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ch07 (7版) 最优风险资产组合
ch07 (7版) 最优风险资产组合
8-1
8-2
7.1
7.2
7.3
7.4
7.5
8-3
7.1
7-1a )
8-4
7.1
7-1
a)
n
8-5
7.1
7-1b )
8-6
7.1
()
()
n
8-7
7-1
8-8
7.1
8-9
7-2
8-10
7.2
D
E 7-1
8-11
(covariance)
8-12
0.50
0.30
(%)
25
10
(%) 1
-5
0.2
-25
35
[r-E(r) ] [r-E(r) ]
8-13
Cov(rr)
Pr(s)[r(s)-E(r)][r(s)-E(r)]
rD rE
8-14
E(r )10.5%E(r)6%
Cov(r r)
0.5(25 -10.5)(1-6) 0.3(10-10.5)(-5-6) 0.2(25-10.5)(35-6)-240.5
8-15
5
5: s12 s22
w1 w2
sp2
sp2 = w12s12 + w22s22 + 2w1w2 Cov(r1r2)
Cov(r1r2) =12
8-16
7.2
rp
= wDrD +wErE
(7-1)
wD =
rD =
w=
r=
n
wi = 1
i=1
8-17
7.2
P
E(rp)=wDE(rD)+wEE(rE)
(7-2)
8-18
7.2
sp2 = w2s2 + w2sE2 + 2wDwECov(rD,rE)
7-3
sD2 =
sE2 =
Cov(rr) =
8-19
7.2
7-4
8-20
7-2
8-21
DE =Cov(rrE)/ sDsE
7-6
Cov(rrD) = D2
DE =
8-22
r DE
-1.0 < r DE < 1.0
= 1.0,
r = -1.0,
8-23
r = 1.0
sp = ws + wsE
7-7
7-8
7-9
8-24
r = -1.0()
ws - wsE = 0
w=E/(D + E)
w E= D / (D+E) =1-WD
8-25
AB
A10%5%B15%
10%AB AB =-1
rfrf =
8-26
A B
WA WB
p =WA A WB B =0
WB =1-0.6667=0.3333
Erf=0.666710+0.333315=11.667%
8-27
7.2
= 1.0
-
-
8-28
7.27-1
7-1
7-1
E(rp)0.08wD0.13wE
p20.122wD20.202wE220.120.200.3wDwE
0.0144wD20.04wE20.0144wDwE
p( p2)1/2
7 - 3
8-29
8-30
7.2
7-37-3
E0
110
8%13%
7-4
8-31
7-3
8-32
7-4
8-33
7.2
7-17-3
sp2 = w2s2 + w2sE2 + 2wDwECov(rD,rE)
1-wDwE sp2 = w2s2 + 1-wD 2sE2 +
2wD (1-wD )Cov(rD,rE)
=0
s 2E Cov(rD , rE )
w min (D) 2
s D s 2E 2Cov(rD , rE )
8-34
7.2
7-1
wMin(D)0.82
wMin(E)1-0.820.18
7-30.3
Min[(0.8220.122)(0.1820.22)
(20.820.180.72)]1/2
11.45%
8-35
7-4
8-36
7.2
7 - 40.3
wD1wE1
wD1wE1
1
8-37
7.2
0
010.29%
7-3,
-1
8-38
7.2
7-37-4
7-5
wDwE7
-37-4
7-3
7-5
8-39
7-5
8-40
7.2
-1.0 < < +1.0
= +1.0,
8-41
s1 = 0.15
r
12 =0 .2
Sec 2 E(r2) = 0.14 s2 = 0.20
Sec 1 E(r1) = 0.10
8-42
7-31-W1
W2W1=0
s 22 - Cov(r1,r2)
W1* =
s 12 + s 22 - 2Cov(r1r2)
W2 = (1 - W1)
8-43
r = 0.2
(.2)2 - (.2)(.15)(.2)
W1 =
W1 = .6733
W2 = (1 - .6733) = .3267
8-44
r =0 .2
s p = [(.6733)2(.15)2 + (.3267)2(.2)2 +
2(.6733)(.3267)(.2)(.15)(.2)]
s p= [.0171]
1/2
1/2
= 0.1308
8-45
r = -0.3
(.2)2 - (.2)(.15)(.2)
W1 =
W1 = .6087
W2 = (1 - .6087) = .3913
8-46
r =-0.3
s p = [(.6087)2(.15)2 + (.3913)2(.2)2 +
1/2
2(.6087)(.3913)(.2)(.15)(-.3)]
s p= [.0102]
1/2
=0 .1009
8-47
3S
Ers=20%s =30%BErB
=12%B =15%8%
SB =0.1
8-48
Wmin
s2B COV(rs , rB )
225 45
S= 2
=
=0.1739
2
sS sB 2COV(rs , rB ) 900 225 2 45
Wmin B=1-0.1739=0.8261
Ermin=0.1739200.826112=13.39%
s 2min = WS2 sS2 WB2 s2B 2 WS WB COV(rs , rB ) =0.17392 900+0.82612 225+2
0.17390.826145
min =13.92%
8-49
7.3
8-50
7.3
7-6
8-51
7.3
CAL rf 5%
A82%18%
7-3 A8.9%
11.45%5%
:
SA=[E(rA)-rf]/A=8.9-5/11.45=0.34
8-52
7.3
BAB
70% 30%9.5%
4.5%11.7%
SB =9.55/11.7= 0.38
BA
8-53
7.3
B
P7-7
7-7P
E(rP)11%P14.2%
8-54
7-7
8-55
8-56
8-57
7-2
8-58
AErA=10%A =20%
BErB=30%B =60%5%
ABAB =-0.2
P
8-59
COVrArB=ABA B =-0.22060=-240
P AB
[E(rA ) rf ]sB2 [E(rB ) rf ]COV(rA , rB )
WA =
[E(rA ) rf ]sB2 [E(rB ) rf ]sA2 [E(rA ) rf E(rB ) rf ]COV(rA , rB )
(10 5)602 (30 5)(240)
=
=0.6818
(10 5)602 (30 5)202 30(-240)
WB =1- WA =0.3182
Erp=0.681810+0.312830=16.36%
2
p =21.13%
8-60
ABA8.9%
11.45%B9.5%11.7%
5%AB
8-61
AB -/
CAL
SA =
E(rA ) rf
=8.9-5/11.45=0.34
sA
SB =
E(rB ) rf
=9.5-5/11.7=0.38
sB
SBSA
B A
8-62
7.3
A4
P
y*=[E(rP)-rf]/[AP2]=0.7439 7-14
74.39%
P25.61%
P40%
ywD0.40.74390.297629.76%
ywE0.60.7439
0.446344.63%
7 - 87- 9
8-63
7-8
8-64
7-9
8-65
1)
2)
a. P7 - 13
b. a7 - 17 - 2
P
3)
a. P
7 - 14
b.
