投资组合课后题及答案

1、投资组合课后题及答案P62Q9. Mr. Franklin is 70 years of age, is in excellent health, pursues a simple but active lifestyle, and has no children. He has interest in a private company for $90 million and has decided that a medical research foundation will receive half the proceeds now; it will also be the primar

2、y beneficiary of his estate upon his death. Mr. Franklin is committed to the foundations well-being because he believes strongly that, through it, a cure will be found for the disease that killed his wife. He now realizes that an appropriate investment policy and asset allocations are required if hi

3、s goals are to be met through investment of his considerable assets. Currently, the following assets are available for use in building an appropriate portfolio:$45.0 million cash (from sale of the private company interest, net of pending；$45 million gift to the foundation)；10.0 million stocks and bo

4、nds ($5 million each)；9.0 million warehouse property (now fully leased)；1.0 million Franklin residence；$65.0 million total available assetsa. Formulate and justify an investment policy statement setting forth the appropriate guidelines within which future investment actions should take place. Your p

5、olicy statement must encompass all relevant objective and constraint considerations.b. Recommend and justify a long-term asset allocation that is consistent with the investment policy statement you created in Part a. Briefly explain the key assumptions you made in generating your allocation.答案a.由以上可

6、知，Mr. Franklin丧偶、无子、70岁、身体健康、拥有大笔流动性较好资产、愿意将其部分现金资产捐献给医学研究基金会、在其去世后其房产也留给这家基金会、无负债、处在较高的纳税等级、缺乏资产管理技术、当前没有特定的支出负担、当前对于资产的流动性没有特殊要求。考虑到以上条件，他的投资策略应符合以下条件：目标：收益要求: 其资产池应当能够产生可以满足其日常支出的现金流入，这可以通过组合的微小调整实现。因此，资本的长期实际增长是其主要的回报目标。节税也是其资产管理目标之一。风险承受：从其资产负债状况及其长期资本增值的目标看，再加上他有过证券投资经验且身体状况良好，其组合的风险水平可以略高于平均水

7、平。限制：投资期限：Mr. Franklins身体状况良好，其预期寿命还有很长因此其预期投资期限为长期。流动性要求:从文中可知，除了日常的生活支出之外没有特殊的流动性要求税收: Mr. Franklin无疑处在高税率阶层，投资活动应考虑到这一点。合适的避税和节税产品应当加以考虑，节税是其投资中的目标之一。法律和规章:投资应符合法律和地方法规的规定b.考虑到股票的收益要高于现金和债券且符合长期资本增值的投资目标，且其对于流动性和当前收入并没有特殊的需求，因此在资产配置中股票应占有较大的比例。其资产的15%（9+1million）已为房地产，该类资产不再多加分配。考虑到其投资的长期性和较高的风险承

8、受能力，应将其资产的70%配置到权益资产上，30配置到固定收益资产上。为了得到分散化收益，组合中应包含国际证券。市政债券由于其避税好处，应包含在固定收益资产中。一下是一个可行的方案，目标各项资产所占比例如下:美国债券15%、非美国债券10%、美国股票（大盘股）30%、美国股票（小盘股）15%、非美国股票15%、房地产15%P205Q25、a. List and briefly define the three forms of the efficient market hypothesis. 6 minutesb. Discuss the role of a portfolio manager

9、 in a perfectly efficient market. 9 minutes答案：a.（1）弱势有效市场：当前价格充分反映所有的证券市场信息，包括证券的历史价格、收益率、交易数据等。在该假设下，投资者不能使用历史数据预测未来，技术分析失效。（2）半强势有效市场：当前价格充分反映所有的公开信息。在该假设下，使用公开的信息所做的投资决策不能获得超额收益，基本分析失效。（3）强势有效市场：当前价格充分反映所有的公开和私人信息。在该假设下，使用内幕信息不能获得超额收益。b.（1）帮助客户确定其投资目标与投资限制（2）构建适当的投资组合，要充分考虑经济环境与各类资产的风险与收益状况（3）在全球

