12金融答案翻译12章

1、12金融答案翻译12章SOLUTION:a. Dad has exposed himself to risk by concentrating almost all of his plan money in the Ruffy Stock fund. This is analogous to taking 100% of the money a family has put aside for investment and investing it in a single stock. 父亲将自己完全置身于冒险中，通过将几乎所有的计划资金投资于 Ruffy 存货基金。这就相当于将一个家庭所有的

2、金钱 100% 的用于投资且是单一 的股票投资。First, Dad needs to be shown that just because the company stock has continually performed quite well is no guarantee that it will do so indefinitely. The company may have sold off the divisions which produced price declines in the past, but future problems are unpredictable,

3、 and so is the movement of the stock price.“ Past performance is no guarantee offuture results ” is the lesson.首先，父亲需要被展示这个公司的股票持续良好的态势，并且( is no guarantee that it will do so indefinitely )这个公司在过去也许已经出售完价 格下跌的部分， 但是未来的问题是不确定的， 股票接个的变动也如此。 “过 去的表现并不能保证未来的结果。”就是讲述这样的道理。fundSecond, Dad needs to hear ab

4、out diversification. He needs to be counseled that he can reduce his risk by allocating his money among several of the options available to him. Indeed, he can reduce his risk considerably merely by moving all of his money into the“ blendbecause it is diversified by design: it has a fixed-income com

5、ponent, a large companies component, and a small companies component. Diversification is achieved not only via the three differing objectives of these components, but also via the numerous stocks that comprise each of the three components.其次，父亲必须知道有关多样化的信息。他需要被告知，他可以通过将 金钱在对他而言可得到的多种选择中进行分配来分散风险。他可以

6、减少风 险，通过移动他的金钱到“混合”的基金中，因为这样就保证了计划的多 样性：包括固定收入部分，一家大的公司部分和几家小的公司部分。多样 化不仅通过不同的三个组成部分得到实现，还可以通过组成这三个部分的 众多股份得到实现。Finally, Dad s age and his retirement plans need to be considered. People nearing retirement age typically begin to shift the value of their portfolios into safer investments.“ aSlalyfecro

7、n”nonteosrmless variability,so that the risk of a large decline in the value of a portfolio is reduced. This decline could come at any time, and it would be very unfortunate if it wereInstructorto happen the day before Dad retires. In this example, the safest option would be the fixed-income bond fu

8、nd because of its diversified composition and interest-bearing design, but there is still risk exposure to inflation and the level of interest rates. 最后，父亲的年龄以及他的退休计划需要被考虑 进去。接近退休年龄的人们都开始将资金倾向于更安全的投资。 “更安全” 通常意味着更少的可变性，以至于投资价值较大减少这样的风险可以被减 小。这样的下降可以在任何时间到来，并且如果这一天在父亲退休前到来 的话会非常的不幸。在这个实例中，最安全的选择是固定收入

9、债券基金因 为多样的组成部分和( interest-bearing )方面的设计，但是仍然存在通货 膨胀和利率水平的风险。 Note that the tax-deferred nature of the savings plan encourages allocation to something that produces interest or dividends. As it stands now, Dad is very exposed to a large decline in the value of his savings plan because it is dependen

10、t on the value of one stock. Individual equities over time have proven to produce the most variable of returns, so Dad should definitely move some, probably at least half, of his money out of the Ruffy stock fund. 注意到储蓄计划的延期征税特性鼓励了 倾向于利息和股息的分配。立足于此，父亲很容易遭受储蓄计划价值的大 幅度下降因为这仅仅依赖于一种股票。随着时间流逝，个人的资产净值将 产生

11、不定的回报，因而父亲必然需要将一些，很可能是至少一半的金钱移 到 Ruffy 存货基金。 In fact, a good recommendation given his retirement horizon of five years would be to re-align the portfolio so that it has 50% in the fixed- income fund and the remaining 50% split between the Ruffy stock fund (since Dad insists) and the“ blend ” fund. O

12、r, maybe 40%fixed-income, 25% Ruffy, 15% growth-income fun d, and 20% “blend ” fund. This latter allocation has the advantage of introducing another income-producing component that can be shielded by the tax-deferred status of the plan.事实上，一个好的建议是在他五年的退休范围内将个人 投资进行重组，以达到他有 505的固定收入基金，剩下的 50%在 Guffy

13、存 货基金(既然父亲坚持)和“混合”基金之间进行分配。或者说，大约 405 的固定收入， 25%的 Ruffy 基金， 15%的收入增长基金，还有 20%的“混 合”基金。后一种分配拥有引入另一种增加收入的成分的优势，来抵御计 划中延期税收的情形。b. The fact that Dad is employed by the Ruffy Company makes his situation more risky. Lets say that the company hits a period of slowed businessactivities. If the stock price d

14、eclines, so will the value of Dads savings plaIf the company encounters enough trouble, it may consider layoffs. Dad job may be in jeopardy. At the same time that his savings plan may beIn structordecli ning in value, Dad may also n eed to look for a job or go onun employme nt. Thus, Dad is exposed

