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
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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 Eight,Index Models,Copyright 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.,Advantages of a single-factor model Risk decomposition Systematic vs. firm-specific Single-index model and its estimation Optimal risky portfolio in the index model Index model vs. Markowitz procedure,Chapter Overview,Advantages Reduces the number of inputs for diversification Easier for security analysts to specialize Model i = response of an individual securitys return to the common factor, m; measure of systematic risk m = a common macroeconomic factor ei = firm-specific surprises,A Single-Factor Market,Regression equation: Expected return-beta relationship:,Single-Index Model,Variance = Systematic risk + Firm-specific risk: Covariance = Product of betas Market index risk:,Single-Index Model,Correlation = Product of correlations with the market index,Single-Index Model,Variance of the equally-weighted portfolio of firm-specific components: When n gets large, 2(ep) becomes negligible and firm specific risk is diversified away,Index Model and Diversification,Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient p,Figure 8.2 Excess Returns on HP and S&P 500,Figure 8.3 Scatter Diagram of HP, the S&P 500, and HPs SCL,Table 8.1 Excel Output: Regression Statistics for the SCL of Hewlett-Packard,Correlation of HP with the S&P 500 is 0.7238 The model explains about 52% of the variation in HP HPs alpha is 0.86% per month (10.32% annually) but it is not statistically significant HPs beta is 2.0348, but the 95% confidence interval is 1.43 to 2.53,Table 8.1 Interpreting the Output,Figure 8.4 Excess Returns on Portfolio Assets,Alpha and Security Analysis Use macroeconomic analysis to estimate the risk premium and risk of the market index. Use statistical analysis to estimate the beta coefficients of all securities and their residual variances, 2(ei). Establish the expected return of each security absent any contribution from security analysis. Use security analysis to develop private forecasts of the expected returns for each security.,Portfolio Construction and the Single-Index Model,Single-Index Model Input List Risk premium on the S&P 500 portfolio Estimate of the SD of the S&P 500 portfolio n sets of estimates of Beta coefficient Stock residual variances Alpha values,Portfolio Construction and the Single-Index Model,Optimal risky portfolio in the single-index model Expected return, SD, and Sharpe ratio:,Portfolio Construction and the Single-Index Model,Optimal risky portfolio in the single-index model is a combination of Active portfolio, denoted by A Market-index portfolio, the passive portfolio, denoted by M,Portfolio Construction and the Single-Index Model,Optimal risky portfolio in the single-index model Modification of active portfolio position: when,Portfolio Construction and the Single-Index Model,The Information Ratio The Sharpe ratio of an optimally constructed risky portfolio will exceed that of the index portfolio (the passive strategy):,Portfolio Construction and the Single-Index Model,The Information Ratio The contribution of the active portfolio depends on the ratio of its alpha to its residual standard deviation The information ratio measures the extra return we can obtain from security analysis,Portfolio Construction and the Single-Index Model,Figure 8.5 Efficient Frontiers with the Index Model and Full-Covariance Matrix,Table 8.2 Portfolios from the Single-Index and Full-Covariance Models,Full Markowitz model may be better in principle, but Using the full-covariance matrix invokes estimation risk of thousands of terms Cumulative errors may result in a portfolio that is actually inferior to that derived from the single-index model The single-index model is practical and decentralizes macro and security analysis,Is the Index Model Inferior to the Full-Covariance Model?,Use 60 most recent months of price data Use S&P 500 as proxy for M Compute total returns that ignore dividends Estimate index model without excess returns:,Industry Version of the Index Model,Adjust beta because The average beta over all securities is 1;
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