【精选】威廉夏普 投资学课后习题答案解析第六章

12. At the beginning of the year, Corns Bradley owned four securities in the following amounts and with the following current and expected end-of-year prices:

p 1.52 10%2 0.52 18%2 21.5 0.50.00451/2
=15.4%
18.Gibby Brock has estimated the following joint probability distribution of returens For investments in the stock of Lakeland Halfway Homes and Afton Brewery:
• Rp=40%*19.2%+50%*7.7%+34.6%*66.7% • =7.68%+3.85%+23.07% • =34.6%
14
N
（1） r p

X i ri
i 1
Xi r1 X 2 r2 X N rN
=10%*0.1+0*0.25+10%*0.4+20%*0.2 +30%*0.05 =0.85%
securi share
ty
amount
current price
expected year-end price
A
100
源自文库$50
$60
B
200
35
40
C
50
25
50
D
100
100
110
end-of-period wealth –beginning-of-period wealth
Return= -----------------------------------------------------
Why are the indifference curves of more risk-averse investors more steeply sloped than those of investors with less risk aversion?
为什么风险厌恶程度高的投资者的无差异曲线比风 险厌恶程度低的投资者的无差异曲线倾斜的更陡一 些？
Security A Security B Security C
s t initial o invesment c value k
expected end-of-period investment value
proportion of portfolio initial market value
A
$500
$700
19.20%
using these individual B 200
第五小组成员：
张宝发 段俞西 李毅力 刘橙 刘月 张玲 刘畅
Why are typical investors assumed to prefer portfolios on indifference curves lying to the northwest?
为什么典型的投资者被假定认为更偏好于 “西北”的无差异曲线上的投资组合？
beginning-of-period wealth
(100*60+200*40+50*50+100*110)- (100*50+200*35+50*25+100*100)
rp= -----------------------------------------------------
(100*50+200*35+50*25+100*100)
Lakeland -10% 5 10 20
Afton 15% 10 5
0
Probability 0.15 0.20 0.30 0.35
On the basis of Gibby’s estimates, calculate the covariance and correlation coefficient between the two investments.
N
(2)
2
X1 X Pi
i 1
10% 8.5%2 0.1 0 0.85%2 0.25 10% 8.5%2 0.4 20% 8.5%2 0.2 30% 8.5%2 0.05
=10.1%
15
（1） X A

30000 1.5 20000
XB

10000 20000
0.5
N
r p
X i ri
i 1
=13%*0.5+5%*(-0.5) =17%
(2) 用双和法求标准差
ij iji j
=0.25*10%*18% =0.0045
（2）
3
p
3
1/ 2
X i X j ij
i 1 j 1
20.
Given the following varianc-covariance matrix for three securities, as well as the percentage of the portfolio for each security, calculate the portfolio’s standard deviation.
300
7.7
securities’ expected
returns, calculate the C 100
1000
38.5
portfolio’s expected
return.
D
960
1500
34.6
• Ra=(700-500)/500=40% • Ra=(300-200)/200=50% • Ra=(1000-100)/1000=0 • Ra=(1500-900)/900=66.7%
rp=(27500-23250)/23250 =4250/23250=18.2795%
13. Given the following information about four stocks comprising a portfolio, calculate each stock’s expected return. Then,