CHAPTER 6: CAPITAL ALLOCATION TO RISKY ASSETS PROBLEM SETS
1. (e) The first two answer choices are incorrect because a highly risk averse investor
would avoid portfolios with higher risk premiums and higher standard deviations.
In addition, higher or lower Sharpe ratios are not an indication of an investor's
tolerance for risk. The Sharpe ratio is simply a tool to absolutely measure the return premium earned per unit of risk.
2. (b) A higher borrowing rate is a consequence of the risk of the borr owers’ default.
In perfect markets with no additional cost of default, this increment would equal the value of the borrower’s option to default, and the Sharpe measure, with appropriate treatment of the default option, would be the same. However, in reality there are
costs to default so that this part of the increment lowers the Sharpe ratio. Also,
notice that answer (c) is not correct because doubling the expected return with a
fixed risk-free rate will more than double the risk premium and the Sharpe ratio. 3. Assuming no change in risk tolerance, that is, an unchanged risk-aversion
coefficient (A), higher perceived volatility increases the denominator of the
equation for the optimal investment in the risky portfolio (Equation 6.7). The
proportion invested in the risky portfolio will therefore decrease.
4. a. The expected cash flow is: (0.5 × $70,000) + (0.5 × 200,000) = $135,000.
With a risk premium of 8% over the risk-free rate of 6%, the required rate of
return is 14%. Therefore, the present value of the portfolio is:
$135,000/1.14 = $118,421
b. If the portfolio is purchased for $118,421 and provides an expected cash
inflow of $135,000, then the expected rate of return [E(r)] is as follows:
$118,421 × [1 + E(r)] = $135,000
Therefore, E(r) =14%. The portfolio price is set to equate the expected rate of
return with the required rate of return.
c. If the risk premium over T-bills is now 12%, then the required return is:
6% + 12% = 18%
The present value of the portfolio is now:
$135,000/1.18 = $114,407
d. For a given expected cash flow, portfolios that command greater risk
premiums must sell at lower prices. The extra discount from expected
value is a penalty for risk.
5.When we specify utility by U = E(r) – 0.5Aσ2, the utility level for T-bills is: 0.07
The utility level for the risky portfolio is:
U = 0.12 – 0.5 ×A × (0.18)2 = 0.12 – 0.0162 ×A
In order for the risky portfolio to be preferred to bills, the following must hold:
0.12 – 0.0162A > 0.07 ?A < 0.05/0.0162 = 3.09
A must be less than 3.09 for the risky portfolio to be preferred to bills.
6. Points on the curve are derived by solving for E(r) in the following equation:
U = 0.05 = E(r) – 0.5Aσ2 = E(r) – 1.5σ2
The values of E(r), given the values of σ2, are therefore:
σσ 2E(r)
0.00 0.0000 0.05000
0.05 0.0025 0.05375
0.10 0.0100 0.06500
0.15 0.0225 0.08375
0.20 0.0400 0.11000
0.25 0.0625 0.14375
The bold line in the graph on the next page (labeled Q6, for Question 6) depicts the indifference curve.
7. Repeating the analysis in Problem 6, utility is now:
U = E(r) – 0.5Aσ2 = E(r) –2.0σ2 = 0.05
The equal-utility combinations of expected return and standard deviation are
presented in the table below. The indifference curve is the upward sloping line in the graph on the next page, labeled Q7 (for Question 7).
σσ 2E(r)
0.00 0.0000 0.0500
0.05 0.0025 0.0550
0.10 0.0100 0.0700
0.15 0.0225 0.0950
0.20 0.0400 0.1300
0.25 0.0625 0.1750
The indifference curve in Problem 7 differs from that in Problem 6 in slope.
When A increases from 3 to 4, the increased risk aversion results in a greater
slope for the indifference curve since more expected return is needed in order to compensate for add itional σ.
8. The coefficient of risk aversion for a risk neutral investor is zero. Therefore, the
corresponding utility is equal to the portfolio’s expected return. The corresponding indifference curve in the expected return-standard deviation plane is a horizontal line, labeled Q8 in the graph above (see Problem 6).
9. A risk lover, rather than penalizing portfolio utility to account for risk, derives
greater utility as variance increases. This amounts to a negative coefficient of risk aversion. The corresponding indifference curve is downward sloping in the graph above (see Problem 6), and is labeled Q9.
10. The portfolio expected return and variance are computed as follows:
(1) W Bills (2)
r Bills
(3)
W Index
(4)
r Index
r Portfolio
(1)×(2)+(3)×(4)
σPortfolio
(3) × 20%
σ 2 Portfolio
0.0 5% 1.0 13.0% 13.0% = 0.130 20% = 0.20 0.0400
0.2 5 0.8 13.0 11.4% = 0.114 16% = 0.16 0.0256
0.4 5 0.6 13.0 9.8% = 0.098 12% = 0.12 0.0144
0.6 5 0.4 13.0 8.2% = 0.082 8% = 0.08 0.0064
0.8 5 0.2 13.0 6.6% = 0.066 4% = 0.04 0.0016
1.0 5 0.0 13.0 5.0% = 0.050 0% = 0.00 0.0000 11. Computing utility from U = E(r) – 0.5 ×Aσ2 = E(r) –σ2, we arrive at the values in
the column labeled U(A = 2) in the following table:
W Bills W Index r PortfolioσPortfolioσ2Portfolio U(A = 2) U(A = 3)
0.0 1.0 0.130 0.20 0.0400 0.0900 .0700
0.2 0.8 0.114 0.16 0.0256 0.0884 .0756
0.4 0.6 0.098 0.12 0.0144 0.0836 .0764
0.6 0.4 0.082 0.08 0.0064 0.0756 .0724
0.8 0.2 0.066 0.04 0.0016 0.0644 .0636
1.0 0.0 0.050 0.00 0.0000 0.0500 .0500
The column labeled U(A = 2) implies that investors with A = 2 prefer a portfolio that is invested 100% in the market index to any of the other portfolios in the table.
12. The column labeled U(A = 3) in the table above is computed from:
U = E(r) – 0.5Aσ2 = E(r) – 1.5σ2
The more risk averse investors prefer the portfolio that is invested 40% in the
market, rather than the 100% market weight preferred by investors with A = 2.
