《投资组合课后题及答案》由会员分享，可在线阅读，更多相关《投资组合课后题及答案（20页珍藏版）》请在金锄头文库上搜索。
1、投资组合课后题及答案P62Q9. Mr. Franklin is 70 years of age, is in excellent health, pursues a simple but active lifestyle, and has no children. He has interest in a private company for $90 million and has decided that a medical research foundation will receive half the proceeds now; it will also be the primar
2、y beneficiary of his estate upon his death. Mr. Franklin is committed to the foundations well-being because he believes strongly that, through it, a cure will be found for the disease that killed his wife. He now realizes that an appropriate investment policy and asset allocations are required if hi
3、s goals are to be met through investment of his considerable assets. Currently, the following assets are available for use in building an appropriate portfolio:$45.0 million cash (from sale of the private company interest, net of pending；$45 million gift to the foundation)；10.0 million stocks and bo
4、nds ($5 million each)；9.0 million warehouse property (now fully leased)；1.0 million Franklin residence；$65.0 million total available assetsa. Formulate and justify an investment policy statement setting forth the appropriate guidelines within which future investment actions should take place. Your p
5、olicy statement must encompass all relevant objective and constraint considerations.b. Recommend and justify a long-term asset allocation that is consistent with the investment policy statement you created in Part a. Briefly explain the key assumptions you made in generating your allocation.答案a.由以上可
6、知，Mr. Franklin丧偶、无子、70岁、身体健康、拥有大笔流动性较好资产、愿意将其部分现金资产捐献给医学研究基金会、在其去世后其房产也留给这家基金会、无负债、处在较高的纳税等级、缺乏资产管理技术、当前没有特定的支出负担、当前对于资产的流动性没有特殊要求。考虑到以上条件，他的投资策略应符合以下条件：目标：收益要求: 其资产池应当能够产生可以满足其日常支出的现金流入，这可以通过组合的微小调整实现。因此，资本的长期实际增长是其主要的回报目标。节税也是其资产管理目标之一。风险承受：从其资产负债状况及其长期资本增值的目标看，再加上他有过证券投资经验且身体状况良好，其组合的风险水平可以略高于平均水
7、平。限制：投资期限：Mr. Franklins身体状况良好，其预期寿命还有很长因此其预期投资期限为长期。流动性要求:从文中可知，除了日常的生活支出之外没有特殊的流动性要求税收: Mr. Franklin无疑处在高税率阶层，投资活动应考虑到这一点。合适的避税和节税产品应当加以考虑，节税是其投资中的目标之一。法律和规章:投资应符合法律和地方法规的规定b.考虑到股票的收益要高于现金和债券且符合长期资本增值的投资目标，且其对于流动性和当前收入并没有特殊的需求，因此在资产配置中股票应占有较大的比例。其资产的15%（9+1million）已为房地产，该类资产不再多加分配。考虑到其投资的长期性和较高的风险承
8、受能力，应将其资产的70%配置到权益资产上，30配置到固定收益资产上。为了得到分散化收益，组合中应包含国际证券。市政债券由于其避税好处，应包含在固定收益资产中。一下是一个可行的方案，目标各项资产所占比例如下:美国债券15%、非美国债券10%、美国股票（大盘股）30%、美国股票（小盘股）15%、非美国股票15%、房地产15%P205Q25、a. List and briefly define the three forms of the efficient market hypothesis. 6 minutesb. Discuss the role of a portfolio manager
9、 in a perfectly efficient market. 9 minutes答案：a.（1）弱势有效市场：当前价格充分反映所有的证券市场信息，包括证券的历史价格、收益率、交易数据等。在该假设下，投资者不能使用历史数据预测未来，技术分析失效。（2）半强势有效市场：当前价格充分反映所有的公开信息。在该假设下，使用公开的信息所做的投资决策不能获得超额收益，基本分析失效。（3）强势有效市场：当前价格充分反映所有的公开和私人信息。在该假设下，使用内幕信息不能获得超额收益。b.（1）帮助客户确定其投资目标与投资限制（2）构建适当的投资组合，要充分考虑经济环境与各类资产的风险与收益状况（3）在全球
10、范围内实现完全的分散化，彻底分散非系统性风险（4）当外部环境变化时，进行组合的重构以符合投资目标（5）最小化研究与交易费用P232Q1、Why do most investors hold diversified portfolios?答案：风险分为系统性风险和非系统性风险，通过分散化投资可以分散各种资产所特有的个体性风险，即非系统性风险。从数学的角度讲，方差是风险的一种度量方式，借由在组合中加入与原有资产相关性较低的资产，由于其与其他资产较低的协方差可以有效降低组合的方差。P273Q13Identify and briefly discuss three criticisms of beta
11、 as used in the capital asset pricing model答案（1）实证检验的结果表明，早期的实证检验基本支持CAPM模型，即作为影响收益的唯一要素，但近来的研究表明除外，财务杠杆和市净率同样是影响收益的重要因素，例如三因素模型。（2）一些研究发现，在短期风险与收益可能会出现负相关的情况。例如 Black, Jensen and Scholes发现从1957年4月到1965年12月，高系数的股票获得的收益反而小于低系数股票的收益，这表明在这段时期中，并不能作为唯一定价依据，某些非系统性风险被市场赋予了价值。（3）的估计值要随所选择市场指数的变化而变化。 Richar
12、d Roll已经证明改变市场指数，单个股票的风险水平也会相应变化，难以得到统一的风险度量和资产定价。P276P14 The following information describes the expected return and risk relationship for the stocks of two ofWAHs competitors Expected return standard deviation betaStock X 12% 20% 1.3Stock Y 9 15 0.7Market Index 10 12 1.0Risk-free rate 5Using only
13、the data shown in the preceding table:a. Draw and label a graph showing the security market line and position stocks X and Y relative to it.b. Compute the alphas both for Stock X and for Stock Y. Show your work. 4 minutesc. Assume that the risk-free rate increases to 7 percent with the other data in
14、 the preceding matrix remaining unchanged. Select the stock providing the higher expected risk-adjusted return and justify your selection. Show your calculations. 6 minutes答案a略b.ALPHA () = E(ri) - rf + (E(rM) - rf)Stock X: = 12% - 5% + 1.3% (10% - 5%) = 0.5%Stock Y: = 9% - 5% + 0.7%(10% - 5%) = 0.5%
15、c.Stock X： = 12% - 7% + 1.3 (10% - 7%= 12% - 10.95% = 1.1%Stock Y = 9% - 7% + 0.7(10% - 7%)= 9% - 9.1% = -00.1%由于股票X可以获得正的1.1%的经风险调整后的超额收益，因此选择股票X。P306Q12Multifactor models of security returns have received increased attention. The arbitrage pricing theory(APT) probably has drawn the most attention and has been proposed as a replacement for the capitalasset pricing model (CAPM).a. Briefly explain the primary differences between the APT and the CAP