10、范围内实现完全的分散化，彻底分散非系统性风险（4）当外部环境变化时，进行组合的重构以符合投资目标（5）最小化研究与交易费用P232Q1、Why do most investors hold diversified portfolios?答案：风险分为系统性风险和非系统性风险，通过分散化投资可以分散各种资产所特有的个体性风险，即非系统性风险。从数学的角度讲，方差是风险的一种度量方式，借由在组合中加入与原有资产相关性较低的资产，由于其与其他资产较低的协方差可以有效降低组合的方差。P273Q13Identify and briefly discuss three criticisms of beta

11、 as used in the capital asset pricing model答案（1）实证检验的结果表明，早期的实证检验基本支持CAPM模型，即作为影响收益的唯一要素，但近来的研究表明除外，财务杠杆和市净率同样是影响收益的重要因素，例如三因素模型。（2）一些研究发现，在短期风险与收益可能会出现负相关的情况。例如 Black, Jensen and Scholes发现从1957年4月到1965年12月，高系数的股票获得的收益反而小于低系数股票的收益，这表明在这段时期中，并不能作为唯一定价依据，某些非系统性风险被市场赋予了价值。（3）的估计值要随所选择市场指数的变化而变化。 Richar

12、d Roll已经证明改变市场指数，单个股票的风险水平也会相应变化，难以得到统一的风险度量和资产定价。P276P14 The following information describes the expected return and risk relationship for the stocks of two ofWAHs competitors                   Expected return

13、             standard deviation        betaStock X                12%          &

14、#160;              20%                1.3Stock Y                 9  &#

15、160;                        15                  0.7Market Index      &

16、#160;    10                           12                  1.0Risk-free

17、 rate           5Using only the data shown in the preceding table:a. Draw and label a graph showing the security market line and position stocks X and Y relative to it.b. Compute the alphas both for Stock X and for Stock Y. Show your work. 4 minutesc

18、. Assume that the risk-free rate increases to 7 percent with the other data in the preceding matrix remaining unchanged. Select the stock providing the higher expected risk-adjusted return and justify your selection. Show your calculations. 6 minutes答案a略b.ALPHA () = E(ri) - rf + (E(rM) - rf)Stock X:

19、 = 12% - 5% + 1.3% (10% - 5%) = 0.5%Stock Y: = 9% - 5% + 0.7%(10% - 5%) = 0.5%c.Stock X： = 12% - 7% + 1.3 (10% - 7%= 12% - 10.95% = 1.1%Stock Y = 9% - 7% + 0.7(10% - 7%)= 9% - 9.1% = -00.1%由于股票X可以获得正的1.1%的经风险调整后的超额收益，因此选择股票X。P306Q12Multifactor models of security returns have received increased atten

20、tion. The arbitrage pricing theory(APT) probably has drawn the most attention and has been proposed as a replacement for the capitalasset pricing model (CAPM).a. Briefly explain the primary differences between the APT and the CAPM.b. Identify the four systematic factors suggested by Roll and Ross th

21、at determine an assets riskiness.Explain how these factors affect an assets expected rate of return.答案a.（1）APT关于投资者偏好的假设条件更少，要求更宽松，CAPM假设更为严格（2）APT认为投资者的偏好可随时间改变，CAPM假定投资者偏好固定（3）APT中采用了多个因素来解释收益，CAPM只采用了单一因素（4）APT中的因素可随时间变化，CAPM的单因素不随时间变化b Roll和Ross提出的四个宏观因素为:通货膨胀、工业产值、信用利差、长短期利差由多因素模型的一般表达式Ri = R0

22、+ bi1 F1 + bi2 F2 + . . . + bin Fn可知，各因素对收益的影响是通过其各自的敏感系数实现的。P307P5Suppose that three stocks (A, B, and C) and two common risk factors (1 and 2) have the following relationship:E(RA)=(1.1)1 +(0.8)2  E(RB) =(0.7)1 +(0.6)2  E(RC)=(0.3)1 +(0.4)2a. If1=4% and2 =2%, what are the prices expected

23、 next year for each of the stocks? Assume that all three stocks currently sell for $30 and will not pay a dividend in the next year.b. Suppose that you know that next year the prices for Stocks A, B, and C will actually be $31.50,$35.00, and $30.50. Create and demonstrate a riskless, arbitrage inves

