投资学-Chap06

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投资学第6章讲义

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Bid: 101 + 5/32 = $101.1563 (what the bank will pay you) Ask: 101 + 6/32 = $101.1875 (what you will pay the bank)
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Secured or unsecured Call provision Convertible provision Put provision Floating rate bonds
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Argentina 2001)
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[经济学]证券投资学第六章

30(1＋I/2)20=100 I=12.44%
30(1＋10I)=100 I=23.33%
因为不能利滚利，所以同样的现值为达到同样的终值，单利的利率必须高一些。
五、债券利率与到期收益率的区别是否获利我们用到期收益率来衡量。除零息债券外，其它债券的到期收益率随利率的波动而上下波动。例：用1000美元买入一张面值为1000美元息票利率为10％的息票债券，持有一年后以 1200 美元的价格售出，那么购买该债券的持有期收益率为多少？ [(100+200)/1000] ×100%=30％
1、简单算术股价平均法。
是以上市的全部股票或选择股票为计算对象，将其当天收盘价加总合计，除以采样数而得出。
采样股票的当天收盘价总和简单算术股价平均法==————————————— — 采样股票数例，某股票市场选定ABCDE五种股票为样本，这五种股票当天的收盘价分别为10，20，30，40，50元，简单平均股价 =（10+20+30+40+50）/5=30元
＋108/(1＋i/2)4
I=7%
2、单利。债券到期收益率是指一定时期内债券投资收益与投资额的比率。单利投资收益包括债券利息收入、债券的资本损益（买卖差价），和复利不同的是单利不包括债券利息再收益。
例1：一张面额为100元的债券，发行价格为98元，票面利率为10％，偿还期限为5年，一次还本付息，投资者的收益率是多少? 到期收益率= （到期本利和－认购价格）÷待偿年数认购价格解1：[(100＋100×10%×5－98)/(98×5)] ×100%=10.61% 解2：{[100×10%＋(100－98)÷5]/98}×100%=10.61% 单

证券投资学第六章普通股价值分析ppt课件

几种经典的红利现值模型
• 一、根本评价方式(Fundamental Valuation Model)，这是一个最根本的，也包罗一切情况的模型〔现实可行？〕：
• 简P 0单(1 情 D 1 R 形1) ：(1令R 1 RD )2 1 1( =R R2)2 = … i… t1(1 D = tRR it)= R 有 (6.3 )
• 假设gt为第t期的收益增长率，那么有：
Et1(1gt)Et
• 下面讨论不同的DDM模型的市盈率现值模型。
几种经典的市盈率红利现值模型
• 一、单期报酬模型
P0
D1 P1 1R 1R
D1 1bE1
P1
M0
P0 E1
1b E1 1R 1R
6.14
D
• 二、固定股利模型 P0 R
D 0D 1D 2 D M 0 1 R b6.15
• 1938年，美国投资实际家威廉斯 (Williams) 在<投资价值实际>一书中论述了证券根本分析的实际，并由此引出了著名的红利现值模型(Discounted Dividend Models,DDMs)。
• DDMs的根本原理：对股票而言，其价值 Pt取决于(1)持有期内得到的红利收入； (2)售出股票而得的现金收入。
P 0t 1(1 D R t )t R D lg (1 2 (1g 2)R) 用(6.5)计算
增长时机现值〔Present Value of Growth Opportunity，PVGO〕
• 假设一家公司将全部利润分配给股东，根据
Gordon模型，股利生长率为0，且利润=股利，
那么有：
P0
E1 R
值之比。
托宾q值的三种算法(国内研讨界)

投资学幻灯6(学生版)

第一节股票与股票价格
道·琼斯股票价格平均指数
道·琼斯指数是世界上最早发布的股价指数，历史最悠久、最有影响力、最为公众所熟知的一个价格指数。早在1844.7.3由美国道·琼斯公司创始人查尔斯·亨利·道和爱得华·琼斯在1884年，根据当时美国最有代表性的11种股票编制的，并把它发表于该公司所编制的《每日通讯》上。道·琼斯指数采用简单算术平均法计算，经过100多年的发展，目前已发展为65种股票样本股。该指数分为四大类：一是工业股价平均数，由美国著名的30家大公司股票编制；二是运输业股价平均数，选用全美20家有代表性的运输公司公司股票编制；三是公用事业股价平均数，由美国15家最大的公用事业股票编制；四是综合股价指数，由上述65家公司股票编制而成。
第一节股票与股票价格
上证180指数
上证180指数由上海证券交易所编制，从沪市1000多个股票中选取最具代表性的180只样本股，以其计算期流通股数作为权数加权计算，以 1996年第一季度的平均流通市值为基期，基期指数为1000点。
上证50指数
上证50指数由上海证券交易所编制，是从沪市1000多个股票中选取流通市值和成交金额排名靠前的前50只股票作为样本股，以其计算期流通股数作为权数加权计算，与2004年1月2日正式发布，指数基日为 2003.12.31日，基期指数为1000点。
纽约证券交易所股票价格指数：
是由纽交所编制的，在美国颇具影响的股票价格指数之一。该指数包括纽交所上市的1570家公司所有股票。它除了有综合股价股价指数之外，还包括1093种股票组成的工业股票价格指数，223种金融、投资、保险、不动产等股票组成的金融业股票价格指数，189种股票组成的公用事业股票价格指数，65种股票组成的运输业股票价格指数。