13. Expected return = (0.7 × 18%) + (0.3 × 8%) = 15%
Standard deviation = 0.7 × 28% = 19.6%
14. Investment proportions: 30.0% in T-bills
0.7 × 25% = 17.5% in Stock A
0.7 × 32% = 22.4% in Stock B
0.7 × 43% = 30.1% in Stock C
15. Your reward-to-volatility ratio:
.18.08
0.3571
.28
S
-
==
Client's reward-to-volatility ratio:
.15.08
0.3571
.196
S
-
==
16.
17. a. E(r C) = r f + y × [E(r P) –r f] = 8 + y × (18 - 8)
If the expected return for the portfolio is 16%, then:
16% = 8% + 10% ×y?
.16.08
0.8
.10
y
-
==
Therefore, in order to have a portfolio with expected rate of return equal to 16%, the client must invest 80% of total funds in the risky portfolio and 20% in T-bills.
b.
Client’s investment proportions:20.0% in T-bills
0.8 × 25% = 20.0% in Stock A
0.8 × 32% = 25.6% in Stock B
0.8 × 43% = 34.4% in Stock C
c. σC = 0.8 ×σP = 0.8 × 28% = 22.4%
18. a.
σC = y × 28%
If your client prefers a standard deviation of at most 18%, then: y = 18/28 = 0.6429 = 64.29% invested in the risky portfolio.
b. ().08.1.08(0.6429.1)14.429%C E r y =+?=+?=
19. a.
y *0.36440.2744
0.10
0.283.50.080.18σ22==?-=
-=
P
f
P A r )E(r
Therefo re, the client’s optimal proportions are: 36.44% invested in the risky portfolio and 63.56% invested in T-bills.
b. E (r C ) = 0.08 + 0.10 × y * = 0.08 + (0.3644 × 0.1) = 0.1164 or 11.644% σC = 0.3644 × 28 = 10.203%
20. a.
If the period 1926–2012 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E (r M ) ? r f = 8.10%, σM = 20.48% (we use the standard deviation of the risk premium from Table 6.7). Then y * is given by:
That is, 48.28% of the portfolio should be allocated to equity and 51.72% should be allocated to T-bills.
b.
If the period 1968–1988 is assumed to be representative of future expected performance, then we use the following data to compute the fraction allocated to equity: A = 4, E (r M ) ? r f = 3.44%, σM = 16.71% and y * is given by:
22
()0.0344
*0.308040.1671
M f
M
E r r y A σ-=
=
=?
Therefore, 30.80% of the complete portfolio should be allocated to equity and 69.20% should be allocated to T-bills.
c.
In part (b), the market risk premium is expected to be lower than in part (a) and market risk is higher. Therefore, the reward-to-volatility ratio is expected to be lower in part (b), which explains the greater proportion invested in T-bills.
21. a. E (r C ) = 8% = 5% + y × (11% – 5%) ? .08.05
0.5.11.05
y -==-
b. σC = y × σP = 0.50 × 15% = 7.5%
c.
The first client is more risk averse, preferring investments that have less risk as evidenced by the lower standard deviation.
22. Johnson requests the portfolio standard deviation to equal one half the market
portfolio standard deviation. The market portfolio 20%M σ=, which implies
10%P σ=. The intercept of the CML equals 0.05f r =and the slope of the CML
equals the Sharpe ratio for the market portfolio (35%). Therefore using the CML:
()()0.050.350.100.0858.5%M f
P f P M
E r r E r r σσ-=+
=+?==
23. Data: r f = 5%, E (r M ) = 13%, σM = 25%, and B f r = 9%
The CML and indifference curves are as follows:
24. For y to be less than 1.0 (that the investor is a lender), risk aversion (A ) must be
large enough such that:
1σ<-=
2M f
M A r )E(r y ? 1.280.25
0.05
0.132
=->
A For y to be greater than 1 (the investor is a borrower), A must be small enough:
1σ)(>-=2M
f
M A r r E y ? 0.640.25
0.09
0.132
=-<
A
For values of risk aversion within this range, the client will neither borrow nor lend but will hold a portfolio composed only of the optimal risky portfolio:
y = 1 for 0.64 ≤ A ≤ 1.28
25. a.
The graph for Problem 23 has to be redrawn here, with: E (r P ) = 11% and σP = 15%
b. For a lending position: 2.670.150.05
0.112
=->
A
For a borrowing position: 0.890.15
0.09
0.112
=-<
A Therefore, y = 1 for 0.89 ≤ A ≤ 2.67
26. The maximum feasible fee, denoted f , depends on the reward-to-variability ratio.
For y < 1, the lending rate, 5%, is viewed as the relevant risk-free rate, and we solve for f as follows:
.11.05.13.05.15.25f ---= ? .15.08
.06.012, or 1.2%.25
f ?=-
= For y > 1, the borrowing rate, 9%, is the relevant risk-free rate. Then we notice that,
even without a fee, the active fund is inferior to the passive fund because:
.11 – .09 – f
= 0.13 <
.13 – .09
= 0.16 → f = –.004
.15 .25
More risk tolerant investors (who are more inclined to borrow) will not be clients of the fund. We find that f is negative: that is, you would need to pay investors to choose your active fund. These investors desire higher risk –higher return complete
portfolios and thus are in the borrowing range of the relevant CAL. In this range, the reward-to-variability ratio of the index (the passive fund) is better than that of the managed fund. 27. a.
Slope of the CML .13.08
0.20
-=
=
28. a.
