博迪《投资学》第十版·英文版（全套讲义+课后习题答案）
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博迪投资学课后答案
博迪《投资学》第
课后习题答案
博迪投资学第
博迪投资学课后习题答案
博迪投资学第10版讲义
课后习题答案英文版
博迪《投资学》
博迪《投资学》第10版
《投资学》第10版
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Chapter Six,Capital Allocation to Risky Assets,Copyright 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.,Risk aversion and its estimation Two-step process of portfolio construction Composition of risky portfolio Capital allocation between risky and risk-free assets Passive strategies and the capital market line (CML),Chapter Overview,Risk and Risk Aversion,Speculation,Taking considerable risk for a commensurate gain Parties have heterogeneous expectations,Gamble,Bet on an uncertain outcome for enjoyment Parties assign the same probabilities to the possible outcomes,Utility Values Investors are willing to consider: Risk-free assets Speculative positions with positive risk premiums Portfolio attractiveness increases with expected return and decreases with risk What happens when return increases with risk?,Risk and Risk Aversion,Table 6.1 Available Risky Portfolios,Each portfolio receives a utility score to assess the investors risk/return trade off,Utility Function U = Utility E(r) = Expected return on the asset or portfolio A = Coefficient of risk aversion 2 = Variance of returns = A scaling factor,Risk Aversion and Utility Values,Table 6.2 Utility Scores of Portfolios with Varying Degrees of Risk Aversion,Use questionnaires Observe individuals decisions when confronted with risk Observe how much people are willing to pay to avoid risk,Estimating Risk Aversion,Mean-Variance (M-V) Criterion Portfolio A dominates portfolio B if: and,Estimating Risk Aversion,Asset Allocation The choice among broad asset classes that represents a very important part of portfolio construction The simplest way to control risk is to manipulate the fraction of the portfolio invested in risk-free assets versus the portion invested in the risky assets,Capital Allocation Across Risky and Risk-Free Portfolios,Basic Asset Allocation Example,Let y = Weight of the risky portfolio, P, in the complete portfolio (1-y) = Weight of risk-free assets,Basic Asset Allocation Example,Only the government can issue default-free securities A security is risk-free in real terms only if its price is indexed and maturity is equal to investors holding period T-bills viewed as “the” risk-free asset Money market funds also considered risk-free in practice,The Risk-Free Asset,Figure 6.3 Spread Between 3-Month CD and T-bill Rates,Its possible to create a complete portfolio by splitting investment funds between safe and risky assets Let y = Portion allocated to the risky portfolio, P (1 - y) = Portion to be invested in risk-free asset, F,Portfolios of One Risky Asset and a Risk-Free Asset,rf = 7% E(rp) = 15%,rf = 0% p = 22%,The expected return on the complete portfolio:,The risk of the complete portfolio:,One Risky Asset and a Risk-Free Asset: Example,Rearrange and substitute y = C/P:,One Risky Asset and a Risk-Free Asset: Example,Figure 6.4 The Investment Opportunity Set,Capital allocation line with leverage Lend at rf = 7% and borrow at rf = 9% Lending range slope = 8/22 = 0.36 Borrowing range slope = 6/22 = 0.27 CAL kinks at P,Portfolios of One Risky Asset and a Risk-Free Asset,Figure 6.5 The Opportunity Set with Differential Borrowing and Lending Rates,The investor must choose one optimal portfolio, C, from the set of feasible choices Expected return of the complete portfolio: Variance:,Risk Tolerance and Asset Allocation,Table 6.4 Utility Levels for Various Positions in Risky Assets,Figure 6.6 Utility as a Function of Allocation to the Risky Asset, y,Table 6.5 Spreadsheet Calculations of Indifference Curves,Figure 6.7 Indifference Curves for U = .05 and U = .09 with A = 2 and A = 4,Figure 6.8 Finding the Optimal Complete Portfolio,Table 6.6 Expected Returns on Four Indifference Curves and the CAL,The passive strategy avoids any direct or indirect security analysis Supply and demand forces may make such a strategy a reasonable choice for many investors A natural candidate for a passively held risky asset would be a well-diversified portfolio of common stocks such as the S&P 500,Passive Strategies: The Capital Market Line,The Capital Market Line (CML) Is a capital allocation line formed investment in two passive portfolios: Virtually risk-free short-term T-bills (or a money market fund) Fund of common stocks that mimics a broad market index,Passive Strategies: The Capita
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