投资学第七章习题答案
投资学课后习题与答案(博迪)_第6版
投资学习题第一篇投资学课后习题与答案乮博迪乯_第6版 由flyesun 从网络下载丆版权归原作者所有。
1. 假设你发现一只装有1 00亿美元的宝箱。
a. 这是实物资产还是金融资产？b. 社会财富会因此而增加吗？c. 你会更富有吗？d. 你能解释你回答b 、c 时的矛盾吗？有没有人因为这个发现而受损呢？2. Lanni Products 是一家新兴的计算机软件开发公司，它现有计算机设备价值30 000美元，以及由L a n n i 的所有者提供的20 000美元现金。
在下面的交易中，指明交易涉及的实物资产或(和)金融资产。
在交易过程中有金融资产的产生或损失吗？a. Lanni 公司向银行贷款。
它共获得50 000美元的现金，并且签发了一张票据保证3年内还款。
b. Lanni 公司使用这笔现金和它自有的20 000美元为其一新的财务计划软件开发提供融资。
c. L a n n i 公司将此软件产品卖给微软公司( M i c r o s o f t )，微软以它的品牌供应给公众，L a n n i 公司获得微软的股票1 500股作为报酬。
d. Lanni 公司以每股80美元的价格卖出微软的股票，并用所获部分资金偿还贷款。
3. 重新考虑第2题中的Lanni Products 公司。
a. 在它刚获得贷款时处理其资产负债表，它的实物资产占总资产的比率为多少？b. 在L a n n i 用70 000美元开发新产品后，处理资产负债表，实物资产占总资产比例又是多少？c. 在收到微软股票后的资产负债表中，实物资产占总资产的比例是多少？4. 检察金融机构的资产负债表，有形资产占总资产的比率为多少？对非金融公司这一比率又如何？为什么会有这样的差异？5. 20世纪6 0年代，美国政府对海外投资者所获得的在美国出售的债券的利息征收 3 0%预扣税(这项税收现已被取消)，这项措施和与此同时欧洲债券市场(美国公司在海外发行以美元计值的债券的市场)的成长有何关系？6. 见图1 -7，它显示了美国黄金证券的发行。
金德环《投资学》课后习题答案
金德环《投资学》课后习题答案习题答案第一章习题答案第二章习题答案练习题1:答案:(1),公司股票的预期收益率与标准差为:Er,，，,，，,0.570.350.2206，，，，，，，，A1/2222，， ,0.5760.3560.22068.72,,，,,，,,，，，，，，A，，(2),公司和,公司股票的收益之间的协方差为:Covrr,0.5762510.50.3561010.5,,,，,,,，，，，，，，，，，AB ，,,,,,0.22062510.590.5，，，，(3),公司和,公司股票的收益之间的相关系数为:Covrr,，，,90.5AB ,,,,,0.55AB，8.7218.90,,AB练习题2:答案:如果,,,的投资投资于,公司，余下,,,投资于,公司的股票，这样得出的资产组合的概率分布如下:钢生产正常年份钢生产异常年份股市为牛市股市为熊市概率 0.5 0.3 0.2 资产组合收益率(,) ,, ,., -2.5 得出资产组合均值和标准差为:Er=0.516+0.32.5+0.2-2.5=8.25，，，，，，，，，，组合1/22222，， ,=0.516-8.25+0.32.5-8.25+0.2-2.5-8.25+0.2-2.5-8.25=7.94，，，，，，，，组合，，1/22222,=0.518.9+0.58.72+20.50.5-90.5=7.94，，，，，，，，，，，，，,,组合，，练习题3:答案:尽管黄金投资独立看来似有股市控制，黄金仍然可以在一个分散化的资产组合中起作用。
因为黄金与股市收益的相关性很小，股票投资者可以通过将其部分资金投资于黄金来分散其资产组合的风险。
练习题4:答案:通过计算两个项目的变异系数来进行比较:0.075 CV==1.88A0.040.09 CV==0.9B0.1考虑到相对离散程度，投资项目B更有利。
练习题5:答案:R(1)回归方程解释能力到底如何的一种测度方法式看的总方差中可被方程解释的方差所it2,占的比例。
(完整版)投资学第10版课后习题答案Chap007
CHAPTER 7: OPTIMAL RISKY PORTFOLIOSPROBLEM SETS1.(a) and (e). Short-term rates and labor issues are factors that are common to all firms and therefore must be considered as market risk factors. The remaining three factors are unique to this corporation and are not a part of market risk.2.(a) and (c). After real estate is added to the portfolio, there are four asset classes in the portfolio: stocks, bonds, cash, and real estate. Portfolio variance now includes a variance term for real estate returns and a covariance term for real estate returns with returns for each of the other three asset classes. Therefore, portfolio risk is affected by the variance (or standard deviation) of real estate returns and thecorrelation between real estate returns and returns for each of the other asset classes. (Note that the correlation between real estate returns and returns for cash is most likely zero.)3.(a) Answer (a) is valid because it provides the definition of the minimum variance portfolio.4.The parameters of the opportunity set are:E (r S ) = 20%, E (r B ) = 12%, σS = 30%, σB = 15%, ρ = 0.10From the standard deviations and the correlation coefficient we generate the covariance matrix [note that ]:(,)S B S B Cov r r ρσσ=⨯⨯Bonds StocksBonds 22545Stocks45900The minimum-variance portfolio is computed as follows:w Min (S ) =1739.0)452(22590045225)(Cov 2)(Cov 222=⨯-+-=-+-B S B S B S B ,r r ,r r σσσw Min (B ) = 1 - 0.1739 = 0.8261The minimum variance portfolio mean and standard deviation are:E (r Min ) = (0.1739 × .20) + (0.8261 × .12) = .1339 = 13.39%σMin = 2/12222)],(Cov 2[B S B S B B S S r r w w w w ++σσ= [(0.17392 ⨯ 900) + (0.82612 ⨯ 225) + (2 ⨯ 0.1739 ⨯ 0.8261 ⨯ 45)]1/2= 13.92%5.Proportion in Stock Fund Proportion in Bond FundExpectedReturn Standard Deviation 0.00%100.00%12.00%15.00%17.3982.6113.3913.92minimum variance 20.0080.0013.6013.9440.0060.0015.2015.7045.1654.8415.6116.54tangency portfolio60.0040.0016.8019.5380.0020.0018.4024.48100.000.0020.0030.00Graph shown below.6.The above graph indicates that the optimal portfolio is the tangency portfolio with expected return approximately 15.6% and standard deviation approximately 16.5%.7.The proportion of the optimal risky portfolio invested in the stock fund is given by:222[()][()](,)[()][()][()()](,)S f B B f S B S S f B B f S S f B f S B E r r E r r Cov r r w E r r E r r E r r E r r Cov r r σσσ-⨯--⨯=-⨯+-⨯--+-⨯ [(.20.08)225][(.12.08)45]0.4516[(.20.08)225][(.12.08)900][(.20.08.12.08)45]-⨯--⨯==-⨯+-⨯--+-⨯10.45160.5484B w =-=The mean and standard deviation of the optimal risky portfolio are:E (r P ) = (0.4516 × .20) + (0.5484 × .12) = .1561 = 15.61% σp = [(0.45162 ⨯ 900) + (0.54842 ⨯ 225) + (2 ⨯ 0.4516 ⨯ 0.5484 × 45)]1/2= 16.54%8.The reward-to-volatility ratio of the optimal CAL is:().1561.080.4601.1654p fpE r r σ--==9.a.If you require that your portfolio yield an expected return of 14%, then you can find the corresponding standard deviation from the optimal CAL. The equation for this CAL is:()().080.4601p fC f C CPE r r E r r σσσ-=+=+If E (r C ) is equal to 14%, then the standard deviation of the portfolio is 13.04%.b.To find the proportion invested in the T-bill fund, remember that the mean of the complete portfolio (i.e., 14%) is an average of the T-bill rate and theoptimal combination of stocks and bonds (P ). Let y be the proportion invested in the portfolio P . The mean of any portfolio along the optimal CAL is:()(1)()[()].08(.1561.08)C f P f P f E r y r y E r r y E r r y =-⨯+⨯=+⨯-=+⨯-Setting E (r C ) = 14% we find: y = 0.7884 and (1 − y ) = 0.2119 (the proportion invested in the T-bill fund).To find the proportions invested in each of the funds, multiply 0.7884 times the respective proportions of stocks and bonds in the optimal risky portfolio:Proportion of stocks in complete portfolio = 0.7884 ⨯ 0.4516 = 0.3560Proportion of bonds in complete portfolio = 0.7884 ⨯ 0.5484 = 0.4323ing only the stock and bond funds to achieve a portfolio expected return of 14%, we must find the appropriate proportion in the stock fund (w S ) and the appropriate proportion in the bond fund (w B = 1 − w S ) as follows:0.14 = 0.20 × w S + 0.12 × (1 − w S ) = 0.12 + 0.08 × w S ⇒ w S = 0.25So the proportions are 25% invested in the stock fund and 75% in the bond fund. The standard deviation of this portfolio will be:σP = [(0.252 ⨯ 900) + (0.752 ⨯ 225) + (2 ⨯ 0.25 ⨯ 0.75 ⨯ 45)]1/2 = 14.13%This is considerably greater than the standard deviation of 13.04% achieved using T-bills and the optimal portfolio.11.a.Standard Deviation(%)0.005.0010.0015.0020.0025.00010203040Even though it seems that gold is dominated by stocks, gold might still be an attractive asset to hold as a part of a portfolio. If the correlation between gold and stocks is sufficiently low, gold will be held as a component in a portfolio, specifically, the optimal tangency portfolio.b.If the correlation between gold and stocks equals +1, then no one would holdgold. The optimal CAL would be composed of bills and stocks only. Since theset of risk/return combinations of stocks and gold would plot as a straight linewith a negative slope (see the following graph), these combinations would bedominated by the stock portfolio. Of course, this situation could not persist. If noone desired gold, its price would fall and its expected rate of return wouldincrease until it became sufficiently attractive to include in a portfolio.ll12.Since Stock A and Stock B are perfectly negatively correlated, a risk-free portfoliocan be created and the rate of return for this portfolio, in equilibrium, will be therisk-free rate. To find the proportions of this portfolio [with the proportion w Ainvested in Stock A and w B = (1 – w A) invested in Stock B], set the standarddeviation equal to zero. With perfect negative correlation, the portfolio standarddeviation is:σP = Absolute value [w AσA-w BσB]0 = 5 × w A− [10 ⨯ (1 – w A)] ⇒w A = 0.6667The expected rate of return for this risk-free portfolio is:E(r) = (0.6667 × 10) + (0.3333 × 15) = 11.667%Therefore, the risk-free rate is: 11.667%13.False. If the borrowing and lending rates are not identical, then, depending on the tastes of the individuals (that is, the shape of their indifference curves), borrowers and lenders could have different optimal risky portfolios.14.False. The portfolio standard deviation equals the weighted average of the component-asset standard deviations only in the special case that all assets are perfectly positively correlated. Otherwise, as the formula for portfolio standard deviation shows, the portfolio standard deviation is less than the weighted average of the component-asset standard deviations. The portfolio variance is a weighted sum of the elements in the covariance matrix, with the products of the portfolio proportions as weights.15.The probability distribution is:ProbabilityRate of Return0.7100%0.3−50Mean = [0.7 × 100%] + [0.3 × (-50%)] = 55%Variance = [0.7 × (100 − 55)2] + [0.3 × (-50 − 55)2] = 4725Standard deviation = 47251/2 = 68.74%16.