24、tment to take advantage of these mispriced securities. What is the profit from your investment? You may assume that you can use the proceeds from any necessary short sale.答案a. E(RA) = 1.1x0.04 + 0.8x0.02= 0.044 + 0.016= 0.06 or 6%   E(Price A) = $30(1.06) = $31.80E(RB) = 0.7x0.04 + 0.6x0.0

25、2= 0.28 + .012= 0.04 or 4%   E(Price B) = $30(1.04) = $31.20E(RC) = 0.3x0.04 + 0.4x0.02= 0.12 + 0.008= 0.02 or 2%   E(Price C) = $30(1.02) = $30.60b.由a.所得理论价格可知，A、C被高估，B被低估，应该买进B，同时买空A与C，构造一个套利组合如下： 买入2股B，同时分别卖空1股A和1股C，个股所占组合的权重分别为： WA = -0.5,WB = 1 and WC = -0.5. 初始投入为：30+30-2*3

26、0=0因素1的风险暴露为(-0.5)x1.1+ (+1.0)x0.7+(-0.5)x0.3=0因素2的风险暴露为(-0.5)x0.8+ (+1.0)x0.6+ (-0.5)x0.4=0收益= ($30 - $31.50) + 2x($35 30) + ($30 - $30.50)= -$1.50 + $10 - $0.50= $8P404Q11Under what conditions will it be ideal to use one or several of the relative valuation ratios to evaluate a stock?答案(1)市场中存在一系列

27、较好的可比对象(2)市场整体估值相对合理，不存在严重的整体高估或低估P405P14You have been reading about the Maddy Computer Company (MCC), which currently retains 90 percent of its earnings ($5 a share this year). It earns an ROE of almost 30 percent. Assuming a required rate of return of 14 percent, how much would you pay for MCC on

28、the basis of the earnings multiplier model? Discuss your answer. What would you pay for Maddy Computer if its retention rate was 60 percent and its ROE was 19 percent? Show your work.答案：（1）ROE = 0.3，RR =0.90，则增长率g= RR x ROE=0.90 x 0.30 = 0.27此时k-g= 0.14-0.27<0，因此不能使用该方法来估值（2）ROE =0 .19，RR =0 .60,

29、则增长率g = 0.60 x0 .19 =0 .114P/E=（1-0.60）/(0.14-0.114)=15.38  预期每股收益为$5.00 x (1 + .114)= $5.57因此P = (15.38) x ($5.57) = $85.69P431Q4You are informed of the following estimates: nominal money supply is expected to grow at a rate of7 percent, and GDP is estimated to grow at 4 percent. Explain what

30、you think will happen to stock prices during this period and the reason for your expectation.答案：名义货币供给增速高于GDP增速会导致流动性过剩和通货膨胀。流动性过剩会导致更多的资金进入股票市场，推高股票；而通货膨胀会提高投资者要求的回报率，从而导致市盈率的降低，股价降低。因此，综合来讲，其对股票市场的影响是不确定的。P432P3A U.S. pension plan hired two offshore firms to manage the non-U.S. equity portion of i

31、ts total portfolio.Each firm was free to own stocks in any country market included in Capital Internationals Europe, Australia, and Far East Index (EAFE) and free to use any form of dollar and/or nondollar cash or bonds as an equity substitute or reserve. After three years had elapsed, the records o

32、f the managers and the EAFE Index were as shown:        （Currency）（country selection） （stock selection）（cash/bond allocation）（total return recorded）Manager A   （9.0%）    19.7%           3.1%

33、             0.6%                 14.4%Manager B    （7.4）     14.2          

34、;   6.0               2.8                   15.6Composite of A&B  （8.2） 16.9       

35、60;     4.5               1.7                   15.0EAFE Index   (12.9)       19

36、.9                                                 

37、0;   7.0You are a member of the plan sponsors pension committee, which will soon meet with the plans consultant to review manager performance. In preparation for this meeting, you go through the following analysis:a. Briefly describe the strengths and weaknesses of each manager, relative t

