投资学第六版第8章课后答案.doc

1. Any security, even a pure-discount . government security, presents its owner with an uncertain return if the owner's holding period does not coincide with the maturity of the security.
If the security's life is less than the owner's holding period, then the owner faces the uncertainty associated with not knowing at what interest rate the security's proceeds can be reinvested when the security reaches maturity.
If the security's life is greater than the owner's holding period, then the owner faces the uncertainty associated with not knowing at what price the security can be sold at the end of the holding period.
4. The expected return of a portfolio invested in both a risky portfolio and a riskfree asset is given by:
= X1 + X2rf
Further, because (X1 + X2) must equal , then X2 = (1 - X1).
a. = ( ´ 15%) + (-.20 ´ 5%)
= %
b. = (.90 ´ 15%) + (.10 ´ 5%)
= %
c. = (.75 ´ 15%) + (.25 ´ 5%)
= %
5. The expected return of a portfolio invested in both a risky portfolio and a riskfree asset is given by:
= X1 + X2rf
In this case, the expected return of the total portfolio as well as the risky portfolio and riskfree asset are known. The question is what two weights, X1 and X2 will solve the equation. That is:
24% = (X1 ´ 18%) + (X2 ´ 5%)
As (X1 + X2) must equal , then X2 = (1 - X1), so:
24% = (X1 ´ 18%) + [(1 - X1) ´ 5%]
Solving fo