證券投資組合課后題與答案英文版

1、 HYPERLINK ./ 更多資料請(qǐng)?jiān)L問問. HYPERLINK file:/E:需要處理文檔財(cái)務(wù)管理投資管理(http:.) (.) SHAPE * MERGEFORMAT 此資料來自：.（ HYPERLINK . .）此資料來自：.（ HYPERLINK . .）聯(lián)系電話：020-.值班手機(jī)供50萬份管理資料下載3萬集企業(yè)管理資料下載1300GB高清管理講座硬盤拷貝證券投資組合課課后題及答案案1、9. CFFA Exaaminattion LLevel IIIMr. Fraanklinn is 770 yeaars off age, is iin exccell

2、ennt heaalth, pursuues a simplle butt actiive liifestyyle, aand haas nochildreen. Hee has interrest iin a pprivatte commpany for $90 miillionn and has ddecideed thaat a mmedicaal ressearchhfoundattion wwill rreceivve hallf thee procceeds now; it wiill allso bee the primaary beeneficciary of hiis est

3、tate uupon hhisdeath. Mr. FFrankllin iss commmittedd to tthe fooundattionss welll-beinng beccause he beelievees strronglyy thatt, thrroughit, a ccure wwill bbe fouund foor thee diseease tthat kkilledd his wife. He nnow reealizees thaat an approopriatte invvestmeentpolicy and aasset alloccationns are

4、e requuired if hiis goaals arre to be meet thrrough invesstmentt of hhis coonsideerableeassets. Currrentlyy, thee folllowingg asseets arre avaailablle forr use in buuildinng an approopriatte porrtfoliio:$45.0 mmillioon cassh (frrom saale off the privaate coompanyy inteerest, net of peendingg$45 mill

5、lion gift to thhe fouundatiion)10.0 miillionn stoccks annd bonnds ($5 milllion each)9.0 milllion warehhouse propeerty (now ffully leaseed)1.0 milllion Frankklin rresideence（住住宅）$65.0 mmillioon tottal avvailabble asssetsa. Formmulatee and justiify ann inveestmennt pollicy sstatemment ssettinng forrth

6、 thhe apppropriiate gguidellineswithin whichh futuure innvestmment aactionns shoould ttake pplace. Yourr poliicy sttatemeent muust enncompaassall rellevantt objeectivee and consttraintt conssideraationss.b. Recoommendd and justiify a long-term assett alloocatioon thaat is consiistentt withh the inve

7、sstmentt poliicystatemeent yoou creeated in Paart a. Brieefly eexplaiin thee key assummptionns youu madee in ggeneraating yourallocattion.答案At thhis pooint wwe knoow (orr can reasoonablyy infeer) thhat Mrr. Fraanklinn is: unmarrried (a reecent widowwer) childdless 70 yeears oof agee in goood heealth

8、 posseessed of a largee amouunt off (rellativeely) lliquidd weallth inntendiing too leavve hiss estaate too a taaxexemmptmedicall reseearch founddationn, to whom he iss alsoo giviing a largee currrent ccash ggift free of deebt (nnot exxpliciitly sstatedd, butt neitther iis thee oppoosite) in thhe hi

9、gghest tax bbrackeets (nnot exxpliciitly sstatedd, butt appaarent) not sskilleed in the mmanageement of a largee inveestmennt porrtfoliio, buut alsso nott a coomplette novvicesince hhe ownned siignifiicant assetts of his oown prrior tto hiss wifees deeath not bburdenned byy largge or speciific nneed

10、s for ccurrennt inccome not iin neeed of largee or sspeciffic ammountss of ccurrennt liqquidittyTaking this knowlledge into accouunt, hhis Innvestmment PPolicyy Stattementt willl refllect tthese speciifics:Objectiives:Return Requiiremennts: TThe inncidenntal tthrow-off oof inccome ffrom MMr. Frrankl

11、iins llarge assett pooll shoulld proovide a morre thaan suffficieent fllow off net spenddable incomme. Iff not, suchh a neeed caan eassily be meet by minorr porttfolioo adjuustmennts. TThus, an innflatiion-addjusteed enhhancemment oof thee capiital bbase for tthe beenefitt of tthe fooundattion wwill

12、 bbe thee primmary rreturnn goall (i.ee., reeal grrowth of caapitall). Tax minnimizaation will be a contiinuingg colllateraal goaal.Risk Toolerannce: AAccounnt cirrcumsttancess and the llong-tterm rreturnn goall sugggest tthat tthe poortfollio can ttake ssomewhhat abbove aaveragge rissk. Mrr. Fraank