投资学第6章、

第四页，编辑于星期四：二十三点分。
▪ 练习.下面对投资组合分散化的说法哪些是正确的？
▪ a. 适当的分散化可以减少或消除系统风险。 ▪ b. 分散化减少投资组合的期望收益，因为它减少
了投资组合的总体风险。 ▪ c. 当把越来越多的证券加入投资组合时，总体风险
一般会以递减的速率下降。
▪ d. 除非投资组合包含至少30只以上的个股，分散化降
wD*
[E(rD
)
rf
]
[E(rD ) rf
2 E
[
E
(rE
)
]
2 E
[E
(rE
)
rf
]Cov(rD
,
rE
)
rf
]
2 D
[E(rD )
rf
E(rE )
rf
]Cov(rD
,
rE
)
（8
（8 5）202 (13 5)72 5）202 (13 5)122 （8 5 13
5）72
0.40
wE* 1 wD* 0.60 最优风险资产组合的期望收益与标准差分别为：
[E(rD )
rf
E(rE )
rf
]Cov(rD
,
rE
)
SP取最大值
27
第二十七页，编辑于星期四：二十三点分。
最优风险资产组合&最优完整资产组合的计算
▪ 已知E(rD)=8%, D=12%, E(rE)=13%, E=20%, Cov(rD,rE)=72(基点）， rf=5% 则最优风险资产组合权重解为：
▪ a. 买入Mac公司股票，风险会降低更多
▪ b. 买入G公司股票，风险会降低更多
▪ c. 买入G公司股票或Mac公司股票都会导致风险增加 ▪ d. 由其他因素决定风险的增加或降低