38、o the EAFE Index data.b. Briefly explain the meaning of the data in the Currency column.答案a.相对于指数，A长处：较高的选择货币的能力，较高的选股水平 缺点：较低的选择国家的能力B长处：较高的选择货币的能力，较高的选股水平，具备一定的流动性 缺点：较低的选择国家的能力b.currency一栏显示了计算美元收益时汇率变动对于总收益的影响。基金投资于国外市场时，需要将美元兑换为当地货币，计算美元收益时要将以当地货币计算出的收益换算为美元收益，汇率的有利变动会增加美元收益，汇率的不利变动将带来美元收益的减少。P

39、482Q7Assume that each of the following changes is independent. In each case, indicate what will happen to the earnings multiplier and explain why.a. The return on equity increases.b. The aggregate debtequity ratio declines.c. Overall productivity of capital increases.d. The dividend-payout ratio dec

40、lines.答案P/E1=D1/E1(k-g)     k=f(RFR,I)    g=b*ROEROE =净利润/权益=净利润/销售收入*销售收入/权益=净利润/销售收入*销售收入/总资产*总资产/权益=边际利润*总资产周转率*财务杠杆a.其他因素不变的情况下，ROE提高，则g变大，市盈率变大b.负债权益比下降，则财务杠杆变小，ROE变小，g变小，市盈率下降c.资本的生产效率提升，会导致产量与利润的提高，即ROE的提高，g会提高，市盈率提高d.提高股息支付率一方面会提高b，从而提高g；两一方面会减少D1，因此其影响不能确定

41、。P531Q7Assume the industry you are analyzing is in the fourth stage of the industrial life cycle. How would you react if your industry-economic analysis predicted that sales per share for this industry would increase by 20 percent? Discuss your reasoning.答案：（1）产业周期的第四阶段是稳定发展和市场成熟期。在这一阶段，行业增长率与整体经济或此

42、行业所属经济部门的增长率相一致。如果在这一阶段中，预测该产业的每股销售额增长率为20%，这意味着整体经济增长率也为20%。（2）一般来讲，当产业处于这一阶段不会出现太高的增长率，20%的增长率相对过高，预测可能有偏差。P535P9You know the following about your industry (I) and the market (M):ROEI      12%         ROEM    

43、0; 16%RRI        0.6          RRM       0.55BETAI     1.05         BETAM     1.00Discuss what difference you w

44、ould expect in the P/Es, and explain why you expect this difference.答案：已知P/E1=D1/E1(k-g)  g=RR*ROE  k = RFR + (Rm RFR)由题意，（1）gI= RRI * ROEI=0.12*0.6=0.072   gM= RRM * ROEM=0.16*0.55=0.088 gI<gM（2）kI = RFR + I(Rm RFR)= RFR + 1.05(Rm RFR)= Rm + 0.05(Rm RFR)> Rm=16%kM = RFR +

45、M(Rm RFR)= RFR + Rm RFR=Rm=16%综上，由于kI>kM,gI<gM,因此行业的市盈率要低于市场的市盈率P603Q24Using book value to measure profitability and to value a companys stock has limitations. Discuss five such limitations from an accounting perspective. Be specific. 10 minutes答案（1）账面价值只反映历史成本，不反映未来（2）有些有实际经济价值的无形资产在账面上得不到反映（

46、3）容易被操纵（折旧，存货计价）（4）不反映通货膨胀的影响（5）不考虑机会成本。P605P8The value of an asset is the present value of the expected returns from the asset during the holding period. An investment will provide a stream of returns during this period, and it is necessary to discount this stream of returns at an appropriate rate

47、to determine the assets present value. A dividend valuation model such as the following is frequently used:Pi=D1/(ki-gi) where:Pi = the current price of common stock iD1 = the expected dividend in period 1ki = the required rate of return on stock igi = the expected constant growth rate of dividends

48、for stock ia. Identify the three factors that must be estimated for any valuation model, and explain why these estimates are more difficult to derive for common stocks than for bonds. 9 minutesb. Explain the principal problem involved in using a dividend valuation model to value(1) companies whose o

49、perations are closely correlated with economic cycles.(2) companies that are of giant size and are maturing.(3) companies that are of small size and are growing rapidly.Assume all companies pay dividends. 6 minutes答案a. 对于任何一个估值模型，必须估计的三个因素为：（1）预期现金流; 对于债券来说，现金流表现为利息和本金的支付，是事先约定的；但是对于普通股来说，现金流表现为股息的支

