投资组合习题5-8

Use the following to answer questions 4-7 : You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05.
2. To maximize her expected utility, which one of the following investment alternatives would she choose? A) A portfolio that pays 10 percent with a 60 percent probability or 5 percent with 40 percent probability. B) A portfolio that pays 10 percent with 40 percent probability or 5 percent with a 60 percent probability. C) A portfolio that pays 12 percent with 60 percent probability or 5 percent with 40 percent probability. D) A portfolio that pays 12 percent with 40 percent probability or 5 percent with 60 percent probability. E) none of the above.
Answer: B Difficulty: Moderate Rationale: E(rP) = 0.3(15%) + 0.7(6%) = 8.7%; sP = 0.3(0.04)1/2 = 6%. Chapter 6
Use the following to answer questions 4-7: You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05.
6. What is the expected variance for KMP stock? A) 66.04% B) 69.96% C) 77.04% D) 63.72% E) 78.45%
Answer: A Difficulty: Difficult Rationale: s = [.30 (18 - 10.4)2 + .50 (12 - 10.4)2 + .20 (5 - 10.4)2] = 66.04% Chapter 5
Answer: B Difficulty: Moderate Rationale: ($1 + $29 - $20)/$20 = 0.5000, or 50%.
Chapter 5
Use the following to answer questions 4-6:
You have been given this probability distribution for the holding period return for KMP stock:
Use the following to answer questions 1-2:
Assume an investor with the following utility function: U = E(r) - 3/2(s2). 1. To maximize her expected utility, she would choose the asset with an expected rate of return of _______ and a standard deviation of ________, respectively. A) 12%; 20% B) 10%; 15% C) 10%; 10% D) 8%; 10% E) none of the above
Answer: C Difficulty: Moderate Rationale: U = 0.10 - 3/2(0.10)2 = 8.5%; highest utility of choices. Chapter 6
Use the following to answer questions 1-2: Assume an investor with the following utility function: U = E(r) - 3/2(s2).
5. What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.06? A) 30% and 70% B) 50% and 50% C) 60% and 40% D) 40% and 60% E) cannot be determined
投资组合习题
1. Over the past year you earned a nominal rate of interest of 10 percent on your money. The inflation rate was 5 percent over the same period. The exact actual growth rate of your purchasing power was A) 15.5%. B) 10.0%. C) 5.0%. D) 4.8%. E) 15.0%
4. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.09? A) 85% and 15% B) 75% and 25% C) 67% and 33% D) 57% and 43% E) cannot be determined Answer: D Difficulty: Moderate Rationale: 9% = w1(12%) + (1 - w1)(5%); 9% = 12%w1 + 5% - 5%w1; 4% = 7%w1; w1 = 0.57; 1 - w1 = 0.43; 0.57(12%) + 0.43(5%) = 8.99%. Chapter 6
5. What is the expected standard deviation for KMP stock? A) 6.91% B) 8.13% C) 7.79% D) 7.25% E) 8.85%
Answer: B Difficulty: Difficult Rationale: s = [.30 (18 - 10.4)2 + .50 (12 - 10.4)2 + .20 (5 - 10.4)2]1/2 = 8.13% Chapter 5
Answer: D Difficulty: Moderate Rationale: HPR = (92 - 90 + 3) / 90 = 5.56%
Chapter 5
8. Toyota stock has the following probability distribution of expected prices one year from now: If you buy Toyota today for $55 and it will pay a dividend during the year of $4 per share, what is your expected holding period return on Toyota? A) 17.72% B) 18.89% C) 17.91% D) 18.18% E) None of the above Answer: D Difficulty: Difficult Rationale: E(P1) = .25 (54/55 - 1) + .40 (64/55 - 1) + .35 (74/55 - 1) = 18.18%. Chapter 5
Answer: D Difficulty: Moderate Rationale: r = (1+R) / (1+I) - 1; 1.10% / 1.5% - 1 = 4.8%.
Chapter 5
2. A year ago, you invested $1,000 in a savings account that pays an annual interest rate of 7%. What is your approximate annual real rate of return if the rate of inflation was 3% over the year? A) 4%. B) 10%. C) 7%. D) 3%. E) none of the above.
Chapter 5
4. What is the expected holding period return for KMP stock? A) 10.40% B) 9.32% C) 11.63% D) 11.54% E) 10.88%
Байду номын сангаас
Answer: A Difficulty: Moderate Rationale: HPR = .30 (18%) + .50 (12%) + .20 (-5%) = 10.4% Chapter 5
Answer: A Difficulty: Easy Rationale: 7% - 3% = 4%.
Chapter 5
3. You purchased a share of stock for $20. One year later you received $1 as dividend and sold the share for $29. What was your holding period return? A) 45% B) 50% C) 5% D) 40% E) none of the above
Answer: C Difficulty: Difficult Rationale: U(c) = 9.02%; highest utility of possibilities. Chapter 6
3. An investor invests 30 percent of his wealth in a risky asset with an expected rate of return of 0.15 and a variance of 0.04 and 70 percent in a T-bill that pays 6 percent. His portfolio's expected return and standard deviation are __________ and __________, respectively. A) 0.114; 0.12 B) 0.087;0.06 C) 0.295; 0.12 D) 0.087; 0.12 E) none of the above
7. You purchase a share of Boeing stock for $90. One year later, after receiving a dividend of $3, you sell the stock for $92. What was your holding period return? A) 4.44% B) 2.22% C) 3.33% D) 5.56% E) none of the above