With 70% of hi s money invested in my fund’s portfolio, the client’s expected return is 15% per year with a standard deviation of 19.6% per year. If he shifts that money to the passive portfolio (which has an expected return of 13% and standard deviation of 25%), his overall expected return becomes: E (r C ) = r f + 0.7 × [E (r M ) ? r f ] = .08 + [0.7 × (.13 – .08)] = .115, or 11.5% The standard deviation of the complete portfolio using the passive portfolio would be:
σC = 0.7 × σM = 0.7 × 25% = 17.5%
Therefore, the shift entails a decrease in mean from 15% to 11.5% and a decrease in standard deviation from 19.6% to 17.5%. Since both mean return and standard deviation decrease, it is not yet clear whether the move is beneficial. The disadvantage of the shift is that, if the client is willing to accept a mean return on his total portfolio of 11.5%, he can achieve it with a lower standard deviation using my fund rather than the passive portfolio. To achieve a target mean of 11.5%, we first write the mean of the complete
portfolio as a function of the proportion invested in my fund (y ):
E (r C ) = .08 + y × (.18 ? .08) = .08 + .10 × y
Our target is: E (r C ) = 11.5%. Therefore, the proportion that must be invested in my fund is determined as follows:
.115 = .08 + .10 × y ? .115.08
0.35.10
y -=
= The standard deviation of this portfolio would be:
σC = y × 28% = 0.35 × 28% = 9.8%
Thus, by using my portfolio, the same 11.5% expected return can be achieved with a standard deviation of only 9.8% as opposed to the standard deviation of 17.5% using the passive portfolio.
b.
The fee would reduce the reward-to-volatility ratio, i.e., the slope of the CAL. The client will be indifferent between my fund and the passive portfolio if the slope of the after-fee CAL and the CML are equal. Let f denote the fee:
Slope of CAL with fee .18.08.10.28.28
f f
---=
=
Slope of CML (which requires no fee).13.08
0.20.25
-== Setting these slopes equal we have:
.100.200.044 4.4%.28
f
f -=?==per year
29. a.
The formula for the optimal proportion to invest in the passive portfolio is:
2σ
)(*M
f
M A r r E y -=
Substitute the following: E (r M ) = 13%; r f = 8%; σM = 25%; A = 3.5:
2
0.130.08
*0.2286, or 22.86% in the passive portfolio 3.50.25
y -=
=?
b. The answer here is the same as the answer to Problem 28(b). The fee that you
can charge a client is the same regardless of the asset allocation mix of the
client’s portfolio. You can charge a fee that will equate the reward-to-volatility
ratio of your portfolio to that of your competition.
CFA PROBLEMS
1. Utility for each investment = E(r) – 0.5 × 4 ×σ2
We choose the investment with the highest utility value, Investment 3.
Investment Expected
return
E(r)
Standard
deviation
σ
Utility
U
1 0.1
2 0.30 -0.0600
2 0.15 0.50 -0.3500
3 0.21 0.16 0.1588
4 0.24 0.21 0.1518
2. When investors are risk neutral, then A = 0; the investment with the highest utility is
Investment 4 because it has the highest expected return.
3. (b)
4. Indifference curve 2 because it is tangent to the CAL.
5. Point E
6. (0.6 × $50,000) + [0.4 × (-$30,000)] - $5,000 = $13,000
7. (b) Higher borrowing rates will reduce the total return to the portfolio and this
results in a part of the line that has a lower slope.
8. Expected return for equity fund = T-bill rate + Risk premium = 6% + 10% = 16%
Expected rate of return of the client’s portfolio = (0.6 × 16%) + (0.4 × 6%) = 12% Expected return of the client’s portfolio = 0.12 × $100,000 = $12,000
(which implies expected total wealth at the end of the period = $112,000)
Standard deviation of client’s overall portfolio = 0.6 × 14% = 8.4%
9. Reward-to-volatility ratio = .10
0.71 .14
=
CHAPTER 6: APPENDIX
1.By year-end, the $50,000 investment will grow to: $50,000 × 1.06 = $53,000
Without insurance, the probability distribution of end-of-year wealth is:
Probability Wealth
No fire 0.999 $253,000
Fire 0.001 53,000
For this distribution, expected utility is computed as follows:
E[U(W)] = [0.999 ×ln(253,000)] + [0.001 ×ln(53,000)] = 12.439582 The certainty equivalent is:
W CE = e 12.439582 = $252,604.85
With fire insurance, at a cost of $P, the investment in the risk-free asset is: $(50,000 –P)
Year-end wealth will be certain (since you are fully insured) and equal to: [$(50,000 –P) × 1.06] + $200,000
Solve for P in the following equation:
[$(50,000 –P) × 1.06] + $200,000 = $252,604.85 ?P = $372.78 This is the most you are willing to pay for insurance. Note that the expected loss is “only” $200, so you are willing to pay a substantial risk premium over the expected value of losses. The primary reason is that the value of the house is a large
proportion of your wealth.
2. a. With insurance coverage for one-half the value of the house, the premium
is $100, and the investment in the safe asset is $49,900. By year-end, the
investment of $49,900 will grow to: $49,900 × 1.06 = $52,894
If there is a fire, your insurance proceeds will be $100,000, and the
probability distribution of end-of-year wealth is:
Probability Wealth
No fire 0.999 $252,894
Fire 0.001 152,894
For this distribution, expected utility is computed as follows:
E[U(W)] = [0.999 ×ln(252,894)] + [0.001×ln(152,894)] = 12.4402225 The certainty equivalent is:
W CE = e 12.4402225 = $252,766.77
b.With insurance coverage for the full value of the house, costing $200, end-of-
year wealth is certain, and equal to:
[($50,000 – $200) × 1.06] + $200,000 = $252,788
Since wealth is certain, this is also the certainty equivalent wealth of the fully insured position.
c.With insurance coverage for 1? times the value of the house, the premium
is $300, and the insurance pays off $300,000 in the event of a fire. The
investment in the safe asset is $49,700. By year-end, the investment of
$49,700 will grow to: $49,700 × 1.06 = $52,682
The probability distribution of end-of-year wealth is:
Probability Wealth
No fire 0.999 $252,682
Fire 0.001 352,682
For this distribution, expected utility is computed as follows:
E[U(W)] = [0.999 ×ln(252,682)] + [0.001 ×ln(352,682)] = 12.4402205 The certainty equivalent is:
W CE = e 12.440222 = $252,766.27
Therefore, full insurance dominates both over- and underinsurance.
Overinsuring creates a gamble (you actually gain when the house burns down).
Risk is minimized when you insure exactly the value of the house.