50、付，股息的支付时不确定的。（2）预期现金流的时间模式：债券都有到期期限，其利息和本金的支付时间是事先约定的；但普通股没有到期期限，其股息的支付时间每年也并不固定。（3）适当的贴现率，也即要求收益率;对于债券和股票都是不确定的。b.应用股利贴现模型必须保证股利能够以同一增长率持续增长，否则不适用。（1）如果公司经营受经济周期的影响，其股利支付也必然具有周期性，从而不能维持单一增长率（2）成熟企业其股利增长率应当是逐渐下降的，即使一些公司为了维持增长率而提高派息率，这种增长也是暂时的，难以维持。（3）快速增长的企业在其规模扩大、市场成熟后，其较高的增长率是难以维持的。P603Q25On your

51、visit to Litchfield Chemical Corp. (LCC), you learned that the board of directors has periodically debated the companys dividend-payout policy.a. Briefly discuss two arguments for and two arguments against a high dividend-payout policy. A director of LCC said that the use of dividend discount models

52、 by investors is “proof” that “the higher the dividend, the higher the stock price.”b. Using a constant-growth dividend discount model as a basis of reference, evaluate the directors statement. 8 minutesc. Explain how an increase in dividend payout would affect each of the following (holding all oth

53、er  factors constant):(1) Internal (implied, normalized, or sustainable) growth rate; and(2) Growth in book value. 8 minutes答案a.支持高股利支付政策的观点：（1）在手之鸟理论。相对于不确定的资本利得，投资者更偏好现金股利。（2）信号理论。高股利要有高盈利为基础，管理者使用高股利政策来传达公司盈利能力较强的信息。反对高股利政策的观点：（1）可用于投资的现金减少。支付高股利减少了投资可用内部资金，内部融资不足，公司就需要从外部募集资金，这会提高筹资成本。（2）税收

54、效应。投资者收到股利要立即纳税，但投资者可以通过延迟实现资本利得从而推迟资本利得税的缴纳。b.固定增长模型为P0=D1/(k-g)，g=RR*ROE，P0与D1、g成正比，与k成反比。高股利一方面意味着D1会增加；另一方面意味着RR减少，g变小。因此固定增长模型中高股利对股价的影响并不确定，董事的观点不准确。c.（1）内部增长率gROE×（1股利支付率）。股利支付率提高，增长率会下降。（2）账面价值的增加：高的股利支付率意味着较少的盈利留在企业，由（1）知企业的增长率也会下降，基数与增长率的双降会使账面价值的增加更加缓慢。P606P10The constant-growth divi

55、dend discount model can be used both for the valuation of companies and for the estimation of the long-term total return of a stock.Assume: $20 = The Price of a Stock Today8% = The Expected Growth Rate of Dividends     $0.60 = The Annual Dividend One Year Forwarda. Using only the

56、 preceding data, compute the expected long-term total return on the stock using the constant-growth dividend discount model. Show calculations.b. Briefly discuss three disadvantages of the constant-growth dividend discount model in its application to investment analysis.c. Identify three alternative

57、 methods to the dividend discount model for the valuation of companies.答案a .由公式 P0=D1/(k-g) 得出k = (D1 /P0) +g= ($0.60 / $20.00) + 8% = 3% + 8% = 11%b.（1）当企业派息很少或不派息时，该模型不可用。（2）该模型要求人们可以准确地预测企业的长期增长率，这是不现实的。（3）对于高成长企业， g>k，该模型不可用，要使用多阶段的股利贴现模型。c.相对估值法（1）市盈率（2）市净率（3）价格/销售比。P649Q3Briefly discuss the

58、 problems related to fundamental analysis that are considered advantages for technical analysis.答案 (1) 财务报表中许多信息是无用的（2）如果公司采用不同的处理方法，那么公司与公司之间就不存在可比性（3）心理因素在财务报表中得不到体现。P690Q3Briefly describe four techniques considered active equity portfolio management strategies（此题答案为个人意见，与英文答案有别）答案（1）板块轮动，基于基本分析对于

