财管题目(英文)

Chapter1012.HoldingPeriodReturnAstockhashadreturnof18.43percent,16.82percent,6.83percent,32.19percent,and-19.87percentoverthepastfiveyears,respectively.Whatwastheholdingperiodreturnforthestock?19.CalculatingReturnandVariabilityYoucanfindacertainstockthathadreturnsof19percent,-27percent,6percent,and34percentforfourofthelastfiveyears.Iftheaveragereturnofthestockoverthisperiodwas11percent,whatwasthestock’sreturnforthemissingyear?Whatisthestandarddeviationofthestock’sreturm?21.ArithmeticandGeometricReturnsAstockhashadthefollowingyear-endpricesanddividends:YearPriceDividend149.62-255.8368357.030.73450.250.84558.820.91664.181.02Whatarethearithmeticandgeometricreturnsforthestock?23.CalculatingInvestmentReturnsYouboughtoneofBergenManufacturingCo.’s7percentcouponbondsoneyearagofor$943.82.Thesebondsmakeannualpaymentsandmaturesixyearsfromnow.Supposeyoudecidetosellyourbondstodaywhentherequiredreturnonthebondsis8percent.Iftheinflationratewas4.8percentoverthepastyear,whatwouldbeyourtotalrealreturnintheinvestment?Chapter1123.PortfolioReturnsandDeviationsConsiderthefollowinginformationaboutthreestocks:StateofProbabilityofRateofreturnifStateOccurseconomyStateofStockAStockBStockCEconomyBoom0.350.20.350.6Normal0.400.150.120.05Bust0.250.01-0.25-0.50a.Ifyourportfolioisinvested40percenteachinAandBand20percentinC,whatistheportfolioexpectedreturn?Thevariance?Thestandarddeviation?b.IftheexpectedT-billrateis3.80percent,whatistheexpectedriskpremiumontheportfolio?c.Iftheexpectedinflationrateis3.50percent,whataretheapproximateandexactexpectedrealreturnsontheportfolio?Whataretheapproximateandexactexpectedrealriskpremiumsontheportfolio?Basedonthefollowinginformation,calculatetheexpectedreturnandstandarddeviationofeachofthefollowingstock.Assumeeachstateoftheeconomyisequallylikelytohappen.Whatarethecovarianceandcorrelationbetweenthereturnsofthetwostocks?StateofEconomyRateofReturnonstockARateofReturnonstockBBear0.082-0.65Normal0.0950.124Bull0.0630.185Youhavebeenprovidedthefollowingdataonthesecuritiesofthreefirms,themarketportfolio,andtherisk-freeasset:SecurityAverageReturnStdDevCorrelationBetaCoefficientwithMarketFirmA0.100.27(i)0.85FirmB0.14(ii)0.501.50FirmC0.170.700.35(iii)Themarket0.120.20(iv)(v)RiskFreeAsset0.05(vi)(vii)(viii)a.Fillinthemissingvaluesinthetable.b.IsthestockofFirmAcorrectlypricedaccordingtothecapital-asset-pricingmodel(CAPM)?WhataboutthestockofFirmB?FirmC?Ifthesesecuritiesarenotcorrectlyportfolio?31.CMLThemarketportfoliohasanexpectedreturnof12percentandastandarddeviationof10percent.Therisk-freerateis5percent.Whatistheexpectedreturnonawell-diversifiedportfoliowithastandarddeviationof7percent?Whatisthestandarddeviationofawell-diversifiedportfoliowithanexpectedreturnof20percent?ConsiderthefollowinginformationonStocksIandII:StateofProbabilityofRateofreturnifStateOccurseconomyStateofStockIStockIIEconomyRecession0.150.09-0.30Normal0.550.420.12Bust0.300.260.44Themarketriskpremiumis12percent,andtherisk-freerateis4percent.Whichstockhasthemostsystematicrisk?Whichonehasthemostunsystematicrisk?Whichstockis“riskier”?Explain.10.4139.AssumestocksAandBhavethefollowingcharacteristics:StockExpectedReturn(%)StandardDeviation%A922B1545Thecovariancebetweenthereturnsonthetwostocksis0.001.SupposeaninvestorholdsaportfolioconsistingofonlyStockAandStockB.Findtheportfolioweights,XAandXB,suchthatthevarianceofhisportfolioisminimized.(Hint:Rememberthatthesumofthetwoweightsmustequal1.)Whatistheexpectedreturnontheminimumvarianceportfolio?Ifthecovariancebetweenthereturnsonthetwostocksis–0.02,whataretheminimumvarianceweights?Whatisthevarianceoftheportfolioinpartc?