CHAPTER 18: EQUITY VALUATION MODELS PROBLEM SETS 1. Theoretically, dividend discount models can be used to value the stock of rapidly growing companies that do not currently pay dividends; in this scenario, we would be valuing expected dividends in the relatively more distant future. However, as a practical matter, such estimates of payments to be made in the more distant future are notoriously inaccurate, rendering dividend discount models problematic for valuation of such companies; free cash flow models are more likely to be appropriate. At the other extreme, one would be more likely to choose a dividend discount model to value a mature firm paying a relatively stable dividend. 2. It is most important to use multistage dividend discount models when valuing companies with temporarily high growth rates. These companies tend to be companies in the early phases of their life cycles, when they have numerous opportunities for reinvestment, resulting in relatively rapid growth and relatively low dividends (or, in many cases, no dividends at all). As these firms mature, attractive investment opportunities are less numerous so that growth rates slow. 3. The intrinsic value of a share of stock is the individual investor’s assessment of the true worth of the stock. The market capitalization rate is the market consensus for the required rate of return for the stock. If the intrinsic value of the stock is equal to its price, then the market capitalization rate is equal to the expected rate of return. On the other hand, if the individual investor believes the stock is underpriced (i.e., intrinsic value > price), then that investor’s expected rate of return is greater than the market capitalization rate. 4. First estimate the amount of each of the next two dividends and the terminal value. The current value is the sum of the present value of these cash flows, discounted at 8.5%. 5. The required return is 9%. $1.22(1.05) 0.05.09,or 9% $32.03 k ? =+= 6. The Gordon DDM uses the dividend for period (t+1) which would be 1.05.
《国际投资学》课程模拟试卷十 姓名班级学号 一、填空题（每题2分，共10分） 1.国际投资客体主要包括、、等三类资产。 2.跨国银行的组织形式主要有、和等三种形式。 3.国际投资资产取得方式主要有两种：和。 4.解决国际投资争端的主要方式有、和三类。 5.我国政府在《指导外商投资方向暂行规定》中将外商投资项目分为：、 、、等四类。 二、单选题（每题1分，共10分） 1.区分国际直接投资和国际间接投资的根本原则是（）。 A 股权比例 B 有效控制 C 持久利益 D 战略关系 2.被誉为国际直接投资理论先驱的是（）。 A 纳克斯 B 海默 C 邓宁 D 小岛清 3.在证券市场线上，市场组合的β系数为（）。 A 0 B 0.5 C 1.0 D 1.5 4.对于绿地投资，下面描述中不属于跨国购并特点的是（）。 A 快速进入东道国市场 B 风险低，成功率高 C 减少竞争 D 便于取得战略资产 5.下面描述不属于国际合作经营的特点是（）。 A 股权式合营 B 契约式合营 C 注册费用较低 D 合作双分共担风险 6.以下对美国纳斯达克市场特点的描述不正确的是（）。 A独特的做市商制度 B高度全球化的市场 C上市标准严格 D技术先进 7.以下不属于外国债券的是（）。 A 扬基债券 B 欧洲债券 C 武士债券 D 龙债券 8.以下不属于国际投资环境特点的是（）。 A综合性 B稳定性 C先在行 D差异性 9.以下关于国际直接投资对东道国资本形成直接效应的描述不正确的是（）。
A在起始阶段，无疑是资本流入，是将国外储蓄国内化，一般会促进东道国的资本形成，形成新的生产能力，对东道国经济增长产生正效应 B绿地投资能够直接增加东道国的资本存量，对东道国的资本形成有显在的正效应，而购并投资只是改变了存量资本的所有权，对东道国的资本形成没有直接的效应 C跨国公司在东道国融资也会扩大东道国投资规模，从而对资本形成产生积极的效应D如果外国投资进入的是东道国竞争力较强的产业，外国投资的进入会强化竞争性的市场格局，推动产业升级，带动国内投资的增长，对资本形成会产生正效应 10.目前我国对外借款最主要的方式为：（）。 A、外国政府贷款 B.国际金融组织贷款 C.国际商业贷款 D.对外发行债券 三、是非题（每题2分，共10分） 1.凡是在2个以上的国家或地区拥有分支机构的企业就是跨国公司。（） 2.规模越大的跨国公司其国际化经营程度就越高。（） 3.近年来，跨国公司的数量急遽增长，跨国公司的集中化程度也随着降低。（） 4. 多边投资担保机构（MIGA）的宗旨是鼓励生产性的外国私人直接投资向发展中国家流动以及资本在发展中国家之间的相互流动，从而促进发展中国家的经济增长，并以此补充世界银行集团其他成员的活动。（） 5.国际租赁既是非股权参与直接投资方式，同时也是国际融资的重要途径。（） 四、名词解释（每题4分，共20分） 1.偿债率 2.中外合资经营企业 3.QFII 4.跨国经营指数 5.赠与成分 五、简答题（每题5分，共25分） 1.简述国际直接投资与国际间接投资的波动性差异。 2.简述影响国际直接投资区域格局的主要因素。 3.简述资本市场线的主要特征。 4.共同基金发展的原因。 5.简述半官方机构的资金来源。 六、论述题（每题8分，共16分）
一、单项选择题(每小题1分，共15分) 1、二次世界大战前，国际投资是以( )为主。 A(证券投资 B.实业投资 C.直接投资 D.私人投资 2、国际货币基金组织认为，视为对企业实施有效控制的股权比例一般是( )。A(10, B.25, C.35, D.50, 3、以下哪个不是中国发展对外投资的目的( )。 A(有利于充分利用国外自然资源 B(有利于充分利用国外资金 C(有利于扩大出口，加快国际化进程 D(有利于提高国民收入，增加就业机会 4、下面关于国际直接投资对东道国的技术进步效应描述不正确的是( )。 A(国际直接投资对东道国的技术进步效应主要是通过跨国公司直接转移发挥的 B(跨国公司将技术转让给东道国的全资子公司的方式效应最低 C(合资方式下技术转移效应较高，但转移的技术等级一般较低 D(跨国公司通过与东道国当地企业或机构合作研发将有助于推进东道国技术进步 5、以下国际投资环境评估方法属于动态方法的是( )。 A.道氏评估法 B.罗氏评估法 C.闽氏评估法 D.冷热评估法 6、以下不属于国际投资环境特点的是( )。 A.综合性 B.稳定性 C.先在行 D.差异性 7、被誉为国际直接投资理论先驱的是( )。 A.纳克斯 B.海默 C.邓宁 D.小岛清 8、以下不属于国际储备管理原则的是(a ) A.多样性 B.安全性 C.流动性 D.盈利性