投资学题库Chap006

Chapter 06Capital Allocation to Risky Assets Multiple Choice Questions1.Which of the following statements regarding risk-averse investors is true?A. T hey only care about the rate of return.B. T hey accept investments that are fair games.C. T hey only accept risky investments that offer risk premiums over the risk-free rate.D. T hey are willing to accept lower returns and high risk.E. T hey only care about the rate of return, and they accept investments that are fair games.2.Which of the following statements is(are) true?I) Risk-averse investors reject investments that are fair games.II) Risk-neutral investors judge risky investments only by the expected returns.III) Risk-averse investors judge investments only by their riskiness.IV) Risk-loving investors will not engage in fair games.A. I onlyB. I I onlyC. I and II onlyD. I I and III onlyE. I I, III, and IV only精选文库3.Which of the following statements is(are) false?I) Risk-averse investors reject investments that are fair games.II) Risk-neutral investors judge risky investments only by the expected returns.III) Risk-averse investors judge investments only by their riskiness.IV) Risk-loving investors will not engage in fair games.A. I onlyB. I I onlyC. I and II onlyD. I I and III onlyE. I II and IV only4.In the mean-standard deviation graph an indifference curve has a ________ slope.A. n egativeB. z eroC. p ositiveD. v erticalE. c annot be determined5.In the mean-standard deviation graph, which one of the following statements is true regardingthe indifference curve of a risk-averse investor?A. I t is the locus of portfolios that have the same expected rates of return and differentstandard deviations.B. I t is the locus of portfolios that have the same standard deviations and different rates ofreturn.C. I t is the locus of portfolios that offer the same utility according to returns and standarddeviations.D. I t connects portfolios that offer increasing utilities according to returns and standarddeviations.E. N one of the options6.In a return-standard deviation space, which of the following statements is(are) true for risk-averse investors? (The vertical and horizontal lines are referred to as the expected return-axis and the standard deviation-axis, respectively.)I) An investor's own indifference curves might intersect.II) Indifference curves have negative slopes.III) In a set of indifference curves, the highest offers the greatest utility.IV) Indifference curves of two investors might intersect.A. I and II onlyB. I I and III onlyC. I and IV onlyD. I II and IV onlyE. N one of the options7.Elias is a risk-averse investor. David is a less risk-averse investor than Elias. Therefore,A. f or the same risk, David requires a higher rate of return than Elias.B. f or the same return, Elias tolerates higher risk than David.C. f or the same risk, Elias requires a lower rate of return than David.D. f or the same return, David tolerates higher risk than Elias.E. C annot be determined8.When an investment advisor attempts to determine an investor's risk tolerance, which factorwould they be least likely to assess?A. T he investor's prior investing experienceB. T he investor's degree of financial securityC. T he investor's tendency to make risky or conservative choicesD. T he level of return the investor prefersE. T he investor's feelings about loss9.Assume an investor with the following utility function: U = E(r) - 3/2(s2).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%10.Assume an investor with the following utility function: U = E(r) - 3/2(s2).To maximize her expected utility, which one of the following investment alternatives would she choose?A. A portfolio that pays 10% with a 60% probability or 5% with 40% probability.B. A portfolio that pays 10% with 40% probability or 5% with a 60% probability.C. A portfolio that pays 12% with 60% probability or 5% with 40% probability.D. A portfolio that pays 12% with 40% probability or 5% with 60% probability.11.A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6%. An investor has the following utility function: U = E(r) - (A/2)s2. Which value ofA makes this investor indifferent between the risky portfolio and the risk-free asset?A. 5B. 6C. 7D. 812.According to the mean-variance criterion, which one of the following investments dominatesall others?A. E(r) = 0.15; Variance = 0.20B. E(r) = 0.10; Variance = 0.20C. E(r) = 0.10; Variance = 0.25D. E(r) = 0.15; Variance = 0.25E. N one of these options dominates the other alternatives.13.Consider a risky portfolio, A, with an expected rate of return of 0.15 and a standard deviationof 0.15, that lies on a given indifference curve. Which one of the following portfolios might lie on the same indifference curve?A. E(r) = 0.15; Standard deviation = 0.20B. E(r) = 0.15; Standard deviation = 0.10C. E(r) = 0.10; Standard deviation = 0.10D. E(r) = 0.20; Standard deviation = 0.15E. E(r) = 0.10; Standard deviation = 0.2014.U = E(r) - (A/2)s2,where A = 4.0.Based on the utility function above, which investment would you select?A. 1B. 2C. 3D. 4E. C annot tell from the information given精选文库15.U = E(r) - (A/2)s2,where A = 4.0.Which investment would you select if you were risk neutral?A. 1B. 2C. 3D. 4E. C annot tell from the information given16.U = E(r) - (A/2)s2,where A = 4.0.The variable (A) in the utility function represents theA. i nvestor's return requirement.B. i nvestor's aversion to risk.C. c ertainty-equivalent rate of the portfolio.D. m inimum required utility of the portfolio.17.The exact indifference curves of different investorsA. c annot be known with perfect certainty.B. c an be calculated precisely with the use of advanced calculus.C. a lthough not known with perfect certainty, do allow the advisor to create more suitableportfolios for the client.D. c annot be known with perfect certainty and although not known with perfect certainty, doallow the advisor to create more suitable portfolios for the client.18.The riskiness of individual assetsA. s hould be considered for the asset in isolation.B. s hould be considered in the context of the effect on overall portfolio volatility.C. s hould be combined with the riskiness