13、linn is aacquaiinted with the nnaturee of iinvesttment risk from his pprior ownerrship of sttocks and bbonds, he hhas a stilll longg actuuariall lifee expeectanccy andd is inn goodd currrent hhealthh, andd his heir - thee founndatioon, thhanks to hiis gennerosiity - is allreadyy posseessed of a larg

14、ee asseet basse.Constraaints:Time Hoorizonn: Eveen dissregarrding Mr. FFrankllins stilll-longg actuuariall lifee expeectanccy, thhe horrizon islong-teerm beecausee the remaiinder of hiis esttate, the ffoundaation, has a virrtuallly perrpetuaal liffe spaan.Liquidiity Reequireement: Giveen whaat we kn

15、ow and tthe exxpectaation of ann ongooing iincomee streeam offconsideerablee sizee, no liquiidity needss thatt woulld reqquire speciific ffundinng apppear tto exiist.Taxes: Mr. FFrankllin iss no ddoubt in thhe higghest tax bbrackeets, aand innvestmment aactionns shoould ttake tthatfact innto acccoun

16、tt on aa conttinuinng bassis. AApproppriatee tax-shelttered invesstmentt (staandingg on ttheirown merrits aas invvestmeents) shoulld be consiideredd. Taxx miniimizattion wwill bbe a sspeciffic innvestmmentgoal.Legal aand Reegulattory: Invesstmentts, iff undeer thee supeervisiion off an iinvesttment

17、managgementt firmm(i.e., not mmanageed by Mr. FFrankllin hiimselff) willl be goverrned bby staate laaw andd the Prudeent Peersonrule.Unique Circuumstannces: The llarge assett totaal, thhe fouundatiion ass theiir ulttimatee reciipientt, andd thegreat ffreedoom of actioon enjjoyed in thhis siituatiion

18、 (ii.e., freeddom frrom coonfiniing coonsideeratioons) aareimportaant inn thiss situuationn, if not nnecesssarilyy uniqque.9(b). GGiven that stockks havve proovidedd (andd are expeccted tto conntinuee to pprovidde) hiigher risk-adjusstedreturnss thann eithher boonds oor cassh, annd connsiderring tth

19、at tthe reeturn goal is foor lonng-terrm, innflatiionprootecteedgrowth of thhe cappital base, stoccks wiill bee allootted the mmajoriity poositioon in the pportfoolio.This iss alsoo conssistennt witth Mr. Frannklins abssence of eiither speciific ccurrennt inccome nneeds (theongoingg cashh floww shou

20、uld prrovidee an aadequaate leevel ffor cuurrentt spennding) or sspeciffic liiquidiityneeds. It iss likeely thhat inncome will accummulatee to ssome eextentt and, if sso, wiill auutomatticallly buiild aliquid emerggency fund for MMr. Frrankliin as time passees.Since tthe innheritted waarehouuse annd

21、 thee perssonal residdence are ssignifficantt (15%) reaal esttate aassetssalreadyy owneed by Mr. FFrankllin, nno furrther alloccationn to tthis aasset classs is mmade. It shhould be nootedthat thhe warrehousse is a souurce oof cassh floow, a diverrsifyiing assset aand, pprobabbly, aa modeest innflat

22、iionhedge. For ttax reeasonss, Mr. Frannklin may wwish tto connsiderr puttting ssome ddebt oon thiis assset, ffreeinngadditioonal ccash ffor allternaative invesstmentt use.Given tthe loong-teerm orrientaation and tthe abbove-aaveragge rissk tollerancce in this situaation, abouut 70%of totaal asssets

23、 ccan bee alloocatedd to eequitiies (iincludding rreal eestatee) andd abouut 30% to ffixed incommeassets. Inteernatiional securritiess willl be iincludded inn bothh areaas, prrimariily foor theeir diiversiificattionbenefitts. Muunicippal boonds wwill bbe inccludedd in tthe fiixed iincomee areaa to m

24、minimiize inncome taxess.There iis no need to prress ffor yiield iin thiis sittuatioon, noor anyy needd to ddelibeeratelly dowwngradde theequalityy of tthe isssues utiliized. Ventuure caapitall inveestmennt cann be cconsiddered, but any ccommittment tothis (oor othher “aalternnativee” asssets) shoul