σP = 30 = y × σ = 40 × y ⇒ y = 0.75E (r P ) = 12 + 0.75(30 − 12) = 25.5%17.The correct choice is (c). Intuitively, we note that since all stocks have the same expected rate of return and standard deviation, we choose the stock that will result in lowest risk. This is the stock that has the lowest correlation with Stock A.More formally, we note that when all stocks have the same expected rate of return, the optimal portfolio for any risk-averse investor is the global minimum variance portfolio (G). When the portfolio is restricted to Stock A and one additional stock, the objective is to find G for any pair that includes Stock A, and then select the combination with the lowest variance. With two stocks, I and J, the formula for the weights in G is:)(1)(),(Cov 2),(Cov )(222I w J w r r r r I w Min Min J I J I J I J Min -=-+-=σσσSince all standard deviations are equal to 20%:(,)400and ()()0.5I J I J Min Min Cov r r w I w J ρσσρ====This intuitive result is an implication of a property of any efficient frontier, namely, that the covariances of the global minimum variance portfolio with all other assets on the frontier are identical and equal to its own variance. (Otherwise, additional diversification would further reduce the variance.) In this case, the standard deviation of G(I, J) reduces to:1/2()[200(1)]Min IJ G σρ=⨯+This leads to the intuitive result that the desired addition would be the stock with the lowest correlation with Stock A, which is Stock D. The optimal portfolio is equally invested in Stock A and Stock D, and the standard deviation is 17.03%.18.No, the answer to Problem 17 would not change, at least as long as investors are not risk lovers. Risk neutral investors would not care which portfolio they held since all portfolios have an expected return of 8%.19.Yes, the answers to Problems 17 and 18 would change. The efficient frontier of risky assets is horizontal at 8%, so the optimal CAL runs from the risk-free rate through G. This implies risk-averse investors will just hold Treasury bills.20.Rearrange the table (converting rows to columns) and compute serial correlation results in the following table:Nominal RatesFor example: to compute serial correlation in decade nominal returns for large-company stocks, we set up the following two columns in an Excel spreadsheet. Then, use the Excel function “CORREL” to calculate the correlation for the data.Decade Previous 1930s -1.25%18.36%1940s 9.11%-1.25%1950s 19.41%9.11%1960s7.84%19.41%f 1970s 5.90%7.84%1980s 17.60% 5.90%1990s 18.20%17.60%Note that each correlation is based on only seven observations, so we cannot arrive at any statistically significant conclusions. Looking at the results, however, it appears that, with the exception of large-company stocks, there is persistent serial correlation. (This conclusion changes when we turn to real rates in the next problem.)21.The table for real rates (using the approximation of subtracting a decade’s average inflation from the decade’s average nominal return) is:Real RatesWhile the serial correlation in decade nominal returns seems to be positive, it appears that real rates are serially uncorrelated. The decade time series (although again too short for any definitive conclusions) suggest that real rates of return are independent from decade to decade.22. The 3-year risk premium for the S&P portfolio is, the 3-year risk premium for the hedge fund(1+.05)3‒1=0.1576 or 15.76%portfolio is S&P 3-year standard deviation is 0(1+.1)3‒1=0.3310 or 33.10%. . The hedge fund 3-year standard deviation is 0. S&P Sharpe ratio is 15.76/34.64 = 0.4550, and thehedge fund Sharpe ratio is 33.10/60.62 = 0.5460.23.With a ρ = 0, the optimal asset allocation isW S &P =,15.76×60.622‒33.10×(0×34.64×60.62)15.76×60.622+33.10×34.642‒[15.76+33.10]×(0×34.64×60.62)=0.5932.W Hedge =1‒0.5932=0.4068With these weights,ne iEσp=.59322×34.642+.40682×60.622+2×.5932×.4068×(0×=0.3210 or 32.10%The resulting Sharpe ratio is 22.81/32.10 = 0.7108. Greta has a risk aversion of A=3, Therefore, she will investyof her wealth in this risky portfolio. The resulting investment composition will be S&P: 0.7138 59.32 = 43.78% and Hedge: 0.7138 40.68 = 30.02%. The remaining 26% will be invested in the risk-free asset.24. With ρ = 0.3, the annual covariance is .25. S&P 3-year standard deviation is . The hedge fund 3-year standard deviation is . Therefore, the 3-yearcovariance is 0.26. With a ρ=.3, the optimal asset allocation isW S &P =,15.76×60.622‒33.10×(.3×34.64×60.62)15.76×60.622+33.10×34.642‒[15.76+33.10]×(.3×34.64×60.62)=0.5545.W Hedge =1‒0.5545=0.4455With these weights,Eσp=.55452×34.642+.44552×60.622+2×.5545×.4455×(.3×=0.3755 or 37.55%The resulting Sharpe ratio is 23.49/37.55 = 0.6256. Notice that the higher covariance results in a poorer Sharpe ratio. Greta will investyof her wealth in this risky portfolio. The resulting investment composition will be S&P: 0.5554 55.45 =30.79% and hedge: 0.5554 44.55= 24.74%. The remaining 44.46% will be invested in the risk-free asset.CFA PROBLEMS 1.a.Restricting the portfolio to 20 stocks, rather than 40 to 50 stocks, will increase the risk of the portfolio, but it is possible that the increase in risk will beminimal. Suppose that, for instance, the 50 stocks in a universe have the same standard deviation (σ) and the correlations between each pair are identical, with correlation coefficient ρ. Then, the covariance between each pair of stocks would be ρσ2, and the variance of an equally weighted portfolio would be:222ρσ1σ1σnn n P -+=The effect of the reduction in n on the second term on the right-hand side would be relatively small (since 49/50 is close to 19/20 and ρσ2 is smaller than σ2), but the denominator of the first term would be 20 instead of 50. For example, if σ = 45% and ρ = 0.2, then the standard deviation with 50 stocks would be 20.91%, and would rise to 22.05% when only 20 stocks are held. Such an increase might be acceptable if the expected return is increased sufficiently.b.Hennessy could contain the increase in risk by making sure that he maintains reasonable diversification among the 20 stocks that remain in his portfolio. This entails maintaining a low correlation among the remaining stocks. For example, in part (a), with ρ = 0.2, the increase in portfolio risk was minimal. As a practical matter, this means that Hennessy would have to spread hisportfolio among many industries; concentrating on just a few industries would result in higher correlations among the included stocks.2.Risk reduction benefits from diversification are not a linear function of the number of issues in the portfolio. Rather, the incremental benefits from additional diversification are most important when you are least diversified. Restricting Hennessy to 10 instead of 20 issues would increase the risk of his portfolio by a greater amount than would a reduction in the size of the portfolio from 30 to 20 stocks. In our example, restricting the number of stocks to 10 will increase the standard deviation to 23.81%. The 1.76% increase in standard deviation resulting from giving up 10 of 20 stocks is greater than the 1.14% increase that results from giving up 30 of 50 stocks.3.The point is well taken because the committee should be concerned with thevolatility of the entire portfolio. Since Hennessy’s portfolio is only one of six well-diversified portfolios and is smaller than the average, the concentration in fewer issues might have a minimal effect on the diversification of the total fund. Hence, unleashing Hennessy to do stock picking may be advantageous.4. d.Portfolio Y cannot be efficient because it is dominated by another portfolio.For example, Portfolio X has both higher expected return and lower standarddeviation.5. c.6. d.7. b.8. a.9. c.10.Since we do not have any information about expected returns, we focus exclusivelyon reducing variability. Stocks A and C have equal standard deviations, but thecorrelation of Stock B with Stock C (0.10) is less than that of Stock A with Stock B(0.90). Therefore, a portfolio composed of Stocks B and C will have lower total riskthan a portfolio composed of Stocks A and B.11.Fund D represents the single best addition