of other individual assets in the proportions theseassets constitute the entire portfolio.D. s hould be considered in the context of the effect on overall portfolio volatility and should becombined with the riskiness of other individual assets in the proportions these assetsconstitute the entire portfolio.19.A fair gameA. w ill not be undertaken by a risk-averse investor.B. i s a risky investment with a zero risk premium.C. i s a riskless investment.D. w ill not be undertaken by a risk-averse investor and is a risky investment with a zero riskpremium.E. w ill not be undertaken by a risk-averse investor and is a riskless investment.20.The presence of risk means thatA. i nvestors will lose money.B. m ore than one outcome is possible.C. t he standard deviation of the payoff is larger than its expected value.D. f inal wealth will be greater than initial wealth.E. t erminal wealth will be less than initial wealth.21.The utility score an investor assigns to a particular portfolio, other things equal,A. w ill decrease as the rate of return increases.B. w ill decrease as the standard deviation decreases.C. w ill decrease as the variance decreases.D. w ill increase as the variance increases.E. w ill increase as the rate of return increases.22.The certainty equivalent rate of a portfolio isA. t he rate that a risk-free investment would need to offer with certainty to be consideredequally attractive as the risky portfolio.B. t he rate that the investor must earn for certain to give up the use of his money.C. t he minimum rate guaranteed by institutions such as banks.D. t he rate that equates "A" in the utility function with the average risk aversion coefficient forall risk-averse investors.E. r epresented by the scaling factor "-.005" in the utility function.23.According to the mean-variance criterion, which of the statements below is correct?A. I nvestment B dominates investment A.B. I nvestment B dominates investmentC.C. I nvestment D dominates all of the other investments.D. I nvestment D dominates only investment B.E. I nvestment C dominates investment A.24.Steve is more risk-averse than Edie. On a graph that shows Steve and Edie's indifferencecurves, which of the following is true? Assume that the graph shows expected return on the vertical axis and standard deviation on the horizontal axis.I) Steve and Edie's indifference curves might intersect.II) Steve's indifference curves will have flatter slopes than Edie's.III) Steve's indifference curves will have steeper slopes than Edie's.IV) Steve and Edie's indifference curves will not intersect.V) Steve's indifference curves will be downward sloping and Edie's will be upward sloping.A. I and VB. I and IIIC. I II and IVD. I and IIE. I I and IV25.The capital allocation line can be described as theA. i nvestment opportunity set formed with a risky asset and a risk-free asset.B. i nvestment opportunity set formed with two risky assets.C. l ine on which lie all portfolios that offer the same utility to a particular investor.D. l ine on which lie all portfolios with the same expected rate of return and different standarddeviations.26.Which of the following statements regarding the capital allocation line (CAL) is false?A. T he CAL shows risk-return combinations.B. T he slope of the CAL equals the increase in the expected return of the complete portfolioper unit of additional standard deviation.C. T he slope of the CAL is also called the reward-to-volatility ratio.D. T he CAL is also called the efficient frontier of risky assets in the absence of a risk-freeasset.27.Given the capital allocation line, an investor's optimal portfolio is the portfolio thatA. m aximizes her expected profit.B. m aximizes her risk.C. m inimizes both her risk and return.D. m aximizes her expected utility.E. N one of the optionsand a variance of 0.04 and 70% in a T-bill that pays 6%. His portfolio's expected return and standard deviation are __________ and __________, respectively.A. 0.114; 0.12B. 0.087; 0.06C. 0.295; 0.06D. 0.087; 0.12E. N one of the options29.An investor invests 30% of his wealth in a risky asset with an expected rate of return of 0.13and a variance of 0.03 and 70% in a T-bill that pays 6%. His portfolio's expected return and standard deviation are __________ and __________, respectively.A. 0.114; 0.128B. 0.087; 0.063C. 0.295; 0.125D. 0.081; 0.05230.An investor invests 40% of his wealth in a risky asset with an expected rate of return of 0.17and a variance of 0.08 and 60% in a T-bill that pays 4.5%. His portfolio's expected return and standard deviation are __________ and __________, respectively.A. 0.114; 0.126B. 0.087; 0.068C. 0.095; 0.113D. 0.087; 0.124E. N one of the optionsand a variance of 0.04 and 30% in a T-bill that pays 5%. His portfolio's expected return and standard deviation are __________ and __________, respectively.A. 0.120; 0.14B. 0.087; 0.06C. 0.295; 0.12D. 0.087; 0.1232.You invest $100 in a risky asset with an expected rate of return of 0.12 and a standarddeviation of 0.15 and a T-bill with a rate of return of 0.05.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. C annot be determineddeviation of 0.15 and a T-bill with a rate of return of 0.05.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. C annot be determined34.You invest $100 in a risky asset with an expected rate of return of 0.12 and a standarddeviation of 0.15 and a T-bill with a rate of return of 0.05.A portfolio that has an expected outcome of $115 is formed byA. i nvesting $100 in the risky asset.B. i nvesting $80 in the risky asset and $20 in the risk-free asset.C. b orrowing $43 at the risk-free rate and investing the total amount ($143) in the risky asset.D. i nvesting $43 in the risky asset and $57 in the riskless asset.E. S uch a portfolio cannot be formed.deviation of 0.15 and a T-bill with a rate of return of 0.05.The slope of the capital allocation line formed with the risky asset and the risk-free asset is equal toA. 0.4667.B. 0.8000.C. 2.14.D. 0.41667.E. C annot be determined36.Consider a T-bill with a rate of return of 5% and the following risky securities:Security A: E(r) = 0.15; Variance = 0.04Security B: E(r) = 0.10; Variance = 0.0225Security C: E(r) = 0.12; Variance = 0.01Security D: E(r) = 0.13; Variance = 0.0625From which set of portfolios, formed with the T-bill and any one of the four risky securities, would a risk-averse investor always choose his portfolio?A. T he set of portfolios formed with the T-bill and security A.B. T he set of portfolios formed with the T-bill and security B.C. T he set of portfolios formed with the T-bill and security C.D. T he set of portfolios formed with the T-bill and security D.E. C annot be determinedconstructed with two risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081.If you want to form a portfolio with an expected rate of return of 0.11, what percentages of your money must you invest in the T-bill and P, respectively?A. 0.25; 0.75B. 0.19; 0.81C. 0.65; 0.35D. 0.50; 0.50E. C annot be determined38.You are considering investing $1,000 in a T-bill that pays 0.05 and a risky portfolio, P,constructed with two risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081.If you want to form a portfolio with an expected rate of return of 0.10, what percentages of your money must you invest in the T-bill, X, and Y, respectively, if you keep X and Y in the same proportions to each other as in portfolio P?A. 0.25; 0.45; 0.30B. 0.19; 0.49; 0.32C. 0.32; 0.41; 0.27D. 0.50; 0.30; 0.20E. C annot be determinedconstructed with two risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081.What would be the dollar values of your positions in X and Y, respectively, if you decide to hold 40% of your money in the risky portfolio and 60% in T-bills?A. $240; $360B. $360; $240C. $100; $240D. $240; $160E. C annot be determined40.You are considering investing $1,000 in a T-bill that pays 0.05 and a risky portfolio, P,constructed with two risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081.What would be the dollar value of your positions in X, Y, and the T-bills, respectively, if you decide to hold a portfolio that has an expected outcome of $1,120?A. C annot be determinedB. $568; $378; $54C. $568; $54; $378D. $378; $54; $568E. $108; $514; $378精选文库41.A reward-to-volatility ratio is useful inA. m easuring the standard deviation of returns.B. u nderstanding how returns increase relative to risk increases.C. a nalyzing returns on variable rate bonds.D. a ssessing the effects of inflation.E. N one of the options42.The change from a straight to a kinked capital allocation line is a result ofA. r eward-to-volatility ratio increasing.B. b orrowing rate exceeding lending rate.C. a n investor's risk tolerance decreasing.D. i ncrease in the portfolio proportion of the risk-free asset.43.The first major step in asset allocation isA. a ssessing risk tolerance.B. a nalyzing financial statements.C. e stimating security betas.D. i dentifying market anomalies.44.Based on their relative degrees of risk toleranceA. i nvestors will hold varying amounts of the risky asset in their portfolios.B. a ll investors will have the same portfolio asset allocations.C. i nvestors will hold varying amounts of the risk-free asset in their portfolios.D. i nvestors will hold varying amounts of the risky asset and varying amounts of the risk-freeasset in their portfolios.45.Asset allocation may involveA. t he decision as to the allocation between a risk-free asset and a risky asset.B. t he decision as to the allocation among different risky assets.C. c onsiderable security analysis.D. t he decision as to the allocation between a risk-free asset and a risky asset and thedecision as to the allocation among different risky assets.E. t he decision as to the allocation between a risk-free asset and a risky asset andconsiderable security analysis.46.In the mean-standard deviation graph, the line that connects the risk-free rate and the optimalrisky portfolio, P, is calledA. t he security market line.B. t he capital allocation line.C. t he indifference curve.D. t he investor's utility line.47.Treasury bills are commonly viewed as risk-free assets becauseA. t heir short-term nature makes their values insensitive to interest rate fluctuations.B. t he inflation uncertainty over their time to maturity is negligible.C. t heir term to maturity is identical to most investors' desired holding periods.D. t heir short-term nature makes their values insensitive to interest rate fluctuations and theinflation uncertainty over their time to maturity is negligible.E. t he inflation uncertainty over their time to maturity is negligible and their term to maturity isidentical to most investors' desired holding periods.48.Your client, Bo Regard, holds a complete portfolio that consists of a portfolio of risky assets(P) and T-Bills. The information below refers to these assets.What is the expected return on Bo's complete portfolio?A. 10.32%B. 5.28%C. 9.62%D. 8.44%E. 7.58%(P) and T-Bills. The information below refers to these assets.What is the standard deviation of Bo's complete portfolio?A. 7.20%B. 5.40%C. 6.92%D. 4.98%E. 5.76%(P) and T-Bills. The information below refers to these assets.What is the equation of Bo's capital allocation line?A. E(r C) = 7.2 + 3.6 × Standard De viation of CB. E(r C) = 3.6 + 1.167 × Standard Deviation of CC. E(r C) = 3.6 + 12.0 × Standard Deviation of CD. E(r C) = 0.2 + 1.167 × Standard Deviation of CE. E(r C) = 3.6 + 0.857 × Standard Deviation of C(P) and T-Bills. The information below refers to these assets.What are the proportions of stocks A, B, and C, respectively, in Bo's complete portfolio?A. 40%, 25%, 35%B. 8%, 5%, 7%C. 32%, 20%, 28%D. 16%, 10%, 14%E. 20%, 12.5%, 17.5%52.To build an indifference curve we can first find the utility of a portfolio with 100% in the risk-free asset, thenA. f ind the utility of a portfolio with 0% in the risk-free asset.B. c hange the expected return of the portfolio and equate the utility to the standard deviation.C. f ind another utility level with 0% risk.D. c hange the standard deviation of the portfolio and find the expected return the investorwould require to maintain the same utility level.E. c hange the risk-free rate and find the utility level that results in the same standarddeviation.53.The capital market lineI) is a special case