25、ld be kept smalll.The folllowinng is one eexamplle of an appproprriate alloccationn thatt is cconsisstent with the IInvesttmentPolicy Stateement and cconsisstent with the hhistorrical and eexpectted reeturn and oother charaacteriisticss ofthe varrious availlable assett classses:CurrenttRange (%) Taa

26、rget (%)Cash/Mooney MMarkett 0 - 5 0U.S. Fiixed IIncomee 10 20 115Non-U.SS. Fixxed Inncome 5 115 10U.S. Sttocks (Largge Capp) 30 45 30(Small Cap) 15 25 155Non-U.SS. Stoocks 115 225 15Real Esstate 10 15 155*Other 00 5 0100*Includdes thhe Fraanklinn resiidencee and warehhouse, whicch toggetherr comppr

27、ise the pproporrtion oftotal aassetss showwn.An alteernatee alloocatioon couuld weell bee weigghted more heaviily too U.S. fixeed inccome aand leessso to UU.S. sstockss, givven thhe neaar equualityy of eexpectted reeturnss fromm thosse asssets aas inddicateedin Tablle 4.2、25. CCFA Exxaminaation Leve

28、ll Ia. Listt and brieffly deefine the tthree formss of tthe effficieent maarket hypotthesiss. 6 minuttesb. Disccuss tthe roole off a poortfollio maanagerr in aa perffectlyy effiicientt markket. 9 minnutes答案The nottion tthat sstock pricees alrready refleect alll avaailablle infformattion iis refferre

29、dd to aas theeefficieent maarket hypotthesiss (EMHH). Itt is ccommonn to ddistinnguishh amonng thrree veersionns of theEMH: thhe weaak, seemi-sttrong, and stronng forrms. TThese versiions ddifferr by ttheir treattment ofwhat iss meannt by “all availlable inforrmatioon.”The weaak-forrm hyppothessis a

30、sssertss thatt stocck priices aalreaddy refflect all iinformmationn thatt can bederivedd fromm studdying past markeet traading data. Therreforee, “teechniccal annalysiis” annd treendanalysiis, ettc., aare frruitleess puursuitts. Paast sttock ppricess are publiicly aavailaable aand viirtualllycostles

31、ss to obtaiin. Iff suchh dataa everr convveyed reliaable ssignalls aboout fuuture stockk perfformannce,all invvestorrs wouuld haave leearnedd to eexploiit succh siggnals.The semmi-strrong fform hhypothhesis statees thaat alll publlicly availlable inforrmatioon aboout thheprospeccts off a fiirm muust

32、 bee refllectedd alreeady iin thee stoccks pprice. Suchh infoormatiion inncludees,in addiition to paast prrices, all fundaamentaal datta on the ffirm, its pproducct, itts mannagemeent, iitsfinancees, itts earrningss, etcc., thhat caan be foundd in ppublicc infoormatiion soourcess.The strrong-fform h

33、hypothhesis statees thaat stoock prrices refleect alll infformattion rrelevaant too the firm, even incluuding inforrmatioon avaailablle to compaany “iinsideers.” This versiion iss an eextremme onee.Obvioussly, ssome “iinsideers” ddo havve acccess tto perrtinennt infformattion llong eenoughh for hem

34、ttoprofit from tradiing onn thatt infoormatiion beefore the ppublicc obtaains iit. Inndeed, suchh tradding - notonly thhe “innsiderrs” thhemsellves, but aalso rrelatiives aand/orr assoociatees - iis illlegal underr rulees ofSEC.For weaak-forrm or the ssemi-sstrongg formms of the hhypothhesis to bee

35、valiid doees nott requuire tthestrong-form versiion too holdd. If the sstrongg-formm verssion wwas vaalid, howevver, bboth tthe seemistrrongand thee weakk-formm verssions of effficieency wwould also be vaalid.25(b). Even in ann effiicientt markket, aa porttfolioo manaager wwould have the iimporttant

36、 rrole oofconstruuctingg and impleementiing ann inteegrateed sett of ssteps to crreate and mmaintaain appproprriatecombinaationss of iinvesttment assetts. Liisted beloww are the nnecesssary ssteps in thhe porrtfoliiomanagemment pprocesss.1. Counnselinng thee clieent too helpp the cliennt to deterrmi

37、ne approopriatte objjectivves annd ideentifyyand evaaluatee consstrainnts. TThe poortfollio maanagerr togeether with the cclientt shouuld sppecifyy andquantiffy rissk tollerancce, reequireed ratte of returrn, tiime hoorizonn, taxxes coonsideeratioons, tthe foorm offincome needss, liqquiditty, leegal