15、on two fronts to the same risk. He has invested both his human capital and his wealth almost exclusively in one compa ny.事实是父亲被Ruffy公司雇佣使得他的情形更加的冒险。即我们所说的这 家公司对迟钝的商业活动进行采样。如果股票的价格下降，父亲的储蓄计 划的价值也会下降。如果这家公司遭遇了困境，它将会考虑到解雇。父亲 的工作将会面临危险。同时他的储蓄计划也会价值下降，父亲可能会再找 一份工作或者是继续失业。因而，父亲面临着两个冒险。他将他的人力资 本和财富都专一的投资进了

16、同一家公司。2. Refer to Table 12.1.SOLUTION:a. -c.F.00*(.14)+1.0*(.06)=.060*(.20) = 0$60,000G.25*(.14)+.75*(.O6)=.08.25*(.2O) = .05$80,000H.50*(.14)+.50*(.06)=.10.50*(.20) = .10$100,000J.75*(.14)+.25*(.06)=.12.75*(.20) = .15$120,000S1.0*(.14)+.00*(.06)=.141.0*(.20) = .20$140,000d.e.f.g.h.i.j.k.l.m.In stru

17、ctord An extremely risk tolera nt pers on would select portfolio S, which has the largest sta ndard deviatio n but also the largest expected retur n.一个完全的风险爱好者会选择投资S,这项投资有最大的标准差，同时也有最大的期望收益。3.SOLUTION:a. Er = .045 + .62b. 0.62c. 32.3% .15 = w*(.045) + (1-w)*(.020)4. If the risk-reward trade-off line

18、 for a riskless asset and a risky asset results in a n egative slope, what does that imply about the risky asset vis-a-vis the riskless asset?SOLUTION:A trade-off line with a negative slope indicates that t he investor is a rewarded with less expected return for taking on additional risk via allocat

19、ion to the risky asset. 一条斜率倾斜的交易线表明了这个投资者将面临较少的期望收益 因为倾向于冒险的资产分配。5. Suppose that you have the opport unity to buy stock in AT&T and Microsoft.Mea n.10.21Stan dard Deviati on.15.25a. What is the minimum risk (varianee) portfolio of AT&T and Microsoft ifthe correlation between the two stocks is 0? .5

20、? 1? -1? What do you notice about the cha nge in the allocati ons betwee n AT&T and Microsoft as their correlation moves from -1 to 0? to .5? to +1? Why might this be?b. What is the variance of each of the minimum-variance portfolios in part a?c. What is the optimal comb in ati on of these two secur

21、ities in a portfolio for each value of the correlati on, assu ming the existe nce of a money market fund that curre ntly pays 4.5% (.045)? Do you no tice any relati on betwee n these weights and the weights for the minimum varia nce portfolios?d. What is the variance of each of the optimal portfolio

22、s?e. What is the expected return of each of the optimal portfolios?f. Derive the risk-reward trade-off line for the optimal portfolio when the correlation is .5. How much extra expected return can you anticipate if you take on an extra unit of risk?SOLUTION:a. Minimum risk portfolios if correlation

23、is:-1: 62.5% AT&T, 37.5% Microsoft 0:73.5% AT&T, 26.5% Microsoft.5: 92.1% AT&T, 7.9% Microsoft1: 250% AT&T, short sell 150% MicrosoftAs the correlation moves from -1 to +1, the allocation to AT&T increases.When two stocks have negative correlation, standard deviation can be reduced dramatically by m

24、ixing them in a portfolio. It is to the investors benefit to weight more heavily the stock with the higher expected return since this will produce a high portfolio expected return while the standard deviation of the portfolio is decreased. This is why the highest allocation to Microsoft is observed

25、for a correlation of -1, and the allocation to Microsoft decreases as the correlation becomes positive and moves to +1. With correlation of +1, the returns of the two stocks will move closely together, so you want to weight most heavily the stock with the lower individual standard deviation. 随着相关性从

26、-1 移动到 +1，投资于 AT-T 的 分额增加。当两支股票呈现负相关性时，将他们进行混合投资组合会使得 标准差大幅度的降低。这对于期待较高的预期收益的投资者是有益的如果 他加重投资的分量因为预期收益会随着标准差的降低而增加。这就是为什 么将最高的分额投资到微软时相关性为 -1，然后投资进微软的分额随着相 关性有负数移向 +1 而减少。在相关性为 +1 的时候，两种股票所带来的收 益是接近相同的，所以你希望将绝大部分投资于自身标准差较低的股票。b. Variances of each of the minimum variance portfolios:62.5% AT&T, 37.5% M

27、icrosoft Var = 0 73.5% AT&T, 26.5% Microsoft Var = .0165 92.1% AT&T, 7.9% Microsoft Var = .0222 250% AT&T, short 150% MicrosoftVar = 0c. Optimal portfolios if correlation is:-1: 62.5% AT&T, 37.5% Microsoft 0:48.1% AT&T, 51.9% Microsoft.5: 11.4% AT&T, 88.6% Microsoft1: 250% AT&T, short 150% Microsoft