of the capital allocation line.II) represents the opportunity set of a passive investment strategy.III) has the one-month T-Bill rate as its intercept.IV) uses a broad index of common stocks as its risky portfolio.A. I, III, and IVB. I I, III, and IVC. I II and IVD. I, II, and IIIE. I, II, III, and IV54.An investor invests 35% of his wealth in a risky asset with an expected rate of return of 0.18and a variance of 0.10 and 65% in a T-bill that pays 4%. His portfolio's expected return and standard deviation are __________ and __________, respectively.A. 0.089; 0.111B. 0.087; 0.063C. 0.096; 0.126D. 0.087; 0.14455.An investor invests 30% of his wealth in a risky asset with an expected rate of return of 0.11and a variance of 0.12 and 70% in a T-bill that pays 3%. His portfolio's expected return and standard deviation are __________ and __________, respectively.A. 0.086; 0.242B. 0.054; 0.104C. 0.295; 0.123D. 0.087; 0.182E. N one of the optionsdeviation of 0.20 and a T-bill with a rate of return of 0.03.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 0.08?A. 85% and 15%B. 75% and 25%C. 62.5% and 37.5%D. 57% and 43%E. C annot be determined57.You invest $100 in a risky asset with an expected rate of return of 0.11 and a standarddeviation of 0.20 and a T-bill with a rate of return of 0.03.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 0.08?A. 30% and 70%B. 50% and 50%C. 60% and 40%D. 40% and 60%E. C annot be determineddeviation of 0.20 and a T-bill with a rate of return of 0.03.The slope of the capital allocation line formed with the risky asset and the risk-free asset is equal toA. 0.47.B. 0.80.C. 2.14.D. 0.40.E. C annot be determined59.You invest $1,000 in a risky asset with an expected rate of return of 0.17 and a standarddeviation of 0.40 and a T-bill with a rate of return of 0.04.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 0.11?A. 53.8% and 46.2%B. 75% and 25%C. 62.5% and 37.5%D. 46.2% and 53.8%E. C annot be determineddeviation of 0.40 and a T-bill with a rate of return of 0.04.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 0.20?A. 30% and 70%B. 50% and 50%C. 60% and 40%D. 40% and 60%E. C annot be determined61.You invest $1,000 in a risky asset with an expected rate of return of 0.17 and a standarddeviation of 0.40 and a T-bill with a rate of return of 0.04.The slope of the capital allocation line formed with the risky asset and the risk-free asset is equal toA. 0.325.B. 0.675.C. 0.912.D. 0.407.E. C annot be determineddeviation of 0.21 and a T-bill with a rate of return of 0.045.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 0.13?A. 130.77% and -30.77%B. -30.77% and 130.77%C. 67.67% and 33.33%D. 57.75% and 42.25%E. C annot be determined63.You invest $100 in a risky asset with an expected rate of return of 0.11 and a standarddeviation of 0.21 and a T-bill with a rate of return of 0.045.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 0.08?A. 301% and 69.9%B. 50.5% and 49.50%C. 60.0% and 40.0%D. 61.9% and 38.1%E. C annot be determineddeviation of 0.21 and a T-bill with a rate of return of 0.045.A portfolio that has an expected outcome of $114 is formed byA. i nvesting $100 in the risky asset.B. i nvesting $80 in the risky asset and $20 in the risk-free asset.C. b orrowing $46 at the risk-free rate and investing the total amount ($146) in the risky asset.D. i nvesting $43 in the risky asset and $57 in the risk-free asset.E. S uch a portfolio cannot be formed.65.You invest $100 in a risky asset with an expected rate of return of 0.11 and a standarddeviation of 0.21 and a T-bill with a rate of return of 0.045.The slope of the capital allocation line formed with the risky asset and the risk-free asset is equal toA. 0.4667.B. 0.8000.C. 0.3095.D. 0.41667.E. C annot be determinedShort Answer Questions66.Discuss the differences between investors who are risk averse,risk neutral,and risk loving.67.In the utility function: U = E(r) - [-0.005As2], what is the significance of "A"?68.What is a fair game? Explain how the term relates to a risk-averse investor's attitude towardspeculation and risk and how the utility function reflects this attitude.69.Draw graphs that represent indifference curves for the following investors: Harry, who is arisk-averse investor; Eddie, who is a risk-neutral investor; and Ozzie, who is a risk-loving investor. Discuss the nature of each curve and the reasons for its shape.70.Toby and Hannah are two risk-averse investors. Toby is more risk-averse than Hannah. Drawone indifference curve for Toby and one indifference curve for Hannah on the same graph.Show how these curves illustrate their relative levels of risk aversion.71.Discuss the characteristics of indifference curves, and the theoretical value of these curves inthe portfolio building process.72.Describe how an investor may combine a risk-free asset and one risky asset in order toobtain the optimal portfolio for that investor.73.The optimal proportion of the risky asset in the complete portfolio is given by the equation y* =[E(r P) - r f]/(.01A times the variance of P). For each of the variables on the right side of the equation, discuss the impact of the variable's effect on y* and why the nature of therelationship makes sense intuitively. Assume the investor is risk averse.74.You are evaluating two investment alternatives. One is a passive market portfolio with anexpected return of 10% and a standard deviation of 16%. The other is a fund that is actively managed by your broker. This fund has an expected return of 15% and a standard deviation of 20%. The risk-free rate is currently 7%. Answer the questions below based on thisinformation.a. What is the slope of the capital market line?b. What is the slope of the capital allocation line offered by your broker's fund?c. Draw the CML and the CAL on one graph.d. What is the maximum fee your broker could charge and still leave you as well off as if youhad invested in the passive market fund? (Assume that the fee would be a percentage of the investment in the broker's fund and would be deducted at the end of the year.)e. How would it affect the graph if the broker were to charge the full amount of the fee?。