38、 aand reegulattory cconstrraintss, andd any uniquue cirrcumsttancess thattwill immpact or moodify normaal mannagemeent prroceduures/ggoals.2. Moniitorinng andd evalluatinng cappital markeet exppectattions. Releevant consiiderattions, suchh aseconomiic, soocial, and polittical condiitionss/expeectati

39、ions aare faactoreed intto thee deciision makinngprocesss in tterms of thhe exppectedd riskk/rewaard reelatioonshipp for the vvariouus assset caategorries.Differeent exxpectaationss may lead the pportfoolio mmanageer to adjusst a cclientts syystemaatic rrisklevel eeven iif marrkets are eefficiient.3

40、. The abovee stepps aree deciisionss deriived ffrom/iimplemmentedd throough pportfoolio ppolicyy andstrateggy settting. Inveestmennt polliciess are set aand immplemeented throuugh thhe chooice oof opttimalcombinaationss of ffinanccial aand reeal asssets in thhe marrketpllace - i.e., assset alllocatt

41、ion. Underr theassumpttion oof a pperfecctly eefficiient mmarkett, stoocks wwould be prriced fairlly, elliminaating anyadded vvalue by sppecifiic seccurityy seleectionn. It mightt be aarguedd thatt an iinvesttment policcywhich sstressses diiversiificattion iis eveen morre impportannt in an effficiee

42、nt maarket, conttext bbecaussethe eliiminattion oof speecificc riskk becoomes eextremmely iimporttant.4. Markket coonditiions, relattive aasset categgory ppercenntagess, andd the invesstorss circcumstaancesare monnitoreed.5. Porttfolioo adjuustmennts arre madde as a ressult oof siggnificcant cchange

43、es in any oor alll releevantvariablles.3、Why ddo mosst invvestorrs holld divversiffied （多多樣化）poortfollios?答案Invesstors hold diverrsifieed porrtfoliios inn ordeer to reducce rissk, thhat iss, to lowerr the variaance of thhe porrtfoliio, whhich iis connsiderred a measuure off riskk of tthe poortfollio

44、. AA diveersifiied portffolio shoulld acccompliish thhis beecausee the returrns foor thee alteernatiive asssets shoulld nott be coorrelaated sso thee variiance of thhe tottal poortfollio wiill bee reduuced. CONTROL ShockwaveFlash.ShockwaveFlash.10 s 投資者持有多樣樣化的投資組組合以降低風(fēng)風(fēng)險(xiǎn)，也就是是降低投資組組合的方差，這被被一種度量投投資組合風(fēng)

45、險(xiǎn)險(xiǎn)的方法。一一個(gè)多元化的的投資組合要要做到這一點(diǎn)點(diǎn)，因?yàn)樘娲Y產(chǎn)的回報(bào)報(bào)是不應(yīng)相關(guān)的的，因此總投資資組合的方差差將會(huì)減少。4、CFA EExaminnationn Leveel IIdentiffy andd brieefly ddiscusss thrree crriticiisms oof betta as used in thhe cappital assett priccing mmodel(CAPM).答案Any tthree of thhe folllowinng aree critticismms of beta as ussed inn CAPMM.1. Theoory d

46、ooes noot meaasure up too pracctice. In ttheoryy, a ssecuriity wiith a zero beta shoulldgive a returrn exaactly equall to tthe riisk-frree raate. BBut acctual resullts doo not come out tthatway, immplyinng thaat thee markket vaalues sometthing besiddes a beta measuure off riskk.2. Betaa is aa fickkl

47、e shhort-tterm pperforrmer. Some shortt-termm studdies hhave sshown risk andreturn to bee negaativelly rellated. For exampple, BBlack, Jenssen annd Schholes foundd thatt frommApril 11957 tthrouggh Deccemberr 19655, seccuritiies wiith hiigher risk produuced llower returrnsthan leess riisky ssecuriiti

48、es. Thiss resuult suuggestts thaat (1) in ssome sshort perioods, iinvesttorsmay be penallized for ttakingg on mmore rrisk, (2) iin thee longg run, inveestorss are not rrewarddedenough for hhigh rrisk aand arre oveercomppensatted foor buyying ssecuriities with low rrisk, and (3)in all perioods, ssome