to complement Stephenson's currentportfolio, given his selection criteria. Fund D’s expected return (14.0 percent) has the potential to increase the portfolio’s return somewhat. Fund D’s relatively lowcorrelation with his current portfolio (+0.65) indicates that Fund D will providegreater diversification benefits than any of the other alternatives except Fund B. The result of adding Fund D should be a portfolio with approximately the same expected return and somewhat lower volatility compared to the original portfolio.The other three funds have shortcomings in terms of expected return enhancement or volatility reduction through diversification. Fund A offers the potential forincreasing the portfolio’s return but is too highly correlated to provide substantialvolatility reduction benefits through diversification. Fund B provides substantialvolatility reduction through diversification benefits but is expected to generate areturn well below the current portfolio’s return. Fund C has the greatest potential to increase the portfolio’s return but is too highly correlated with the current portfolio to provide substantial volatility reduction benefits through diversification.12. a.Subscript OP refers to the original portfolio, ABC to the new stock, and NPto the new portfolio.i.E(r NP) = w OP E(r OP) + w ABC E(r ABC) = (0.9 ⨯ 0.67) + (0.1 ⨯ 1.25) = 0.728%ii.Cov = ρ⨯σOP⨯σABC = 0.40 ⨯ 2.37 ⨯ 2.95 = 2.7966 ≅ 2.80iii.σNP = [w OP2σOP2 + w ABC2σABC2 + 2 w OP w ABC(Cov OP , ABC)]1/2= [(0.9 2⨯ 2.372) + (0.12⨯ 2.952) + (2 ⨯ 0.9 ⨯ 0.1 ⨯ 2.80)]1/2= 2.2673% ≅ 2.27%b.Subscript OP refers to the original portfolio, GS to government securities, andNP to the new portfolio.i.E(r NP) = w OP E(r OP) + w GS E(r GS) = (0.9 ⨯ 0.67) + (0.1 ⨯ 0.42) = 0.645%ii.Cov = ρ⨯σOP⨯σGS = 0 ⨯ 2.37 ⨯ 0 = 0iii.σNP = [w OP2σOP2 + w GS2σGS2 + 2 w OP w GS (Cov OP , GS)]1/2= [(0.92⨯ 2.372) + (0.12⨯ 0) + (2 ⨯ 0.9 ⨯ 0.1 ⨯ 0)]1/2= 2.133% ≅ 2.13%c.Adding the risk-free government securities would result in a lower beta for thenew portfolio. The new portfolio beta will be a weighted average of theindividual security betas in the portfolio; the presence of the risk-free securitieswould lower that weighted average.d.The comment is not correct. Although the respective standard deviations andexpected returns for the two securities under consideration are equal, thecovariances between each security and the original portfolio are unknown, makingit impossible to draw the conclusion stated. For instance, if the covariances aredifferent, selecting one security over the other may result in a lower standarddeviation for the portfolio as a whole. In such a case, that security would be thepreferred investment, assuming all other factors are equal.e.i. Grace clearly expressed the sentiment that the risk of loss was more importantto her than the opportunity for return. Using variance (or standard deviation) as ameasure of risk in her case has a serious limitation because standard deviationdoes not distinguish between positive and negative price movements.ii. Two alternative risk measures that could be used instead of variance are:Range of returns, which considers the highest and lowest expected returns inthe future period, with a larger range being a sign of greater variability andtherefore of greater risk.Semivariance can be used to measure expected deviations of returns below themean, or some other benchmark, such as zero.Either of these measures would potentially be superior to variance for Grace.Range of returns would help to highlight the full spectrum of risk she isassuming, especially the downside portion of the range about which she is soconcerned. Semivariance would also be effective, because it implicitlyassumes that the investor wants to minimize the likelihood of returns fallingbelow some target rate; in Grace’s case, the target rate would be set at zero (toprotect against negative returns).13. a.Systematic risk refers to fluctuations in asset prices caused by macroeconomicfactors that are common to all risky assets; hence systematic risk is oftenreferred to as market risk. Examples of systematic risk factors include thebusiness cycle, inflation, monetary policy, fiscal policy, and technologicalchanges.Firm-specific risk refers to fluctuations in asset prices caused by factors thatare independent of the market, such as industry characteristics or firmcharacteristics. Examples of firm-specific risk factors include litigation,patents, management, operating cash flow changes, and financial leverage.b.Trudy should explain to the client that picking only the top five best ideaswould most likely result in the client holding a much more risky portfolio. Thetotal risk of a portfolio, or portfolio variance, is the combination of systematicrisk and firm-specific risk.The systematic component depends on the sensitivity of the individual assetsto market movements as measured by beta. Assuming the portfolio is welldiversified, the number of assets will not affect the systematic risk componentof portfolio variance. The portfolio beta depends on the individual securitybetas and the portfolio weights of those securities.On the other hand, the components of firm-specific risk (sometimes callednonsystematic risk) are not perfectly positively correlated with each other and,as more assets are added to the portfolio, those additional assets tend to reduceportfolio risk. Hence, increasing the number of securities in a portfolioreduces firm-specific risk. For example, a patent expiration for one companywould not affect the other securities in the portfolio. An increase in oil pricesis likely to cause a drop in the price of an airline stock but will likely result inan increase in the price of an energy stock. As the number of randomlyselected securities increases, the total risk (variance) of the portfolioapproaches its systematic variance.。
西财《投资学》教学资料包 课后习题答案 第七章
第七章证券交易市场一、思考题1. 简述证券交易市场与证券发行市场的关系。
（1）证券交易市场对证券发行市场具有依赖性（2）证券交易市场促进了证券发行市场的发展2. 证券上市的概念、条件与意义。
（1）证券上市又称交易上市，是指已公开发行的证券经过证券交易所批准在交易所内公开挂牌买卖。
（2）各国证券法对证券上市的条件规定不同，但基本标准大致相同，通常包括上市公司的资本额、资本结构、赢利能力、偿债能力、股权分散状况、公司财务情况、开业时间等。
（3）证券上市的意义重大。
对于发行人来说，证券上市提高了证券的流通性和变现力，解决了发行人追求资金的长期稳定性和投资人希望证券的及时获利性的矛盾，为短期资金加入长期证券投资提供了可能，扩大了发行人的筹资来源。
证券上市后，也可提高发行人的知名度，扩大发行人的市场地位和影响力。
此外，证券价格的变动，可形成对公司业绩的一种市场评价机制。
这迫使发行人建立规范的法人治理结构，努力经营，为投资者提供理想的回报。
对于投资者而言，证券上市提供了一个连续的、便利的、低成本的买卖证券的可能，发行人持续信息披露为投资者决策提供了依据。
3. 证券交易所有哪两种类型？（1）公司制证券交易所（2）会员制证券交易所4. 比较证券场内交易方式与场外交易方式的利与弊。
场内交易：又称交易所交易，指所有的供求方集中在交易所进行竞价交易的交易方式。
这种交易方式具有交易所向交易参与者收取保证金、同时负责进行清算和承担履约担保责任的特点。
场外交易：又称柜台买卖或称店头市场，英文简称为 OTC (Over-The-Counter)。
有价证券不在集中市场上以竞价的方式买卖，而在证券商的营业柜台以议价的方式进行的交易行为，称作场外交易。
由柜台买卖所形成的市场，称为场外交易市场。
场外交易市场是一种松散的、没有买卖集中地点的市场，交易由为数众多的交易商和经纪商用电话、电报或电传进行。
美国场外交易市场买卖的证券，既有在证券交易所挂牌上市的证券，也有未挂牌上市的证券。
投资学第7章习题及答案
课后习题1.简述债券的定义及种类。
2.影响债券定价的因素有哪些？这些因素如何影响债券价值的？3.简述债券定价原理。
4.简述常见的债券收益率。
5.什么是债券的时间价值？6.假定A公司发行了两种具有相同息票率和到期日的债券，一种是可赎回的，而另一种是不可赎回的，哪一种售价更高？7.有一30年期、息票率为8%的债券，计算其在市场半年利率为3%时的价格。
比较利率下降所造成的资本利得和当利率上升到5%时的资本损失。
8.两种10年期债券的到期收益率目前均为7%，各自的赎回价格皆为1100美元。
其中之一的息票率为6%，另一种为8%。
为简单起见，假定在债券的预期支付现值超过赎回价格时立即赎回。
如果市场利率突然降至6%，每种债券的资本利得分别是多少？第七章本章习题答案1. 债券（bond）是以借贷协议形式发行的证券。
借者为获取一定量的现金而向贷者发行（如出售）债券，债券是借者的“借据”。
这张借据使发行者有法律责任，需在指定日期向债券持有人支付特定款额。
典型的息票债券使发行者有义务在债券有效期内向持有人每半年付息一次，这叫做息票支付，因为在计算机发明之前，大多数债券带有息票，投资者将其剪下并寄给发行者索求利息。
债券到期时，发行者再付清面值（par value, face value）。
债券的息票率（coupon rate）决定了所需支付的利息：每年的支付按息票率乘以债券面值计算。
息票率、到期日和面值是债券契约（bond indenture）的各个组成部分，债券契约是债券发行者与持有者之间的合约。
政府债券的发行主体是政府。
政府债券是政府主体为筹措财政资金，以政府信用为基础向社会发行，承诺到期还本付息的一种债券凭证。
政府债券又分为中央政府债券和地方政府债券。
中央政府债券又称为国债。
公司债券，是公司按照法定程序发行，约定在一定期限内还本付息的债权债务凭证。
公司债券代表着发债的公司和投资者之间的一种债权债务关系。
债券持有人是公司的债权人, 不是所有者，无权参与或干涉公司经营管理，但债券持有人有权按期收回本息。
张元萍主编《投资学》课后习题答案
张元萍《投资学》课后习题答案第一章能力训练答案选择题1 2 3 4 5 6A B A D D C7 8 9 10 11 12B AC ABC ABD ABCD13 14 15 16 17ABCD ACD BD AB BD思考题1．投资就是投资主体、投资目的、投资方式和行为内在联系的统一，这充分体现了投资必然与所有权相联系的本质特征。
也就是说，投资是要素投入权、资产所有权、收益占有权的统一。
这是因为：①反映投资与所有权联系的三权统一的本质特征，适用于商品市场经济的一切时空。
从时间上看，无论是商品经济发展的低级阶段还是高度发达的市场经济阶段，投资都无一例外地是要素投入权、资产所有权、收益占有权的统一；从空间上看，无论是在中国还是外国乃至全球范围，投资都无一例外地是这三权的高度统一。
②反映投资与所有权联系的三权统一的本质特征，适用于任何投资种类和形式。
尽管投资的类型多种多样，投资的形式千差万别，但它们都是投资的三权统一。
③反映投资与所有权联系的三权统一本质特征贯穿于投资运动的全过程。
投资的全过程是从投入要素形成资产开始到投入生产，生产出成果，最后凭借对资产的所有权获取收益。
这一全过程实际上都是投资三权统一的实现过程。
④反映投资与所有权联系的三权统一本质特征，是投资区别于其他经济活动的根本标志。
投资的这种本质特征决定着投资的目的和动机，规定着投资的发展方向，决定着投资的运动规律。
这些都使投资与其他经济活动区别开来，从而构成独立的经济范畴和研究领域。
2．金融投资在整个社会经济中的作用来看，金融投资的功能具有共性，主要有以下几个方面：（1）筹资与投资的功能。
这是金融投资最基本的功能。
筹资是金融商品服务筹资主体的功能，投资是金融商品服务投资主体的功能。
社会经济发展的最终决定力量是其物质技术基础，物质技术基础的不断扩大、提高必须依靠实业投资。
（2）分散化与多元化功能。
金融投资促进了投资权力和投资风险分散化，同时又创造了多元化的投资主体集合。