28、d. Variances of the optimal portfolios:62.5% AT&T, 37.5% Microsoft Var = 048.1% AT&T, 51.9% Microsoft Var = .022011.4% AT&T, 88.6% Microsoft Var = .0531250% AT&T, short 150% MicrosoftVar = 0e. Expected returns of the optimal portfolios:62.5% AT&T, 37.5% Microsoft Er = 14.13%48.1% AT&T, 51.9% Microso

29、ft Er = 15.71%11.4% AT&T, 88.6% Microsoft Er = 19.75%250% AT&T, short 150% MicrosoftEr = -6.5%f. Risk-reward trade-off line for optimal portfolio with correlation = .5: Er = .045 + .666SOLUTION:a. Er = 4.5%, standard deviation = 0. This point is the intercept of the y (expected return) axis by the r

30、isk-reward trade-off line.b. Er = 6.03%, standard deviation = .0231c. Er = 15.9%, standard deviation = .173d. Er = 19.75%, standard deviation = .2306. This point is the tangency between the risk-reward line from 12-5 part f and the risky asset risk-reward curve (frontier) for AT&T and Microsoft.7. A

31、gain using the optimal portfolio of AT&T and Microsoft stock when the correlation of their price movements is 0.5, take $ 10,000 and determine the allocations among the riskless asset, AT&T stock, and Microsoft stock for:s expecs expecs expecteda. a portfolio which invests 75% in a money market fund

32、 and 25% in the portfolio of AT&T and Microsoft stock. What is this portfolio return?b. a portfolio which invests 25% in a money market fund and 75% in the portfolio of AT&T and Microsoft stock. What is this portfolio return?c. a portfolio which invests nothing in a money market fund and 100% in the

33、 portfolio of AT&T and Micros oft stock. What is this portfolio return?SOLUTION:a. $7,500 in the money-market fund, $285 in AT&T (11.4% of $2500), $2215 in Microsoft. Er = 8.31%, $831.b. $2,500 in the money-market fund, $855 in AT&T (11.4% of $7500), $6645 in Microsoft. Er = 15.94%, $1,594.c. $1140

34、in AT&T, $8860 in Microsoft. Er = 19.75%, $1,975.8. What strategy is implied by moving further out to the right on a risk-reward trade-off line beyond the tangency point between the line and the risky asset risk-reward curve? What type of an investor would be most likely to embark on this strategy?

35、Why?SOLUTION:This strategy calls for borrowing additional funds and investing them in the optimal portfolio of AT&T and Microsoft stock. A risk-tolerant, aggressive investor would embark on this strategy. This person would be assuming the risk of the stock portfolio with no risk-free component; the

36、money at risk is not only from this person s own wealth but also represents a sum that is owedto some creditor (such as a margin accoun t extended by the investor sbroker).这个策略需要借进额外的基金并将它们投资于最理想的 AT-T 和微软股票的 组合。一个承受风险并且有闯劲的投资者会从事这项投资。这个人将会接受 这个股票组合所带来的风险并且不理会没有风险的投资组合；处于风险之中 的金钱不仅来自于他的个人财富，还代表了一部分隶

37、属于债券人的数目(正 如被投资者的经纪人扩大或延长的证券交易中的顾客保证金户)。In structor9. Determine the correlation between price movements of stock A and B using the forecasts of their rate of retur n and the assessme nts of the possible states of the world in the follow ing table. The sta ndard deviati ons for stock A and stock B ar

38、e 0.065 and 0.1392, respectively. Before doing the calculation, form an expectation of whether that correlation will be closer to 1 or -1 by merely in spect ing the nu mbers.Moderate recessi on.05-.02-.20Slight recessi on.15-.01-.102% growth.60.15.153% growth.20.15.30SOLUTION:Expectation: correlatio

39、n will be closer to +1. 相关性将接近于 +1Er a = .05*(-.02) + .15*(-.01) + .60*(.15) + .20*(.15) = .1175, or, 11.75%Er b = .05*(-.20) + .15*(-.10) + .60*(.15) + .20*(.30) = .1250, or, 12.50%Covaria nce = .05*(-.02-.1175)*(-.20-.125) + .15*(-.01-.1175)*(-.10-.125) +.60*(.15-.1175)*(.15-.125) + .20*(.15-.1175

40、)*(.30-.125)=.008163Correlation = .008163/(.065)*(.1392) = .90210. Analyze the “ expert s” answers to the followstgpqsea. Question:I have approx. 1/3 of my inv estme nts in stocks, and the rest in a money market. What do you suggest as a somewhat“ safer ” place to investano ther 1/3? I like to keep 1/3 accessible for emerge ncies.Expert s answer:Well, you could try 1 or 2 year Treasury bon ds. You d get a little bitmore yield with no risk.b. Question:Where would you inv est if you were to start today?Expert s answer:That depe nds on your age and