9.一个子公司主要服务于一国的东道国市场，而跨国公司母公司则在不同的市场控制几 个子公司的经营战略是(a )。 A.独立子公司战略 B.多国战略 C.区域战略 D.全球战略 10、对外国政府贷款的说法中不正确的是( d ) A(外国政府贷款常与出口信贷混合使用 B(外国政府贷款利率低，期限长，有时还伴有部分赠款 C. 使用外国政府贷款要支付少量管理费 D(外国政府贷款可用于购置任何国家或地区的设备或原料 11、在证券市场线上，市场组合的β系数为( c )。 A.0 B.0.5 C.1.0 D.1.5 12(以下不属于国际投资环境评价形式的是(b )。 A.专家实地考察 B.问卷调查 C.东道国政府评估 D.咨询机构评估 13、弗农提出的国际直接投资理论是( a )。 A.产品生命周期理论( B.垄断优势理论 C.折衷理论 D.厂商增长理论 14(以下关于国际直接投资对东道国资本形成直接效应的描述不正确的是( )。 A.在起始阶段，无疑是资本流入，是将国外储蓄国内化，一般会促进东道国的资本形成， 形成新的生产能力，对东道国经济增长产生正效应 B.绿地投资能够直接增加东道国的资本存量，对东道国的资本形成有显在的正效应，而 购并投资只是改变了存量资本的所有权，对东道国的资本形成没有直接的效应
《投资学》练习题及答案 一、单项选择题 1、下列行为不属于投资的是（ C ）。 A. 购买汽车作为出租车使用 B. 农民购买化肥 C. 购买商品房自己居住 D. 政府出资修筑高速公路 2、投资的收益和风险往往（ A ）。 A. 同方向变化 B. 反方向变化 C. 先同方向变化，后反方向变化 D. 先反方向变化，后同方向变化 3、购买一家企业20%的股权是（ B ）。 A. 直接投资 B. 间接投资 C. 实业投资 D. 金融投资 4、对下列问题的回答属于规范分析的是（ C ）。 A. 中央银行再贷款利率上调，股票价格可能发生怎样的变化？ B. 上市公司的审批制和注册制有何差异，会对上市公司的行为以及证券投资产生哪些不同的影响？ C. 企业的投资应该追求利润的最大化还是企业价值的最大化？ D. 实行最低工资制度对企业会产生怎样的影响？ 5、市场经济制度与计划经济制度的最大区别在于（ B ）。 A. 两种经济制度所属社会制度不一样 B. 两种经济制度的基础性资源配置方式不一样 C. 两种经济制度的生产方式不一样 D. 两种经济制度的生产资料所有制不一样 6、市场经济配置资源的主要手段是（ D ）。 A. 分配机制 B. 再分配机制 C. 生产机制 D. 价格机制 7、以下不是导致市场失灵的原因的是（ A ）。 A. 市场发育不完全 B. 垄断 C. 市场供求双方之间的信息不对称 D. 分配不公平 二、判断题 1、资本可以有各种表现形态，但必须有价值。（√） 2、无形资本不具备实物形态，却能带来收益，在本质上属于真实资产范畴。（√） 3、证券投资是以实物投资为基础的，是实物投资活动的延伸。（√） 4、直接投资是实物投资。（√） 5、间接投资不直接流入生产服务部门。（√） 6、从银行贷款从事房地产投机的人不是投资主体。（×） 7、在市场经济体制下，自利性是经济活动主体从事经济活动的内在动力。（√） 8、产权不明晰或产权缺乏严格的法律保护是市场本身固有的缺陷。（×）
CHAPTER 9: THE CAPITAL ASSET PRICING MODEL PROBLEM SETS 1. 2. If the security’s correlation coefficient with the market portfolio doubles (with all other variables such as variances unchanged), then beta, and therefore the risk premium, will also double. The current risk premium is: 14% – 6% = 8% The new risk premium would be 16%, and the new discount rate for the security would be: 16% + 6% = 22% If the stock pays a constant perpetual dividend, then we know from the original data that the dividend (D) must satisfy the equation for the present value of a perpetuity: Price = Dividend/Discount rate 50 = D /0.14 ? D = 50 ? 0.14 = $7.00 At the new discount rate of 22%, the stock would be worth: $7/0.22 = $31.82 The increase in stock risk has lowered its value by 36.36%. 3. a. False. β = 0 implies E (r ) = r f , not zero. b. False. Investors require a risk premium only for bearing systematic (undiversifiable or market) risk. Total volatility, as measured by the standard deviation, includes diversifiable risk. c. False. Your portfolio should be invested 75% in the market portfolio and 25% in T-bills. Then:β(0.751)(0.250)0.75P =?+?= 4. The expected return is the return predicted by the CAPM for a given level of systematic risk. $1$5()β[()] ().04 1.5(.10.04).13,or 13%().04 1.0(.10.04).10,or 10% i f i M f Discount Everything E r r E r r E r E r =+?-=+?-==+?-= ()β[()] .12.18.06β[.14.06]β 1.5.08P f P M f P P E r r E r r =+?-=+?-→==
? 作业1：股票定价 1、假设某公司现在正处于高速成长阶段，其上一年支付的股利为每股 1元，预计今后3年的股利年增长率为10%，3年后公司步入成熟期，从第4年开始股利年增长率下降为5%，并一直保持5%的增长速度。如果市场必要收益率为8%，请计算该股票的内在价值。 （元） 09.40%)5%8(%) 51(%)101(1%)81(1%)81(%)101(1%)81(%)101(1%81%)101(1)()1() 1()1()1()1(3333222323103 1 10=-++??++++?+++?+++?=-++++++=∑=g k k g g D k g D V t t t 注：不管是2阶段，还是3阶段、n 阶段模型，股票估值都是计算期0时点的价格或价值，所以对第2阶段及以后阶段的估值，均需要贴现至0时点。这一点要切记！ 2、某公司预计从今年起连续5年每年发放固定股利1元，从第6年开 始股利将按每年6%的速度增长。假定当前市场必要收益率为8%，当前该股票价格为50元，请计算该公司股票的内在价值和净现值，并对当前股票价格的高低进行判断。 ()，该股票被高估。 （元）元0949064068611811811 5 5 1<-=-==-+??++ +=∑ =NPV .P V NPV )(.%) %(%) (%)(%V n n
3、某股份公司去年支付每股股利1元，预计在未来该公司股票股利按 每年6%的速率增长，假定必要收益率为8%，请计算该公司股票的内在价值。当前该股票价格为30元，请分别用净现值法和内部收益率法判断该股票的投资价值。 （1）净现值法： )(% %%) (V 元5368611=-+?= 。低估，建议购买该股票，所以当前股票价格被023>=-=P V NPV （2）内部收益率法： 30=% 6%)61(1-+?r ， r ＝9.5%＞8%（必要收益率） 当前股票价格被低估，建议购买该股票。 4、某上市公司上年每股股利为0.3元，预计以后股利每年以3％的速 度递增。假设必要收益率（贴现率）是8%。试用股利定价模型计算该股票的内在价值。若该股票当时股价为5元，请问该股票是被低估了还是被高估了？应如何操作该股票？ 股票内在价值（元）186383130.% %%) (.V =-+?= （元）1815-186..P V NPV ==-= 该股票被低估，应该买入。