投资学习题习题及答案
第一章投资环境1.假设你发现一只装有100亿美元的宝箱。
a.这是实物资产还是金融资产？b.社会财富会因此而增加吗？c.你会更富有吗？d.你能解释你回答b、c时的矛盾吗？有没有人因为这个发现而受损呢？a. 现金是金融资产，因为它是政府的债务。
b. 不对。
现金并不能直接增加经济的生产能力。
c. 是。
你可以比以前买入更多的产品和服务。
d. 如果经济已经是按其最大能力运行了，现在你要用这1 0 0亿美元使购买力有一额外增加，则你所增加的购买商品的能力必须以其他人购买力的下降为代价，因此，经济中其他人会因为你的发现而受损。
nni Products 是一家新兴的计算机软件开发公司，它现有计算机设备价值30000美元，以及由Lanni的所有者提供的20000美元现金。
在下面地交易中，指明交易涉及的实物资产或（和）金融资产。
在交易过程中有金融资产的产生或损失吗？nni公司向银行贷款。
它共获得50000美元的现金，并且签发了一张票据保证3年内还款。
nni公司使用这笔现金和它自有的20000美元为其一新的财务计划软件开发提供融资。
nni公司将此软件产品卖给微软公司（Microsoft）,微软以它的品牌供应给公众，Lanni公司获得微软的股票1500股作为报酬。
nni公司以每股80元的价格卖出微软的股票，并用所获部分资金还贷款。
a. 银行贷款是L a n n i公司的金融债务；相反的，L a n n i的借据是银行的金融资产。
L a n n i获得的现金是金融资产，新产生的金融资产是Lanni 公司签发的票据(即公司对银行的借据)。
b. L a n n i公司将其金融资产(现金)转拨给其软件开发商，作为回报，它将获得一项真实资产，即软件成品。
没有任何金融资产产生或消失；现金只不过是简单地从一方转移给了另一方。
c. L a n n i公司将其真实资产(软件)提供给微软公司以获得一项金融资产—微软的股票。
由于微软公司是通过发行新股来向L a n n i支付的，这就意味着新的金融资产的产生。
投资学6~7章课后习题
证券投资学课后作业张娟管实1101 U201113738第六章风险厌恶与风险资产配置1.选e. 风险厌恶程度高的投资者会选择风险小的投资组合,或者说更愿意持有无风险资产.更高的风险溢价听着可能会很有吸引力,但是其风险一般也会很大,不能抵消掉风险厌恶者的恐惧;风险更高,那风险厌恶程度高的投资者更加不会考虑;夏普比率是说单位风险所获得的风险溢价，虽然夏普比率高，表明单位风险获得的风险溢价高，但是对于风险厌恶者来说，总的风险很高，那么他们同样会拒绝。
另外，夏普比率没有基准点，其大小本身没有意义，只有在与其他组合的比较中才有意义。
2.选b. 由夏普比率的公式S=E(r p)−r f B,当借入利率r f B升高时，若其它保持不变，σp则夏普比率升高。
3.如果预测股票市场的波动性增大，则说明其风险增大；假设投资者的风险容忍度不变，投资比例不变，那么预期收益会增加。
根据6-7的公式得出的。
13. E(r c)=70%*18%+30%*8%=15%；σc=70%∗28%=19.6%14.15.我的报酬-波动比率为（0.18-0.8）/0.28=0.3571. 客户的报酬-波动比率和我的一样。
斜率为0.357117.a. y=0.8b. 标准差为22.4%18.当标准差不大于18%时，投资比例y<=0.18/0.28=0.6429，最大投资收益为0.6429*0.18+0.3571*0.08=0.1443=14.43%,其中A=3.5，解得y∗=0.3644，即36.44%投资于风险资产，19.y∗=E(r p)−r fAσP263.56%投资于无风险资产。
20. a. y∗=0.4578，即45.78%投资于股票，54.22%投资于短期国债。
b. y∗=0.3080，即30.8%投资于股票，69.2%投资于短期国债。
c.但投资者的风险厌恶程度相等时，风险越大，投资于无风险资产的比重变大。
21.a. 0.5b. 7.5%c. 标准差不超过12%，要想收益最大化，则令标准差为12%，算出y=0.12/0.15=0.822.y=0.5, E(r c)=0.5∗12%+0.5∗5%=8.5%23分别有两条无差异曲线与上面这条折线的上下部分相切。
投资学习题解答
D
24
第五章 无风险证券的投资价值
• 补充5： • 六个月期国库券的即期利率（年利率）为4%，一年期国库券的即期利
率为5%，问六个月后隐含的六个月远期利率是多少？ • 解：利率是年利，但是支付方式是半年一次。因此，一年期债券每期
的即期利率为2.5%，而6个月债券则是2%。半年的远期利率为： • 1+f =1.025*1.025/1.02=1.03 • 这意味着远期利率是3%/半年，或者6%/年。
第五章 无风险证券的投资价值
• 4．某投资者2002年8月1日购入2005年8月1日到期偿还的面值100元的贴现债，期望报酬率 为8%，该债券在购入日的价值评估为多少？
D
19
第五章 无风险证券的投资价值
• 解：
V 0(1 F r)n (1 18% 03 0)7.9 38
D
20
第五章 无风险证券的投资价值
D
5
第四章 证券市场及期运行
• 解： • 5000+6000+8000+4000+7000=30000
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D
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第四章 证券市场及期运行
• 5．现假定题3中五只股票基期的收盘价分别为8元、16元、9元、7元和6元，请分别用平均 法、综合法和加权综合法计算股价指数。
D
7
第四章 证券市场及期运行
• 解：（1）平均法
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威廉夏普 投资学课后习题答案解析7第七章
1. Because very few securities will exhibit perfectly positive correlation,diversification will tend to reduce portfolio risk. Thus, for any given level of expected return, one would expect that portfolios will exhibit lower risk (lie further to the west in the feasible set) than individual portfolios (which will therefore lie to the east in the feasible set).2. Diversified portfolios are more efficient than individual securities. That is,diversified portfolios provide the investor with higher expected returns for given levels of risk and/or lower risk for given levels of expected return when compared with individual securities.Diagrammatically, individual securities will lie in the eastern portion of the feasible set. Hence they are dominated by diversified portfolios, which lie in the northwestern portion of the feasible set, including those on the efficient set.3. The macroeconomic forces that impact the U.S. economy tend to have a strongeffect on the earnings (and, hence, stock prices) of all domestic corporations, although the magnitude of this effect will vary among industries and specific firms.For example, a recession causes most companies to experience a downturn in earnings. While some companies may be more severely affected than others, nevertheless, the broad influence of a recession on general economic activity likely results in most companies' stocks performing poorly.Companies whose stocks would be expected to have a high positive covariance are auto and steel companies. When auto sales are strong (weak), the demand for steel generally rises (falls). The earnings of companies in both industries would rise and fall at roughly the same time and this movement would likely be anticipated by the earlier rise and fall of their stocks' prices.Companies whose stocks would be expected to have a low covariance are banks and gold mining firms. Rising interest rates and poor business conditions generally produce declining bank earnings. At the same time, a pessimistic economic outlook often causes investors to increase their demand for gold, which increases the price of gold and, therefore, the earnings of gold mining firms. The result is that the stock prices of banks and gold mining firms will not likely move in the same direction.4. It is the fact that all stocks do not have high positive covariances that causesdiversification to benefit the investor. That is, by diversifying, investors can reduce portfolio risk and thereby create more efficient portfolios. If stocks did have high positive covariances, then holding a well-diversified portfolio would not result in meaningful reductions in risk relative to holding individual securities.5. If the security in question had significant negative correlation with the rest of thesecurities in the portfolio, Mule might consider purchasing it even though it had anegative expected return. The diversifying nature of the security might reduce the risk of the portfolio sufficiently to make it attractive despite its inferior return potential.6. Given the expected returns and variance-covariance estimates for all securities, aninvestor can construct the efficient set. This information, combined with the unique risk-return preferences of the investor, allows the investor to determine his or her optimal portfolio. Diagrammatically, this optimal portfolio lies at the point of tangency between the investor's indifference curves and the efficient set.7. The standard deviation of a two-security portfolio is given by:[]σσσρσσp A A B B A B AB A B X X X X =++22122/In Dode's case:= [(.35)²(20)² + (.65)²(25)² + 2(.35)(.65)(20)(25) 12]½= [49 + 264 + 22812]½The portfolio's standard deviation will be at a minimum when the correlation between securities A and B is -1.0. That is:= [49 + 264 - 228]½= 9.2%The portfolio's standard deviation will be at a maximum when the correlation between securities A and B is +1.0. That is:= [49 + 264 + 228]½= 23.3%9.With a 12% expected return on the market index, the market model would imply that the expected return on Leslie's portfolio would be: r P = 1.5% + .90 ⨯ 12.0%= 12.3%10. Beta, as derived from the market model, is the slope of the regression line relatingthe return on a security (or portfolio) to the return on a market index.High beta stocks are termed "aggressive" because they will tend to produce morevolatile returns than the market index. When the market produces a positive return the high beta security will produce an even higher positive return. When the market generates a negative return the high beta security will produce an even lower negative return.Conversely, low beta securities are termed "defensive" because they tend to berelatively less sensitive to market moves. When the market produces a positive return, the low beta security's return will be less positive. When the market produces a negative return the low beta security will produce a less negative return.11.Estimating the slope of the characteristic line from the graph gives a beta value ofroughly 0.5 for Glenwood City Properties.13. The most important "complexity" potentially undermining the predictive power ofthe market model is that other factors besides the return on the market index may be closely associated with a security's return. For example, the return on General Motors stock may be associated with economic factors that affect primarily the auto industry. Ignoring those factors decreases the ability to effectively "explain" the return on General Motors stock through the market model.Further, the market model is based solely on the historical relationship between asecurity's return and the return on the market index. To the extent that relationship changes over time, the market model estimated over a past period may not predict the future well.In addition, the statistical technique used to generate the market model for aspecific security provides only an estimate of the