59、宏观经济周期与行业的关系分析，调整行业的投资比重（2）相反策略，基于技术分析，认为市场上大多数人都是错误的，与大多数人采取相反的交易策略（3）动量策略，基于技术分析，认为近期的趋势将被延续，要顺趋势进行交易（4）市场异常策略，基于市场异常，利用经常出现的市场异常进行交易，例如日历异常、事件异常。P691P5Betty Blacks investment club wants to buy the stock of either NewSoft Inc. or Capital Corp. In this connection, Black has prepared the following t

60、able. You have been asked to help her interpret the data, based on your forecast for a healthy economy and a strong market over the next 12 months.NewSoft Inc.        Capital Corp.       S&P 500 IndexCurrent price   

61、          $30               $32                 n/aIndustry       

62、60;Computer Software      Capital Goods           n/aP/E ratio (current)         25×               14× &#

63、160;               16×P/E ratio (5-yr avg)        27×               16×     

64、0;           16×P/B ratio (current)         10×                3×          

65、        3×P/B ratio (5-yr avg)        12×                4×            

66、0;     2×Beta                     1.5                1.1        &

67、#160;         1.0Dividend yield             0.3%              2.7%          

68、0;     2.8%NewSofts shares have higher price/earnings (P/E) and price/book (P/B) ratios than those of Capital Corp. Identify and briefly discuss three reasons why the disparity in ratios may not indicate that NewSofts shares are overvalued relative to the shares of Capital Corp.

69、Answer the question in terms of the two ratios, and assume that there have been no extraordinary events affecting either company.答案（1）高P/E1 . 价格反映公司未来盈利预期。如果预期NewSoft的盈利增长要比Capital Corp快，高P/E是合理的。2. 周期性行为。从所属行业来看Capital Corp.是典型的周期性行业，其当前P/E低于五年平均有可能仅是因为周期性的高盈利，使用当前P/E进行比较是不合适的。3. 所属行业不同。不同的行业其经营特点不

70、尽相同，估值水平也不一样，不具有可比性。（2）高P/B1 .表外资产的不同。从行业特点看， NewSoft可能有较多的表外资产，而Capital Corp相对较少，因此两者的P/B不可比较。2.资产的性质不同。Capital Corp其固定资产所占比重较高，账面价值可以较准确反映企业价值；NewSoft其固定资产所占比重相对较小，无形资产占比相对较高，账面价值并不能真实反映企业价值，使用P/B作为对比指标并不恰当。3.会计处理方法的不同。采用不同的会计处理方法会使得账面价值不具有可比性，P/B比较的结果不可信。P794Q5a. Explain what is meant by structur

71、e of interest rates. Explain the theoretical basis of an upward sloping yield curve 8 minutesb. Explain the economic circumstances under which you would expect to see the inverted yield curve prevail. 7 minutesc. Define “real” rate of interest. 2 minutesd. Discuss the characteristics of the market f

72、or U.S. Treasury securities. Compare it to the market forAAA corporate bonds. Discuss the opportunities that may exist in bond markets that are less thanefficient. 8 minutese. Over the past several years, fairly wide yield spreads between AAA corporates and Treasurieshave occasionally prevailed. Dis

73、cuss the possible reasons for this. 5 minutes答案a.利率期限结构反映的是债券收益率与到期期限的关系。收益率曲线向上倾斜的理论基础为流动性溢价理论，即相对于流动性好的短期债券，投资者对于流动性较差的长期债券要求一定的溢价。b.一般出现在经济衰退期，根据预期理论，如果预期未来利率下降，将会得到向下倾斜的收益率曲线，经济处在衰退阶段时，人们预期经济将继续走弱，未来利率会进一步下降；长短期资金供求的不均衡也可能导致反向收益率曲线。c.实际利率就是名义利率减去通货膨胀率，是经通胀膨胀调整后的利率。d.比较：（1）国债有统一的发行人为国家，AAA级公司债券的发行人为不同的公司。（2）国债的市场规模要大于公司债（3）国债的条款标准化程度较高，公司债会有附加条款。（4）国债的信用风险要小于公司债（5）国债的流动性要