CHAPTER 17: MACROECONOMIC AND INDUSTRY ANALYSIS PROBLEM SETS 1. Expansionary (looser) monetary policy to lower interest rates would stimulate both investment and expenditures on consumer durables. Expansionary fiscal policy (i.e., lower taxes, increased government spending, increased welfare transfers) would stimulate aggregate demand directly. 2. A depreciating dollar makes imported cars more expensive and American cars less expensive to foreign consumers. This should benefit the U.S. auto industry. 3. This exercise is left to the student; answers will vary. Successful students will likely discuss an industry's profitability, leverage, and growth opportunities, especially in relation to general macroeconomic conditions. 4. A top-down approach to security valuation begins with an analysis of the global and domestic economy. Analysts who follow a top-down approach then narrow their attention to an industry or sector likely to perform well, given the expected performance of the broader economy. Finally, the analysis focuses on specific companies within an industry or sector that has been identified as likely to perform well. A bottom-up approach typically emphasizes fundamental analysis of individual company stocks and is largely based on the belief that undervalued stocks will perform well regardless of the prospects for the industry or the broader economy. The major advantage of the top-down approach is that it provides a structured approach to incorporating the impact of economic and financial var iables, at every level, into analysis of a company’s stock. One would expect, for example, that prospects for a particular industry are highly dependent on broader economic variables. Similarly, the performance of an individual company’s
网络教育专升本《国际投资学》模拟试题 一、 1. 国际货币基金组织认为，视为对企业实施有效控制的股权比例一般是（）？（2分） A.10％ B.25％ C.35％ D.50％ .标准答案：B 2. 弗农提出的国际直接投资理论是（）。（2分） A.产品生命周期理论 B.垄断优势理论 C.折衷理论 D.厂商增长理论 .标准答案：A 3. 最保守的观点认为，在（）个国家或地区以上拥有从事生产和经营的分支机构才算是跨国公司。（2分） A.2个 B.3个 C.4个 D.6个 .标准答案：D 4. 下面不属于跨国银行功能的是（）。（2分） A.跨国公司融资中介 B.为跨国公司提供信息服务 C.证券承销 D.支付中介 .标准答案：C 5. 以下不属于国际金融公司（IFC）的投资管理的原则是（）。（2分） A.催化原则 B.商业原则 C.流动原则 D.特殊贡献原则 .标准答案：C 6. 子公司完全复制母公司价值链的战略是（）。（2分） A.独立子公司战略 B.多国战略 C.简单一体化战略 D.复合一体化战略 .标准答案：A
7. 一个子公司主要服务于一国的东道国市场，而跨国公司母公司则在不同的市场控制几个子公司的经营战略是（）。（2分） A.独立子公司战略 B.多国战略 C.区域战略 D.全球战略 .标准答案：C 8. 下面不属于跨国投资银行功能的是（）。（2分） A.证券承销 B.证券经纪 C..跨国购并策划与融资 D.为跨国公司提供授信服务 .标准答案：B 9. 下面不属于对冲基金特点的是（）。（2分） A.私募 B.受严格管制 C.高杠杠性 D.分配机制更灵活和更富激励性 .标准答案：D 10. 二次世界大战前，国际投资是以（）为主。（2分） A.证券投资 B.实业投资 C.直接投资 D.私人投资.标准答案：A 11. 被誉为国际直接投资理论先驱的是（）。（2分） A.纳克斯 B.海默 C.邓宁 D.小岛清.标准答案：B 12. 下面哪一个不属于折衷理论的三大优势之一（）。（2分） A.厂商所有权优势 B.内部化优势 C.垄断优势 D.区位优势 .标准答案：C
CHAPTER 7: OPTIMAL RISKY PORTFOLIOS PROBLEM SETS 1. (a) and (e). Short-term rates and labor issues are factors that are common to all firms and therefore must be considered as market risk factors. The remaining three factors are unique to this corporation and are not a part of market risk. 2. (a) and (c). After real estate is added to the portfolio, there are four asset classes in the portfolio: stocks, bonds, cash, and real estate. Portfolio variance now includes a variance term for real estate returns and a covariance term for real estate returns with returns for each of the other three asset classes. Therefore, portfolio risk is affected by the variance (or standard deviation) of real estate returns and the correlation between real estate returns and returns for each of the other asset classes. (Note that the correlation between real estate returns and returns for cash is most likely zero.) 3. (a) Answer (a) is valid because it provides the definition of the minimum variance portfolio. 4. The parameters of the opportunity set are: E (r S ) = 20%, E (r B ) = 12%, σS = 30%, σB = 15%, ρ = From the standard deviations and the correlation coefficient we generate the covariance matrix [note that (,)S B S B Cov r r ρσσ=??]: Bonds Stocks Bonds 225 45 Stocks 45 900 The minimum-variance portfolio is computed as follows: w Min (S ) =1739.0) 452(22590045 225)(Cov 2)(Cov 2 22=?-+-=-+-B S B S B S B ,r r ,r r σσσ w Min (B ) = 1 = The minimum variance portfolio mean and standard deviation are:
一、单项选择题（每小题1分，共15分） 1、二次世界大战前，国际投资是以（）为主。 A．证券投资 B.实业投资 C.直接投资 D.私人投资 2、国际货币基金组织认为，视为对企业实施有效控制的股权比例一般是（）。 A．10％ B.25％ C.35％ D.50％ 3、以下哪个不是中国发展对外投资的目的（）。 A．有利于充分利用国外自然资源 B．有利于充分利用国外资金 C．有利于扩大出口，加快国际化进程 D．有利于提高国民收入，增加就业机会 4、下面关于国际直接投资对东道国的技术进步效应描述不正确的是（）。 A．国际直接投资对东道国的技术进步效应主要是通过跨国公司直接转移发挥的 B．跨国公司将技术转让给东道国的全资子公司的方式效应最低 C．合资方式下技术转移效应较高，但转移的技术等级一般较低 D．跨国公司通过与东道国当地企业或机构合作研发将有助于推进东道国技术进步 5、以下国际投资环境评估方法属于动态方法的是（）。 A.道氏评估法 B.罗氏评估法 C.闽氏评估法 D.冷热评估法 6、以下不属于国际投资环境特点的是（）。 A.综合性 B.稳定性 C.先在行 D.差异性 7、被誉为国际直接投资理论先驱的是（）。 A.纳克斯 B.海默 C.邓宁 D.小岛清 8、以下不属于国际储备管理原则的是（a ） A.多样性 B.安全性 C.流动性 D.盈利性 9.一个子公司主要服务于一国的东道国市场，而跨国公司母公司则在不同的市场控制几个子公司的经营战略是（a ）。 A.独立子公司战略 B.多国战略 C.区域战略 D.全球战略 10、对外国政府贷款的说法中不正确的是( d ) A．外国政府贷款常与出口信贷混合使用 B．外国政府贷款利率低，期限长，有时还伴有部分赠款 C. 使用外国政府贷款要支付少量管理费 D．外国政府贷款可用于购置任何国家或地区的设备或原料 11、在证券市场线上，市场组合的β系数为（ c ）。 A.0 B.0.5 C.1.0 D.1.5 12．以下不属于国际投资环境评价形式的是（b ）。 A.专家实地考察 B.问卷调查 C.东道国政府评估 D.咨询机构评估 13、弗农提出的国际直接投资理论是（ a ）。 A.产品生命周期理论( B.垄断优势理论 C.折衷理论 D.厂商增长理论 14．以下关于国际直接投资对东道国资本形成直接效应的描述不正确的是（）。 A.在起始阶段，无疑是资本流入，是将国外储蓄国内化，一般会促进东道国的资本形成，形成新的生产能力，对东道国经济增长产生正效应 B.绿地投资能够直接增加东道国的资本存量，对东道国的资本形成有显在的正效应，而
《投资学》试题及答案题目1 狭义的投资是指（）。 A. 创业投资 B. 证券投资 C. 风险投资 D. 实物投资 题目2 以下属于失业人口的范畴的为（）。 A. 不愿工作的人 B. 在校学生 C. 被公司辞退的人员 D. 退休人员 题目3 投资风险与收益之间呈（）。 A. 同方向变化 B. 同比例变化 C. 不确定性 D. 反方向变化 题目4 实物投资主体是（）投资者，金融投资主体是（）投资者。 a. 直接；间接 b. 间接；直接 c. 间接；间接 d. 直接；直接 题目5 区分直接投资和间接投资的基本标志是在于（）。 A. 投资者的投资方式 B. 投资者是否拥有控制权 C. 投资者的资本数量 D. 投资者的投资渠道 题目6 总产出通常用（）来衡量。 A. 国内生产总值 B. 国民生产总值 C. 物价指数 D. 国家生产总值 题目7 非自愿失业可分为（）。 或多项 A. 结构性失业 B. 隐蔽性失业 C. 摩擦性失业 D. 周期性失业 The correct answers are: 摩擦性失业, 结构性失业, 周期性失业
则利用乘数-加速数模型计算下一期国民收入为（）。 A. 1400 B. 600 C. 2400 D. 1000 正确答案是1400 题目9 如果资本存量的利用程度高，那么消费与投资成（）变化。 A. 零 B. 正比例 C. 不确定性 D. 反比例 正确答案是反比例 题目10 用来衡量通货膨胀的程度的指标是（）。 A. 固定资产投资价格指数 B. 城市居民消费价格指数 C. 消费价格指数 D. 工业品出产价格指数 正确答案是消费价格指数 二、多项选择题（每题6分，共30分） 题目11 以下哪些属于投资主体（）。 或多项 A. 银行 B. 政府 C. 投资基金 D. 保险公司 E. 证券公司 The correct answers are: 银行, 证券公司, 保险公司, 投资基金, 政府题目12 投资的特征有（）。 或多项 A. 安全性 B. 时间性 C. 风险性 D. 收益性 E. 经济性 The correct answers are: 经济性, 时间性, 收益性, 风险性 题目13 短期投资和长期投资相比，具有（）特性。 或多项 A. 风险相对较高 B. 流动性较好 C. 资金周转较快 D. 收益率相对较低
CHAPTER 14: BOND PRICES AND YIELDS PROBLEM SETS 1. a. Catastrophe bond—A bond that allows the issuer to t ransfer “catastrophe risk” from the firm to the capital markets. Investors in these bonds receive a compensation for taking on the risk in the form of higher coupon rates. In the event of a catastrophe, the bondholders will receive only part or perhaps none of the principal payment due to them at maturity. Disaster can be defined by total insured losses or by criteria such as wind speed in a hurricane or Richter level in an earthquake. b. Eurobond—A bond that is denominated in one currency, usually that of the issuer, but sold in other national markets. c. Zero-coupon bond—A bond that makes no coupon payments. Investors receive par value at the maturity date but receive no interest payments until then. These bonds are issued at prices below par value, and the investor’s return comes from the difference between issue price and the payment of par value at maturity (capital gain). d. Samurai bond—Yen-dominated bonds sold in Japan by non-Japanese issuers. e. Junk bond—A bond with a low credit rating due to its high default risk; also known as high-yield bonds. f. Convertible bond—A bond that gives the bondholders an option to exchange the bond for a specified number of shares of common stock of the firm. g. Serial bonds—Bonds issued with staggered maturity dates. As bonds mature sequentially, the principal repayment burden for the firm is spread over time. h. Equipment obligation bond—A collateralized bond for which the collateral is equipment owned by the firm. If the firm defaults on the bond, the bondholders would receive the equipment. i. Original issue discount bond—A bond issued at a discount to the face value. j. Indexed bond— A bond that makes payments that are tied to a general price index or the price of a particular commodity. k. Callable bond—A bond that gives the issuer the option to repurchase the bond at a specified call price before the maturity date.