投资学第6章

益。
投资学第9章
2
2. 终值与现值货币时间价值的表示方式：终值和现值。
终值，又称复利未来值或本利和，是指现期
投入一定量的货币资金，若干期后可以获得的本金和利息的总和。
计算公式为：
F P(1 i)n
F－复利终值；P－复利现值；n－计息期数；
(1 i)n －终值系数
投资学第9章
3
现值，是指以后年份收入或支出资金的现在价值，即在以后年份取得一定量的收入或支出一定量的资金相当于现在取得多少收入或支出多少资金量。
7
1. 1. 单利债券价值评估 2. 1）债券到期一次还本付息 3. 4. 债券的投资价值为：
V0
F iF t 1 rn
V0－投资价值；F－债券面值；i－年利率；t－偿还
期限；n－残存年限；r－贴现率
投资学第9章
8
1. 2）债券每年支取利息，到期还本 2. 3. 债券的投资价值为：
V0
F iFn 1 rn
15
作业：
教材P82 练习题1、2、3、4
投资学第9章
16
▪
生活中的辛苦阻挠不了我对生活的热爱。20.12.2720.12.27Sunday, December 27, 2020
▪
人生得意须尽欢，莫使金樽空对月。09:32:3909:32:3909:3212/27/2020 9:32:39 AM
V0－投资价值；F－债券面值；i－年利率；n－残存
年限；r－贴现率
投资学第9章
9
1. 3）债券每年支取利息，且按复利法再投资，到期还本
2. 3. 债券的投资价值为：
V0
n t 1

《投资学(第6版)》第6章项目融资

由合伙人共同拥有；
② 合资型结构的债务责任由公司承担，而合伙人对合伙型结构中的债务承担个人责任；
③ 合资型结构的股东很少能代表公司去执行公司权利，而合伙型结构下的每一个合伙人都可以以所有合伙人的名义去执行权利；
④ 合资型结构的管理是公司董事会的责任，而在合伙型结构中（有限合伙除外），每一个合伙人都有权参与合伙型结构的经营管理；
6.1.1 项目融资的概念
二、项目融资的特点
1 • 项目导向 2 • 有限追索和无限追索 3 • 非公司负债型融资 4 • 信用结构多样化 5 • 融资成本高
6.1 项目融资概论
6.1 项目融资概论
6.1.1 项目融资的概念
三、项目融资的应用
项目融资近几十年来已发展成为一种为大型工程项目建设开发融资的成熟手段。在过去的30～40年中，项目融资发展迅速，在石油、煤炭、钢铁、有色金属、森林、发电以及一些大型基础设施建设中得到广泛的应用。
6.1 项目融资概论
三、项目融资的应用
近年来,PPP模式在我国逐渐兴起,成为加强基础设施、补短板、调动社会投资的重要推手。PPP是Public-Private-Partnership的缩写,它是对社会资本和政府合作,并参与公共基础设施建设的统称,它的范围和内涵较BOT方式更加宽泛,包括特许经营权、股权合作和政府购买服务等多种形式。
6.1 项目融资概论
6.1.3 项目公司的组织形式
特点：
① 合作协议中规定每一个合作人从合作项目中将获得相应份额的产品，而不是相应份额的利润；
② 合作型结构中的每一发起人都有权独立作出其投资比例、原材料供应、产品处置等重大商业决策，对其他发起人的债务责任或民事责任不负任何的连带责任，没有一个发起人可以作为其他发起人的代理人；

