of 40%.