relationship between the security's return and that of the market index. The estimation process is subject to sampling error.15. The market model defines a stock's return as:r i = i + ßi r I + iIn the case of Lyndon stock over the five years, the random error term can be -5510-10-5051015Market indexReturnGlenwood City Returncalculated as follows (assuming a 0% intercept term):1 = 17.2 - [(1.2) ⨯ (14.0)] = 0.42 = -3.1 - [(1.2) ⨯ (-3.0)] = 0.53 = 13.3 - [(1.2) ⨯ (10.0)] = 1.34 = 28.5 - [(1.2) ⨯ (25.0)] = -1.55 = 9.8 - [(1.2) ⨯ ( 8.0)] = 0.2The average random error term is: Average = (0.4 + 0.5 + 1.3 - 1.5 + 0.2)/5= 0.2The standard deviation of the random error term is therefore:= {[(0.4 - 0.2)² + (0.5 - 0.2)² + (1.3 - 0.2)²+ (-1.5 - 0.2)² + (0.2 - 0.2)²]/(5-1)}½= {(.04 + .09 + 1.21 + 2.89 + 0)/4}½= 1.03%16 The market risk of a portfolio depends on events that influence all securities tosome degree. That is, these events are systematic. Because all securities are affected by these systematic events, diversifying a portfolio will not reduce exposure to them. Only if the securities added to a portfolio had lower sensitivities to systematic events would diversification reduce market risk. But there is no reason to assume that randomly selected securities will have such lower sensitivities.The unique risk of a portfolio depends on events specific to individual securities comprising the portfolio. These events are unsystematic in the sense that an event that impacts one security (in either a good or bad sense) is not expected to impact other securities. As a result forming a diversified portfolio tends to cause the net impact of these unsystematic events to cancel each other out. The more diversified is the portfolio, the greater will be this canceling effect, and the lower is the portfolio's unique risk.Mathematically:σβσσεp i i n i I i i i n X X =⎛⎝ ⎫⎭⎪+⎡⎣⎢⎢⎤⎦⎥⎥==∑∑12222112/Looking at the market risk term:X i i i n I βσ=∑⎛⎝ ⎫⎭⎪122 Clearly, σI 2 is unaffected by diversification. Further, the term X i ßi is merely the average beta of the securities in the portfolio. Again, it is not affected by diversification. Thus market risk cannot be reduced by diversification.Looking at the unique risk term:X i i i n 221σε=∑ As the number of securities increases, X i 2 becomes small very quickly, while σεi 2remains roughly constant. Thus the unique risk term approaches zero as diversification increases.17. The beta of a portfolio is defined as the weighted average of the componentsecurities' betas. In the case of Siggy's portfolio:ββP i i i X ==∑13= (.30 ⨯ 1.20) + (.50 ⨯ 1.05) + (.20 ⨯ 0.90)= 1.07Further, the standard deviation of a portfolio can be expressed as:()σβσσεp P I p =+22212/= [(1.07)²(18)² + (.30)²(5.0)² +(.50)²(8.0)²+ (.20)²(2.0)²]½= [370.9 + 2.3 + 16.0 + 0.2]½= [389.4]½ = 19.7%18.The total risk of a portfolio can be expressed as:σβσσεp p I p =+222Further, the unique risk (σεp 2) is the weighted average of the unique risks of the portfolio's individual securities. In the case of the first portfolio with four equal-weighted securities:()()σεp i 2221430025=⨯=∑..= 56.25 ⨯ 4 = 225.0Therefore the total risk of the first portfolio is:0.225)20()00.1(2221+⨯=σ= 625.01 = 25.0%In the case of the second portfolio with ten equal-weighted securities:()()σεp i 22211030010=⨯=∑..= 9.0 ⨯ 10 = 90.0Therefore the total risk of the second portfolio is: σ222210020900=⨯+(.)().= 490.0= 22.1% 2。
《投资学》习题及其参考答案(中南财经政法大学)
《投资学》习题及其参考答案《投资学》习题第1章投资概述《》一、填空题1、投资所形成的资本可分为和。
2、资本是具有保值或增值功能的。
3、按照资本存在形态不同，可将资本分为、、、等四类。
4、根据投资所形成资产的形态不同，可以将投资分为、、三类。
5、按研究问题的目的不同，可将投资分成不同的类别。
按照投资主体不同，投资可分为、、、四类。
6、从生产性投资的每一次循环来，一个投资运动周期要经历、、、等四个阶段。
二、判断题1、资本可以有各种表现形态，但必须有价值。
（）2、无形资本不具备实物形态，却能带来收益，在本质上属于真实资本范畴。
（）3、证券投资是以实物投资为基础的，是实物投资活动的延伸。
（）4、直接投资是实物投资。
（）5、投机在证券交易中既有积极作用，又有消极作用。
（）6、投资所有者主体、投资决策主体、投资实施主体、投资存量经营主体是可以分离的。
（）三、多项选择题1、投资主体包括（）A．投资所有者主体B．投资决策主体C．投资实施主体D．投资存量经营主体E．投资收益主体2、下列属于真实资本有（）A．机器设备B．房地产C．黄金D．股票E．定期存单3、下列属于直接投资的有（）A．企业设立新工厂B．某公司收购另一家公司51%的股权C．居民个人购买1000股某公司股票D．发放长期贷款而不参与被贷款企业的经营活动E．企业投资于政府债券4、下列属于非法投机活动是（）A．抢帽子B．套利C．买空卖空D．操纵市场E．内幕交易四、名词解释投资投资主体产业投资证券投资直接投资间接投资五、简答题1、怎样全面、科学的理解投资的内涵？2、投资有哪些特点？3、投资的运动过程是怎样的？4、投资学的研究对象是什么？5、投资学的研究内容是什么？6、试比较主要西方投资流派理论的异同？第2章市场经济与投资决定一、填空题1、投资制度主要由、、等三大要素构成。
2、一般而言，投资制度分为和两类。
3、投资主体可以按照多种标准进行分类，一种较为常用的分类方法是根据其进行投资活动的目标，把投资主体划分为和。
投资学第7章习题及答案
课后习题1.简述债券的定义及种类。
2.影响债券定价的因素有哪些这些因素如何影响债券价值的3.简述债券定价原理。
4.简述常见的债券收益率。
5.什么是债券的时间价值6.假定A公司发行了两种具有相同息票率和到期日的债券，一种是可赎回的，而另一种是不可赎回的，哪一种售价更高7.有一30年期、息票率为8%的债券，计算其在市场半年利率为3%时的价格。
比较利率下降所造成的资本利得和当利率上升到5%时的资本损失。
8.两种10年期债券的到期收益率目前均为7%，各自的赎回价格皆为1100美元。
其中之一的息票率为6%，另一种为8%。
为简单起见，假定在债券的预期支付现值超过赎回价格时立即赎回。
如果市场利率突然降至6%，每种债券的资本利得分别是多少第七章本章习题答案1. 债券（bond）是以借贷协议形式发行的证券。
借者为获取一定量的现金而向贷者发行（如出售）债券，债券是借者的“借据”。
这张借据使发行者有法律责任，需在指定日期向债券持有人支付特定款额。
典型的息票债券使发行者有义务在债券有效期内向持有人每半年付息一次，这叫做息票支付，因为在计算机发明之前，大多数债券带有息票，投资者将其剪下并寄给发行者索求利息。
债券到期时，发行者再付清面值（par value, face value）。
债券的息票率（coupon rate）决定了所需支付的利息：每年的支付按息票率乘以债券面值计算。
息票率、到期日和面值是债券契约（bond indenture）的各个组成部分，债券契约是债券发行者与持有者之间的合约。
政府债券的发行主体是政府。
政府债券是政府主体为筹措财政资金，以政府信用为基础向社会发行，承诺到期还本付息的一种债券凭证。
政府债券又分为中央政府债券和地方政府债券。
中央政府债券又称为国债。
公司债券，是公司按照法定程序发行，约定在一定期限内还本付息的债权债务凭证。
公司债券代表着发债的公司和投资者之间的一种债权债务关系。
债券持有人是公司的债权人, 不是所有者，无权参与或干涉公司经营管理，但债券持有人有权按期收回本息。
投资学第二次作业答案讲解
由公式：
图：通过回归获得证券特征线
可得：
第八章 指数模型
第8章，习题：第9~14题
用以下数据解9~14题，假设指数模型回归使用的是超额收益。 RA = 3% + 0.7RM + eA RB = -2% + 1.2RM + eB σM = 20%；R-squareA = 0.20；R-square B = 0.12 10.将每只股票的方差分解为系统性和公司特定的两个部分。
10
20
190 200
第7章 最优风险资产组合
第7章，习题：第12题；第7章，CFA考题：第1~4题
4.下面哪一种投资组合不属于马克维茨描述的有效边界（见表 7-9） 表 7-9 投资组合 a. b. c. d. W X Z Y 期望收益（%） 15 12 5 9
预期收益率（%）
标准差（%） 36 15 7 21
股票A的系统风险： 股票A的公司特定风险：980 – 196 = 784 股票B的系统风险： 股票B的公司特定风险：4800 – 576 = 4224
图：系统性风险和公司特定风险
第八章 指数模型
第8章，习题：第9~14题
用以下数据解9~14题，假设指数模型回归使用的是超额收益。 RA = 3% + 0.7RM + eA RB = -2% + 1.2RM + eB σM = 20%；R-squareA = 0.20；R-square B = 0.12 11.两只股票之间的协方差和相关系数是多少？
假设可以以无风险利率借入资金，则无风险收益率是多少（由A和B构造）？
图：组合的预期收益率函数
30 25 20 15
由组合方差公式：
投资学课后练习答案(贺显南版)
投资学练习答案导论2.A3.ABCDE4.正确第一至第四章习题1.公司剩余盈利2.固定、累积3.C4.D5.C6.C7.正确8.错误9.A 11.C 12.C 13.D14.AD 15.B 16A 17.B 18.D 20.C 21.B22.A 23.D 24.B 26.A 29.C 30.C 31.A32.C 33.错误 34.正确 35.正确 36.错误 37.C38.A 39.B 40.B第五章习题1.D2.AC3.AB4.BCD5.正确6.正确7.ABCD8.正确9.E 10.D 11.B 12.E13.D 14.C 17.C第六章练习8.D 10.B 12.B 13.A 14.C第七章练习1.B2.C3.C4.C5.D 8.C 9.B12.B 13.D 14.C 15.B 17.E 18.B 19.B 22.C 23.B 24.B 25E26.A 27.B 28.A 33错误 34.A 35.A第八章练习2.B3.A4.B5.D6.D7.C8.A9.B12.C 13.C 14.D 16.C 17.C 18.D19.B 23.B 25.D 27.C投资学第九章习题答案1.不做2.不做3.C4.不做5.不做6.3%7.不做8.B9. C 10.D 11. D 12.C 13.D 14.C 15.A 16.C 17.(答案为0.75) 18.D 19.C 20.B21.不做投资学第十章至第十一章习题答案1.相关系数为02. B3. B4. C5.错6.错7. B8. E9. A10.对11.D投资学第十二章至第十三章习题答案1.不做2.高于票面值因为10%大于8%3.具体看课本公式(老师只是讲公式没有给出确切得答案)4.贴现贴现率5.反方向6.C7.C8.对9.对10.不做11.折价平价溢价12.不做13.不做14.不做15.A16.C17.C18.具体看书本323页19.具体看课本325页20.看课本319至32021.不做22.不做第十四章至十五章习题答案1.先行同步滞后2.不做3.开拓拓展成熟衰落4.资产负责表损益表现金流量表5. C6.宏观分析行业分析公司分析7. A8. B9. A10.D11.D12.A13.A14.对15.对十七章注意事项: 注意技术分析得三大假设假设1. 市场行为涵盖一切信息假设2.价格沿趋势运动假设3.历史会重演。
证券投资学 第 7 章 答案
第7 章证券投资的基本分析一、判断题1.投资者获得上市公司财务信息的主要渠道是阅读上市公司公布的财务报告。
答案:是2.一国国民经济的发展速度越快越好。
答案:非3.对固定资产投资的分析应该注意固定资产的投资总规模，投资规模越大越好。
答案:非4.从全社会来说，消费水平的合理与否，主要是分析消费需求与商品、服务供应能力是否均衡。
答案:是5.经济周期分析中的先导性指标是先于经济活动达到高峰和低谷的指标，这些指标提示了未来经济活动发展的方向，如国民生产总值就属于这类指标。
答案:非6.增加税收、财政向中央银行透支和发行政府债券都是弥补财政赤字的方法，通常，政府弥补财政赤字的最好方法是向中央银行透支。
答案:非7.中央银行的货币供应量可以根据流动性不同分为不同的层次，而货币供应总量则要以同期国内生产总值和居民消费物价指数增长幅度之和为主要依据。
答案:是8.对国际收支的分析主要是对一国的国际贸易总量进行分析。
答案:非9.任何引起价格变动的因素对于宏观经济的正常运行都有影响。
答案:非10.我国国家统计局的行业分类标准与证券监管机构行业分类的标准是一样的，分类的结果也是一样的。
答案:非11.增长型行业的发展速度在经济高涨时，会表现出更快的增长，而在经济衰退的时期，又会表现出更快的衰退。
答案:非12.行业的生命周期一般为早期增长率很高，到中期阶段增长率开始逐渐放慢，在经过一段时间的成熟期后会出现停滞和衰败的现象。
答案:是13.政府对于任何行业都应该进行政策扶持或者采取管制政策。
答案:非14.对于处于生命周期不同阶段的行业，投资者应该选择处于扩展阶段和稳定阶段的行业，而避免选择处于拓展阶段和衰退阶段的行业。
答案:是15.行业中的主导性公司指的是那些产品销售额的增长率在市场同类产品中排在前列的公司。
答案:非16.对公司的盈利水平有直接影响的是公司的销售收入、销售成本以及其支付给股东的股息数量。
答案:非17.对于公司的经营管理能力分析就是对公司行政管理人员的素质和能力进行分析。
投资学第10版课后习题答案Chap007