金融学投资经管课件教案-证券投资学06

什么是“反映所有可得信息”
价格对新信息反应的速度和程度
有效和非有效市场中价格对新信息的反应
股票价格
过激反应和回归
有效市场对新信息的反应
延迟反应

0
宣布前（-）或者后（+）的天数
强形式有效性半强形式有效性
弱形式有效性
例子：
总是在股价上涨后卖出股票，能赚到钱
There is no information out there that can be used to construct strategies that earn returns higher than required for their risk.
When we say ‘prices are correct’, we are implicitly statement what ‘correct’ is (i.e., we are assuming an asset pricing model)
Prices react to new information quickly and to the right extent
Market efficiency means
There is no free lunch
The only way you can get higher returns is by taking on more risk
1. 随机游走和有效市场
例子：一种模型预测股票价格三天后将从20元/股涨至23元/股
The forecast of a future price increase will lead instead to an immediate price increase

投资学第六讲

Rule 3 Holding other factors constant, the convexity of a coupon bond is higher when the bond’s yield to maturity is lower
COMPOUNDED INTEREST RATE
Assume annual interest rate is r, if
Annually compounded,
V V0 (1 r)t
Semianually compounded
V
V0 (1
1 r)2t 2
Continuously compounded
E.g. 30 year bond, coupon rate 8%, par value $1,000, what is the bond price if the interest rate is 10%, 8%, or 6%
Factors affect the price: discount rate, time to maturity
DURATION/PRICE RELATIONSHIPEXAMPLE
30 year bond, coupon rate 8%, yield to maturity 9%, current price $897.26, modified duration is 11.37 years, if yield to maturity increases to 9.1%, what is the price changes?
When yield change is big, need to consider convexity
Convexity measures the curvature of the priceyield curve, it is the second derivative (the rate of change of he slope) of the price-yield curve divided by the bond price

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• 2 dominates 1; has a higher return • 2 dominates 3; has a lower risk • 4 dominates 3; has a higher return
6-6
Utility and Indifference Curves
Represent an investor’s willingness to trade-off return and risk. Example
Rule 2: The variance of an asset’s return is the expected value of the squared deviations from the expected return.
= ∑ P(s)[r(s) − E(r)] σ s
2
2
6-10
Return on a Portfolio
6-13
6-11
Portfolio Risk with Risk-Free Asset
Rule 4: When a risky asset is combined with a risk-free asset, the portfolio standard deviation equals the risky asset’s standard deviation multiplied by the portfolio proportion invested in the risky asset.
U = E ( r ) - .005 A σ 2 = .22 - .005 A (34%) 2 Risk Aversion A Value High 5 -6.90 3 4.66 Low 1 16.22
T-bill = 5%
6-5
Dominance Principle
Expected Return 4 2 1 Variance or Standard Deviation 3
E(W) = pW1 + (1-p)W2 = 6 (150) + .4(80) = 122
σ2 = p[W1 - E(W)]2 + (1-p) [W2 - E(W)]2 =
.6 (150-122)2 + .4(80=122)2 = 1,176,000
σ = 34.293
6-2
Risky Investments with Risk-Free
6-8
Expected Return
Rule 1 : The return for an asset is the probability weighted average return in all scenarios.
E(r) = ∑P(s)r(s)
s
6-9
Variance of Return
Risk and Risk Aversion
Chapter 6
McGraw-Hill/Irwin
Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved.
Risk - Uncertain Outcomes
W1 = 150 Profit = 50 W = 100 1-p = .4 W2 = 80 Profit = -20
Risky Inv.
W1 = 150 Profit = 50
100
1-p = .4 Risk Free T-bills
W2 = 80 Profit = -20 Profit = 5
Risk Premium = 17
6-3
Risk Aversion & Utility
Investor’s view of risk
σ p = wriskyasset×σ riskyasset
6-12
Portfolio Risk
Rule 5: When two risky assets with variances σ12 and σ22, respectively, are combined into a portfolio with portfolio weights w1 and w2, respectively, the portfolio variance is given by: σp2 = w12σ12 + w22σ22 + 2W1W2 Cov(r1r2) Cov(r1r2) = Covariance of returns for Security 1 and Security 2
Exp Ret 10 15 20 25 St Deviation U=E ( r ) - .005Aσ2 20.0 2 25.5 2 30.0 2 33.9 2
6-7
Indifference Curves
Expected Return
Increasing Utility
Standard Deviation
Risk Averse Risk Neutral Risk Seeking
Utility Uti 2 A measures the degree of risk aversion
6-4
Risk Aversion and Value:
Rule 3: The rate of return on a portfolio is a weighted average of the rates of return of each asset comprising the portfolio, with the portfolio proportions as weights. r p = W 1r 1 + W 2r 2 W1 = Proportion of funds in Security 1 W2 = Proportion of funds in Security 2 r1 = Expected return on Security 1 r2 = Expected return on Security 2