8-66
7.4
8-67
()
()
7-10
8-68
7.4.1
-
7-10
8-69
7.4.1
7 - 11
P
P
7- 8
8-70
7.4.2
8-71
7.4.2
8-72
7.4.2
8-73
ALTERNATIVE CALS CAL (P)
E(r)
CAL (A)
M
M
P
CAL (
A
A
G
P&F
A&F
s
8-74
8-75
8-76
8-77
8-78
E(rp)=wDE(rD)+wEE(rE)
sp2 = w12s12 + w22s22 + 2w1w2 Cov(r1r2)
Cov(rrE) = DE sDsE
Cov rD , rE Pr rD ErD rE ErE
8-79
s Cov(rD , rE )
w min (D) 2
s D s 2E 2Cov(rD , rE )
2
E
y*=[E(rP)-rf]/[AP2]
8-80
9-15
915
8%
(%)
(%)
(S)
20
30
(B)
12
15
0 . 1 0
9.
10.
0%1 0 0%2 0%
8-81
11.
12.
13.
14. 1 4%
a.
b.
15. 1 4%
8-82
9.
Bonds
225
45
Stocks
45
900
s 2B Cov(rS , rB )
225 45
wMin(S) = 2
0.1739
sS s 2B 2Cov(rS , rB ) 900 225 (2 45)
wMin(B) = 1 0.1739 = 0.8261
The minimum variance portfolio mean and standard deviation are:
E(rMin) = (0.1739 20) + (0.8261 12) 13.39%
sMin = [ w S2 s S2 w 2B s 2B 2 w S w B Cov (rS , rB )]1 / 2
= [(0.17392 900) + (0.82612 225) + (2 0.1739 0.8261 45)]1/2
= 13.92%
8-83
10.
Proportion Proportion
in stock fund in bond fund
0.00%
100.00%
17.39%
82.61%
20.00%
80.00%
40.00%
60.00%
45.16%
54.84%
60.00%
40.00%
80.00%
20.00%
100.00%
0.00%
Expected
return
12.00%
13.39%
13.60%
15.20%
15.61%
16.80%
18.40%
20.00%
Standard
Deviation
15.00%
13.92%
13.94%
15.70%
16.54%
19.53%
24.48%
30.00%
minimum
variance
tangency
portfolio
8-84
11.
The graph indicates that the optimal portfolio is the tangency portfolio with
expected return approximately 15.6% and standard deviation
approximately 16.5%.
8-85
12.
The proportion of the optimal risky portfolio invested in the stock fund is
given by:
[( 20 8) 225 ] [(12 8) 45 ]
0.4516
[( 20 8) 225 ] [(12 8) 900 ] [( 20 8 12 8) 45 ]
wB = 1 0.4516 = 0.5484
The mean and standard deviation of the optimal risky portfolio are:
E(rP) = (0.4516 20) + (0.5484 12) = 15.61%
sp = [(0.45162 900) + (0.54842 225) + (2 0.4516 0.5484 45)]1/2
13.
= 16.54%
The reward-to-variability ratio of the optimal CAL is:
E(rp ) rf
sp
15.61 8
0.4601
16.54
8-86
14.
a.
E(rC ) rf
b.
E(rp ) rf
sP
s C 8 0.4601s C
Setting E(rC) equal to 14%, we find that the standard deviation of the
optimal portfolio is 13.04%.
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 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:
E(rC) = (l y)rf + yE(rP) = rf + y[E(rP) rf] = 8 + y(15.61 8)
Setting E(rC) = 14% we find: y = 0.7884 and (1 y) = 0.2116 (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 =
0.3560
Proportion of bonds in complete portfolio = 0.7884 0.5484 =
0.4324
8-87
15. Using only the stock and bond funds to achieve a portfolio expected return
of 14%, we must find the appropriate proportion in the stock fund (wS) and
the appropriate proportion in the bond fund (wB = 1 wS) as follows:
14 = 20wS + 12(1 wS) = 12 + 8wS wS = 0.25
So the proportions are 25% invested in the stock fund and 75% in the bond
fund. The standard deviation of this portfolio will be:
sP = [(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.
8-88