CHAPTER 7: OPTIMAL RISKY PORTFOLIOSPROBLEM SETS1. (a) and (e). Short-term rates and labor issues are factors that are common to all firms and therefore must be considered as market risk factors. The remaining three factors are unique to this corporation and are not a part of market risk.2. (a) and (c). After real estate is added to the portfolio, there are four asset classes in the portfolio: stocks, bonds, cash, and real estate. Portfolio variance now includes a variance term for real estate returns and a covariance term for real estate returns with returns for each of the other three asset classes. Therefore, portfolio risk is affected by the variance (or standard deviation) of real estate returns and the correlation between real estate returns and returns for each of the other asset classes. (Note that the correlation between real estate returns and returns for cash is most likely zero.)3. (a) Answer (a) is valid because it provides the definition of the minimum variance portfolio.4. The parameters of the opportunity set are:E (r S ) = 20%, E (r B ) = 12%, σS = 30%, σB = 15%, ρ =From the standard deviations and the correlation coefficient we generate the covariance matrix [note that (,)S B S B Cov r r ρσσ=⨯⨯]:Bo nds St ocks Bo 2245 St4590The minimum-variance portfolio is computed as follows:w Min (S ) =1739.0)452(22590045225)(Cov 2)(Cov 222=⨯-+-=-+-B S B S B S B ,r r ,r r σσσ w Min (B ) = 1 =The minimum variance portfolio mean and standard deviation are:E (r Min ) = × .20) + × .12) = .1339 = %σMin = 2/12222)],(Cov 2[B S B S B B S Sr r w w w w ++σσ = [ 900) + 225) + (2 45)]1/2= %5.Proportion inStock FundProportionin Bond Fund ExpectedReturn Standar dDeviati on% % % %minimumtangencyGraph shown below.0.005.0010.0015.0020.0025.000.00 5.00 10.00 15.00 20.00 25.00 30.00Tangency PortfolioMinimum Variance PortfolioEfficient frontier of risky assetsCMLINVESTMENT OPPORTUNITY SETr f = 8.006. The above graph indicates that the optimal portfolio is the tangency portfolio with expected return approximately % and standard deviation approximately %.7. The proportion of the optimal risky portfolio invested in the stock fund is given by:222[()][()](,)[()][()][()()](,)S f B B f S B S S f B B f SS f B f S B E r r E r r Cov r r w E r r E r r E r r E r r Cov r r σσσ-⨯--⨯=-⨯+-⨯--+-⨯[(.20.08)225][(.12.08)45]0.4516[(.20.08)225][(.12.08)900][(.20.08.12.08)45]-⨯--⨯==-⨯+-⨯--+-⨯10.45160.5484B w =-=The mean and standard deviation of the optimal risky portfolio are:E (r P ) = × .20) + × .12) = .1561 = % σp = [ 900) +225) + (2× 45)]1/2= %8. The reward-to-volatility ratio of the optimal CAL is:().1561.080.4601.1654p fpE r r σ--==9. a. If you require that your portfolio yield an expected return of 14%, then you can find the corresponding standard deviation from the optimal CAL. The equation for this CAL is:()().080.4601p fC f C C PE r r E r r σσσ-=+=+If E (r C ) is equal to 14%, then the standard deviation of the portfolio is %.b. To find the proportion invested in the T-bill fund, remember that the mean of the complete portfolio ., 14%) is an average of the T-bill rate and the optimal combination of stocks and bonds (P ). Let y be the proportion invested in the portfolio P . The mean of any portfolio along the optimal CAL is:()(1)()[()].08(.1561.08)C f P f P f E r y r y E r r y E r r y =-⨯+⨯=+⨯-=+⨯-Setting E(r C) = 14% we find: y = and (1 −y) = (the proportion invested in the T-bill fund).To find the proportions invested in each of the funds, multiply times the respective proportions of stocks and bonds in the optimal risky portfolio:Proportion of stocks in complete portfolio = =Proportion of bonds in complete portfolio = =10. Using only the stock and bond funds to achieve a portfolio expected return of 14%, we must find the appropriate proportion inthe stock fund (w S) and the appropriate proportion in the bond fund(w B = 1 −w S) as follows:= × w S + × (1 −w S) = + × w S w S =So the proportions are 25% invested in the stock fund and 75%in the bond fund. The standard deviation of this portfolio will be:σP = [ 900) + 225) + (2 45)]1/2 = %This is considerably greater than the standard deviation of % achieved using T-bills and the optimal portfolio.11. a.Even though it seems that gold is dominated by stocks, gold might still be an attractive asset to hold as a part of aportfolio. If the correlation between gold and stocks issufficiently low, gold will be held as a component in a portfolio, specifically, the optimal tangency portfolio.b.If the correlation between gold and stocks equals +1,then no one would hold gold. The optimal CAL would be composed of bills and stocks only. Since the set of risk/return combinations of stocks and gold would plot as a straight line with a negative slope (see the following graph), these combinations would bedominated by the stock portfolio. Of course, this situation could not persist. If no one desired gold, its price would fall and its expected rate of return would increase until it becamesufficiently attractive to include in a portfolio.12. Since Stock A and Stock B are perfectly negatively correlated, a risk-free portfolio can be created and the rate of return for this portfolio, in equilibrium, will be the risk-free rate. To find the proportions of this portfolio [with theproportion w A invested in Stock A and w B = (1 –w A) invested inStock B], set the standard deviation equal to zero. With perfect negative correlation, the portfolio standard deviation is:σP = Absolute value [w AσA w BσB]0 = 5 × w A− [10 (1 –w A)] w A =The expected rate of return for this risk-free portfolio is:E(r) = × 10) + × 15) = %Therefore, the risk-free rate is: %13. False. If the borrowing and lending rates are not identical, then, depending on the tastes of the individuals (that is, the shape of their indifference curves), borrowers and lenders could have different optimal risky portfolios.14. False. The portfolio standard deviation equals the weighted average of the component-asset standard deviations only in the special case that all assets are perfectly positively correlated. Otherwise, as the formula for portfolio standard deviation shows, the portfolio standard deviation is less than the weighted average of the component-asset standard deviations. The portfolio varianceis a weighted sum of the elements in the covariance matrix, withthe products of the portfolio proportions as weights.15. The probability distribution is:Probabi lityRate of Return100%−50Mean = [ × 100%] + [ × (-50%)] = 55%Variance = [ × (100 − 55)2] + [ × (-50 − 55)2] = 4725Standard deviation = 47251/2 = %16. σP = 30 = y× σ = 40 × y y =E(r P) = 12 + (30 − 12) = %17. The correct choice is (c). Intuitively, we note that sinceall stocks have the same expected rate of return and standarddeviation, we choose the stock that will result in lowest risk.This is the stock that has the lowest correlation with Stock A.More formally, we note that when all stocks have the same expected rate of return, the optimal portfolio for any risk-averse investor is the global minimum variance portfolio (G). When theportfolio is restricted to Stock A and one additional stock, theobjective is to find G for any pair that includes Stock A, and then select the combination with the lowest variance. With two stocks, Iand J, the formula for the weights in G is:)(1)(),(Cov 2),(Cov )(222I w J w r r r r I w Min Min J I J I J I J Min -=-+-=σσσSince all standard deviations are equal to 20%:(,)400and ()()0.5I J I J Min Min Cov r r w I w J ρσσρ====This intuitive result is an implication of a property of any efficient frontier, namely, that the covariances of the global minimum variance portfolio with all other assets on the frontier are identical and equal to its own variance. (Otherwise, additional diversification would further reduce the variance.) In this case, the standard deviation of G(I, J) reduces to:1/2()[200(1)]Min IJ G σρ=⨯+This leads to the intuitive result that the desired addition would be the stock with the lowest correlation with Stock A, which is Stock D. The optimal portfolio is equally invested in Stock A and Stock D, and the standard deviation is %.18. No, the answer to Problem 17 would not change, at least as long as investors are not risk lovers. Risk neutral investors would not care which portfolio they held since all portfolios have an expected return of 8%.19. Yes, the answers to Problems 17 and 18 would change. The efficient frontier of risky assets is horizontal at 8%, so the optimal CAL runs from the risk-free rate through G. This implies risk-averse investors will just hold Treasury bills.20. Rearrange the table (converting rows to columns) and compute serial correlation results in the following table:Nominal RatesFor example: to compute serial correlation in decade nominal returns for large-company stocks, we set up the following two columns in an Excel spreadsheet. Then, use the Excel function “CORREL” to calculate the correlation for the data.Dec adePre vious19%%19%%19%%19%%19%%19%%19%%Note that each correlation is based on only seven observations, so we cannot arrive at any statistically significant conclusions. Looking at the results, however, it appears that, with