49、 uunsysttematiic rissk is beingg valuued byy the markeet.3. Estiimatedd betaas aree unsttable. Majoor chaanges in a compaany afffectiing thhe chaaracteer ofthe stoock orr somee unfooreseeen eveent noot refflecteed in past returrns maay deccisiveely afffect thesecurittys ffuturee retuurns.4. Betaa is

50、 eeasilyy rollled ovver. RRicharrd Rolll hass demoonstraated tthat bby chaangingg the markeetindex aagainsst whiich beetas aare meeasureed, onne cann obtaain quuite ddifferrent mmeasurres off therisk leevel oof inddividuual sttocks and pportfoolios. As aa resuult, oone woould mmake ddifferrentpredic

51、ttions aboutt the expeccted rreturnns, annd by changging iindexees, onne couuld chhange therisk-addjusteed perrformaance rrankinng of a mannager.5、14. CCFA Exxaminaation Levell IIThe folllowinng infformattion ddescriibes tthe exxpecteed retturn aand riisk reelatioonshipp for the sstockss of ttwo off

52、WAHs ccompettitorss.表1Using oonly tthe daata shhown iin thee preccedingg tablle:a. Draww and labell a grraph sshowinng thee secuurity markeet linne andd posiition stockks X aand Y relattiveto it. 5 miinutessb. Comppute tthe allphas both for SStock X andd for Stockk Y. SShow yyour wwork. 4 miinutessc

53、. Assuume thhat thhe rissk-freee ratte inccreasees to 7 perrcent with the oother data in thhe preecedinng mattrixremainiing unnchangged. SSelectt the stockk provvidingg the higheer exppectedd riskk-adjuusted returrn andd justtifyyour seelectiion. SShow yyour ccalcullationns. 66 minuutes答案14(a). The

54、ssecuriity maarket line (SML) showws thee requuired returrn forr a giiven llevel of syystemaaticrisk. TThe SMML is descrribed by a line drawnn fromm the risk-free rate: expeected returrn is 5percentt, wheere beeta eqquals 0 thrrough the mmarkett retuurn; eexpectted reeturn is 100 perccent,where bbet

55、a eequal 1.0.14(b). The eexpectted riisk-reeturn relattionshhip off indiividuaal seccuritiies maay devviate from thatsuggestted byy the SML, and tthat ddifferrence is thhe asssets alphaa. Alppha iss the diffeerenceebetweenn the expeccted (estimmated) ratee of rreturnn for a stoock annd itss requuire

56、d rate of reeturnbased oon itss systtematiic rissk Alppha iss compputed asALPHA () = E(ri) - rrf + (E(rMM) - rrf)whereE(ri) = expeected returrn on Securrity iirf = riisk-frree raatei = beeta foor Seccurityy iE(rM) = expeected returrn on the mmarkettCalculaation of allphas:Stock XX: = 112% - 5% + 1.3

57、% (10% - 5%) = 0.5%Stock YY: = 99% - 5% + 0.7%(10% - 5%) = 0.5%In thiss insttance, the alphaas aree equaal andd bothh are posittive, so onne doees nott domiinate theother.Anotherr apprroach is too calcculatee a reequireed retturn ffor eaach sttock aand thhen suubtracct thaatrequireed retturn ffrom a

58、a giveen exppectedd retuurn. TThe foormulaa for requiired rreturnn (k) isk = rf + i (rM - rf ).Calculaationss of rrequirred reeturnss:Stock XX: k = 5% + 1.3(10% - 5%) = 11.5%= 12% - 11.55% = 00.5%Stock YY: k = 5% + 0.7(10% - 5%) = 8.55%= 9% - 8.5% = 0.55%14(c). By inncreassing tthe riisk-frree raate

59、 frrom 5 perceent too 7 peercentt and leaviing alll othher faactorssunchangged, tthe sllope oof thee SML flatttens aand thhe exppectedd retuurn peer uniit of increementaalrisk beecomess lesss. Usiing thhe forrmula for aalpha, the alphaa of SStock X inccreasees to 1.1percentt and the aalpha of Sttock

60、 YY fallls to -0.1 perceent. IIn thiis sittuatioon, thhe exppecteddreturn (12.00 perccent) of Sttock XX exceeeds iits reequireed retturn (10.9 perceent) bbased on thheCAPM. TThereffore, Stockk Xs alphaa (1.11 perccent) is poositivve. Foor Stoock Y, its expecctedreturn (9.0 perceent) iis bellow itts