《国际投资学》课程模拟试卷四 姓名班级学号 一、填空题（每题2分，共10分） 1.从影响投资的外部条件本身的性质角度，国际投资环境可以划分为和。 2.经济地理位置的具体内涵包括：、、和与市场的距离等。 3.一国的经济发展水平，是指该国一定时期内的、以及，是决定该国对国际资本吸纳能力的基本制约因素。 4. 制度和制度是资本管制条件下，双向地有限度开放证券市场投资的过渡性制度安排。 5.金融衍生工具兼具和两大功能。 二、单选题（每题1分，共10分） 1.在证券市场线上，市场组合的β系数为（）。 A 0 B 0.5 C 1.0 D 1.5 2.下面哪一个不属于折衷理论的三大优势之一（）。 A 厂商所有权优势 B 内部化优势 C 垄断优势 D 区位优势 3.一个子公司主要服务于一国的东道国市场，而跨国公司母公司则在不同的市场控制几个子公司的经营战略是（）。 A 独立子公司战略 B 多国战略 C 区域战略 D 全球战略 4.下面不属于跨国投资银行功能的是（）。 A 证券承销 B 证券经纪 C 跨国购并策划与融资 D 为跨国公司提供授信服务 5.下面不属于共同基金特点的是（）。 A 公募 B 专家理财 C 规模优势 D 信息披露管制较少 6.以下对官方国际投资特点的描述不正确的是（）。 A 深刻的政治内涵 B 追求货币盈利 C 中长期性 D 具有直接投资和间接投资的双重性 7.以下不属于国际储备管理原则的是（）。 A 多样性 B安全性 C流动性 D盈利性 8.以下对美国纳斯达克市场特点的描述不正确的是（）。 A独特的做市商制度
B高度全球化的市场 C上市标准严格 D技术先进 9.以下对存托凭证的描述不正确的是（）。 A存托凭证是由本国银行开出的外国公司股票的保管凭证 B美国是存托凭证发行交易规模最大的市场 C目前存托凭证发行交易最为活跃的地区以亚洲为主 D可以分为参与型（Sponsored）存托凭证和非参与型（Unsponsored）存托凭证两种 10.中外合资经营企业作为中国直接利用外资的主要形式之一，它不具有的特征有：（）。 A．是中国企业与外国投资方在中国境内共同举办的企业 B．其法律地位为中国法人 C．合资经营各方需共同投资、共同经营、共享利润、共担风险 D．其组织形式为股份有限责任公司 三、是非题（每题2分，共10分） 1.官方国际投资一般都带有一定的政治内涵。（） 2.国际储备营运以稳健和安全为其首要原则。（） 3.凡不涉及发行新股票的收购兼并都可以被认为是现金收购。（） 4.近年来，跨国公司研发活动出现了显著的全球化的趋势。（） 5.欧洲债券作为逃避官方政策管制的产物，其发行不受各国金融法规的限制，发行手 续简便，机动灵活，适应性强。（） 四、名词解释（每题4分，共20分） 1.混合购并 2.国际租赁 3.红筹股 4.绿地投资 5.国际间接投资 五、简答题（每题5分，共25分） 1．简述小岛清的比较优势理论。 2．非股权参与方式和股权参与方式相比有何特点。
CHAPTER 8: INDEX MODELS PROBLEM SETS 1. The advantage of the index model, compared to the Markowitz procedure, is the vastly reduced number of estimates required. In addition, the large number of estimates required for the Markowitz procedure can result in large aggregate estimation errors when implementing the procedure. The disadvantage of the index model arises from the model’s assumption that return residuals are uncorrelated. This assumption will be incorrect if the index used omits a significant risk factor. 2. The trade-off entailed in departing from pure indexing in favor of an actively managed portfolio is between the probability (or the possibility) of superior performance against the certainty of additional management fees. 3. The answer to this question can be seen from the formulas for w0 (equation and w* (equation . Other things held equal, w0 is smaller the greater the residual variance of a candidate asset for inclusion in the portfolio. Further, we see that regardless of beta, when w0 decreases, so does w*. Therefore, other things equal, the greater the residual variance of an asset, the smaller its position in the optimal risky portfolio. That is, increased firm-specific risk reduces the extent to which an active investor will be willing to depart from an indexed portfolio. 4. The total risk premium equals: + (× Market risk premium). We call alpha a nonmarket return premium because it is the portion of the return premium that is independent of market performance. The Sharpe ratio indicates that a higher alpha makes a security more desirable. Alpha, the numerator of the Sharpe ratio, is a fixed number that is not affected by the standard deviation of returns, the denominator of the Sharpe ratio. Hence, an increase in alpha increases the Sharpe ratio. Since the portfolio alpha is the portfolio-weighted average of the securities’ alphas, then,