the exception of large-company stocks, there is persistent serial correlation. (This conclusion changes when we turn to real rates in the next problem.)21. The table for real rates (using the approximation of subtracting a decade’s average inflation from the decade’s average nominal return) is:Real RatesSmall Company StocksLarge Company StocksLong-TermGovernmentBondsIntermed-TermGovernmentBondsTreasuryBills 1920s1930s1940s1950s1960s1970s1980s1990sSerialCorrelationWhile the serial correlation in decade nominal returns seems to be positive, it appears that real rates are serially uncorrelated.The decade time series (although again too short for any definitive conclusions) suggest that real rates of return are independent from decade to decade.22. The 3-year risk premium for the S&P portfolio is, the 3-year risk premium for the hedge fund portfolio is S&P 3-year standard deviation is 0. The hedge fund 3-year standard deviation is 0. S&P Sharpe ratio is = , and the hedge fund Sharpe ratio is = .23. With a ρ = 0, the optimal asset allocation is,.With these weights,EThe resulting Sharpe ratio is = . Greta has a risk aversion of A=3, Therefore, she will investyof her wealth in this risky portfolio. The resulting investment composition will be S&P: = % and Hedge: = %. The remaining 26% will be invested in the risk-free asset.24. With ρ = , the annual covariance is .25. S&P 3-year standard deviation is . The hedge fund 3-year standard deviation is . Therefore, the 3-year covariance is 0.26. With a ρ=.3, the optimal asset allocation is,.With these weights,E. The resulting Sharpe ratio is = . Notice that the higher covariance results in a poorer Sharpe ratio.Greta will investyof her wealth in this risky portfolio. The resulting investment composition will be S&P: =% and hedge: = %. The remaining % will be invested in the risk-free asset.CFA PROBLEMS1. a. Restricting the portfolio to 20 stocks, rather than 40 to 50 stocks, will increase the risk of the portfolio, but it is possible that the increase in risk will be minimal. Suppose that, for instance, the 50 stocks in a universe have the same standard deviation () and the correlations between each pair are identical, with correlation coefficient ρ. Then, the covariance between each pair of stocks would be ρσ2, and the variance of an equally weighted portfolio would be:222ρσ1σ1σnn n P -+=The effect of the reduction in n on the second term on theright-hand side would be relatively small (since 49/50 is close to 19/20 and ρσ2 is smaller than σ2), but thedenominator of the first term would be 20 instead of 50. For example, if σ = 45% and ρ = , then the standard deviation with 50 stocks would be %, and would rise to % when only 20 stocks are held. Such an increase might be acceptable if the expected return is increased sufficiently.b. Hennessy could contain the increase in risk by making sure that he maintains reasonable diversification among the 20 stocks that remain in his portfolio. This entails maintaining a low correlation among the remaining stocks. For example, in part (a), with ρ = , the increase in portfolio risk wasminimal. As a practical matter, this means that Hennessy would have to spread his portfolio among many industries;concentrating on just a few industries would result in higher correlations among the included stocks.2. Risk reduction benefits from diversification are not a linear function of the number of issues in the portfolio. Rather, the incremental benefits from additional diversification are most important when you are least diversified. Restricting Hennessy to 10 instead of 20 issues would increase the risk of his portfolio by a greater amount than would a reduction in the size of theportfolio from 30 to 20 stocks. In our example, restricting the number of stocks to 10 will increase the standard deviation to %. The % increase in standard deviation resulting from giving up 10 of20 stocks is greater than the % increase that results from givingup 30 of 50 stocks.3. The point is well taken because the committee should be concerned with the volatility of the entire portfolio. Since Hennessy’s portfolio is only one of six well-diversifiedportfolios and is smaller than the average, the concentration in fewer issues might have a minimal effect on the diversification of the total fund. Hence, unleashing Hennessy to do stock picking may be advantageous.4. d. Portfolio Y cannot be efficient because it isdominated by another portfolio. For example, Portfolio X hasboth higher expected return and lower standard deviation.5. c.6. d.7. b.8. a.9. c.10. Since we do not have any information about expected returns, we focus exclusively on reducing variability. Stocks A and C have equal standard deviations, but the correlation of Stock B with Stock C is less than that of Stock A with Stock B . Therefore, aportfolio composed of Stocks B and C will have lower total risk than a portfolio composed of Stocks A and B.11. Fund D represents the single best addition to complement Stephenson's current portfolio, given his selection criteria. Fund D’s expected return percent) has the potential to increase the portfolio’s return somewhat. Fund D’s relatively low correlation with his current portfolio (+ indicates that Fund D will providegreater diversification benefits than any of the other alternatives except Fund B. The result of adding Fund D should be a portfolio with approximately the same expected return and somewhat lower volatility compared to the original portfolio.The other three funds have shortcomings in terms of expected return enhancement or volatility reduction through diversification. Fund A offers the potential for increasing the portfolio’s return but is too highly correlated to provide substantial volatility reduction benefits through diversification. Fund B provides substantial volatility reduction through diversification benefits but is expected to generate a return well below the current portfolio’s return. Fund C has the greatest potential to increase the portfolio’s return but is too highly correlated with the current portfolio to provide substantial volatility reduction benefits through diversification.12. a. Subscript OP refers to the original portfolio,ABC to the new stock, and NP to the new portfolio.i. E(r NP) = w OP E(r OP) + w ABC E(r ABC) = + = %ii. Cov = ρOP ABC = =iii. NP = [w OP2OP2 + w ABC2ABC2 + 2 w OP w ABC(Cov OP , ABC)]1/2= [ 2 + + (2 ]1/2= % %b. Subscript OP refers to the original portfolio, GS to government securities, and NP to the new portfolio.i. E(r NP) = w OP E(r OP) + w GS E(r GS) = + = %ii. Cov = ρOP GS = 0 0 = 0iii. NP = [w OP2OP2 + w GS2GS2 + 2 w OP w GS (Cov OP , GS)]1/2= [ + 0) + (2 0)]1/2= % %c. Adding the risk-free government securities would resultin a lower beta for the new portfolio. The new portfolio betawill be a weighted average of the individual security betas inthe portfolio; the presence of the risk-free securities would lower that weighted average.d. The comment is not correct. Although the respective standard deviations and expected returns for the two securities under consideration are equal, the covariances between each security and the original portfolio are unknown, making it impossible to draw the conclusion stated. For instance, if the covariances are different, selecting one security over the other may result in a lower standard deviation for the portfolio as a whole. In such a case, that security would be the preferred investment, assuming all other factors are equal.e. i. Grace clearly expressed the sentiment that the riskof loss was more important to her than the opportunity for return. Using variance (or standard deviation) as a measure of risk inher case has a serious limitation because standard deviation does not distinguish between positive and negative price movements.ii. Two alternative risk measures that could be used instead of variance are:Range of returns, which considers the highest and lowest expected returns in the future period, with a larger range being a sign of greater variability and therefore of greater risk.Semivariance can be used to measure expected deviations of returns below the mean, or some other benchmark, such as zero.Either of these measures would potentially be superior to variance for Grace. Range of returns would help to highlight the full spectrum of risk she is assuming, especially the downside portion of the range about which she is so concerned. Semivariance would also be effective, because it implicitly assumes that the investor wants to minimize the likelihood of returns falling below some target rate; in Grace’s case, the target rate would be set at zero (to protect against negative returns).13. a. Systematic risk refers to fluctuations in asset prices caused by macroeconomic factors that are common to all risky assets; hence systematic risk is often referred to as market risk. Examples of systematic risk factors include the business cycle, inflation, monetary policy, fiscal policy, and technological changes.Firm-specific risk refers to fluctuations in asset prices caused by factors that are independent of the market, such as industry characteristics or firm characteristics. Examples of firm-specific risk factors include litigation, patents, management, operating cash flow changes, and financial leverage.b. Trudy should explain to the client that picking only the top five best ideas would most likely result in the client holding a much more risky portfolio. The total risk of a portfolio, or portfolio variance, is the combination of systematic risk and firm-specific risk.The systematic component depends on the sensitivity of the individual assets to market movements as measured by beta. Assuming the portfolio is well diversified, the number of assets will not affect the systematic risk component ofportfolio variance. The portfolio beta depends on theindividual security betas and the portfolio weights of those securities.On the other hand, the components of firm-specific risk (sometimes called nonsystematic risk) are not perfectly positively correlated with each other and, as more assets are added to the portfolio, those additional assets tend to reduce portfolio risk. Hence, increasing the number of securities in a portfolio reduces firm-specific risk. For example, a patent expiration for one company would not affect the othersecurities in the portfolio. An increase in oil prices islikely to cause a drop in the price of an airline stock butwill likely result in an increase in the price of an energy stock. As the number of randomly selected securities increases, the total risk (variance) of the portfolio approaches its systematic variance.。
投资学第六版第7章课后答案
1. Because very few securities will exhibit perfectly positive correlation,diversification will tend to reduce portfolio risk. Thus, for any given level of expected return, one would expect that portfolios will exhibit lower risk (lie further to the west in the feasible set) than individual portfolios (which will therefore lie to the east in the feasible set).2. Diversified portfolios are more efficient than individual securities. That is,diversified portfolios provide the investor with higher expected returns for given levels of risk and/or lower risk for given levels of expected return when compared with individual securities.Diagrammatically, individual securities will lie in the eastern portion of the feasible set. Hence they are dominated by diversified portfolios, which lie in the northwestern portion of the feasible set, including those on the efficient set.3. The macroeconomic forces that impact the U.S. economy tend to have a strongeffect on the earnings (and, hence, stock prices) of all domestic corporations, although the magnitude of this effect will vary among industries and specific firms.For example, a recession causes most companies to experience a downturn in earnings. While some companies may be more severely affected than others, nevertheless, the broad influence of a recession on general economic activity likely results in most companies' stocks performing poorly.Companies whose stocks would be expected to have a high positive covariance are auto and steel companies. When auto sales are strong (weak), the demand for steel generally rises (falls). The earnings of companies in both industries would rise and fall at roughly the same time and this movement would likely be anticipated by the earlier rise and fall of their stocks' prices.Companies whose stocks would be expected to have a low covariance are banks and gold mining firms. Rising interest rates and poor business conditions generally produce declining bank earnings. At the same time, a pessimistic economic outlook often causes investors to increase their demand for gold, which increases the price of gold and, therefore, the earnings of gold mining firms. The result is that the stock prices of banks and gold mining firms will not likely move in the same direction.4. It is the fact that all stocks do not have high positive covariances that causesdiversification to benefit the investor. That is, by diversifying, investors can reduce portfolio risk and thereby create more efficient portfolios. If stocks did have high positive covariances, then holding a well-diversified portfolio would not result in meaningful reductions in risk relative to holding individual securities.5. If the security in question had significant negative correlation with the rest of thesecurities in the portfolio, Mule might consider purchasing it even though it had anegative expected return. The diversifying nature of the security might reduce the risk of the portfolio sufficiently to make it attractive despite its inferior return potential.6. Given the expected returns and variance-covariance estimates for all securities, aninvestor can construct the efficient set. This information, combined with the unique risk-return preferences of the investor, allows the investor to determine his or her optimal portfolio. Diagrammatically, this optimal portfolio lies at the point of tangency between the investor's indifference curves and the efficient set.7. The standard deviation of a two-security portfolio is given by:[]σσσρσσp A A B B A B AB A B X X X X =++22122/In Dode's case:= [(.35)²(20)² + (.65)²(25)² + 2(.35)(.65)(20)(25)12]½= [49 + 264 + 22812]½The portfolio's standard deviation will be at a minimum when the correlation between securities A and B is -1.0. That is:= [49 + 264 - 228]½= 9.2%The portfolio's standard deviation will be at a maximum when the correlation between securities A and B is +1.0. That is: = [49 + 264 + 228]½= 23.3%17. The beta of a portfolio is defined as the weighted average of the componentsecurities' betas. In the case of Siggy's portfolio:ββP i i i X ==∑13= (.30 ⨯ 1.20) + (.50 ⨯ 1.05) + (.20 ⨯ 0.90)= 1.07Further, the standard deviation of a portfolio can be expressed as:()σβσσεp P I p =+22212/= [(1.07)²(18)² + (.30)²(5.0)² +(.50)²(8.0)²+ (.20)²(2.0)²]½= [370.9 + 2.3 + 16.0 + 0.2]½= [389.4]½ = 19.7%18.The total risk of a portfolio can be expressed as: σβσσεp p I p =+222Further, the unique risk (σεp 2) is the weighted average of the unique risks of the portfolio's individual securities. In the case of the first portfolio with four equal-weighted securities:()()σεp i 2221430025=⨯=∑..= 56.25 ⨯ 4 = 225.0Therefore the total risk of the first portfolio is:0.225)20()00.1(2221+⨯=σ= 625.01 = 25.0%In the case of the second portfolio with ten equal-weighted securities:()()σεp i 22211030010=⨯=∑..= 9.0 ⨯ 10 = 90.0Therefore the total risk of the second portfolio is:σ222210020900=⨯+(.)().= 490.02 = 22.1%。
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1． 资本化法在三种债券运用中的差异，主要体现在现金流期限结构上。
贴现债券，只需将
到期日的本金现金流贴现；直接债券不仅要贴现到期日的本金现金流，还要将每期的利息贴现；而统一公债不归还本金，只需将每期的利息贴现。
以上分析都不考虑回购条款。
2． 判断债券价格高估或者低估，有两类方法：一类是比较市场收益率与内在报酬率；另一
类是比较债券的内在价值与债券价格的差异。
这类方法的实质是相同的。
关于债券价格与到期收益率存在一个负相关的函数关系。
当债券价格合理反映内在价值的时候，内在报酬率必然等于市场收益率。
当债券价格高于（或低于）内在价值的时候，由于负相关函数关系，债券价格对应的内在报酬率，自然会低于（或高于）市场收益率。
所以两种方法实质上是等效的。
3． 债券具有以下六个属性。
1． 到期时间 同样条件下，到期时间越长，久期就越长，债券价格对利率变动更加敏
感。
2． 息票率 同样条件下，息票率越高，久期越短，债券价格对利率变动更加不敏感。
3． 可赎回条款 同样条件下，可赎回条款给了债券发行者潜在的权利，回购价格就是
债券价格的天花板，影响投资者的潜在收益。
这就降低里该类债券的内在价值，从而降低了债券的价格。
4． 税收待遇 利息收入纳税与否，纳税多少，直接影响投资的实际收益率。
税收优惠
直接导致债券价格的提高。
另外，税收待遇对于不同现金流结构的债券，将产生不同的影响。
息票率较低的债券（贴现债券是极端情况），具有延缓利息税收支付的优势，其内在价值一般较高，也就是债券价格较高。
5． 流通性 债券的流通性是指投资者将手中的债券变现的能力。
如果债券的流通性越
高，投资者面对的流动性风险就越低，相应的流动性风险溢价就越低，期望报酬率随之下降，于是债券价格会较高。
6． 违约风险 债券的违约风险是指债券发行人未按照契约的规定支付债券的本金和
利息，给债券投资者带来损失的可能性。
债券评级是反映债券违约风险的重要指标。
违约风险越高，投资者要求的报酬率就越高，相应的，债券价格就越低。
4． 定理1是一个基础性的定理，它决定了预期收益率与债券价格的反向变动关系。
定理2、
定理3与定理5，实质上都可以用久期这个概念去理解。
到期时间越长，息票率越低，久期就越长，价格变动对利率变动就越敏感。
而定理4，则需要引入一个修正久期的概念：*1D D r
=+ 收益率上升称为过程一，收益率下降同样比例称为过程二。
显然过程一中的平均收益率高于过程二，于是公式中的r 更大，相应的*D 更小。
根据公式
*P r D P r
ΔΔ=−×，过程一中的价格变动量更小。
于是，收益率下降给投资者带来的利润大于收益率上升给投资者带来的损失。
5． 久期是对利率变动一阶微分'()f x dx 的描述，凸性是对利率变动的二阶微分''2()f x dx 的描述。
'''221()()()0()2
df x f x dx f x dx x =++，凸性是在久期不能很好描述df(x)的情况下，对久期很好的补充。
6． 略。