国际金融seminar2

大连海事大学交通运输管理学院王冰Seminar2FinancialEconomics大连海事大学交通运输管理学院王冰#1Topic8Whichriskmanagementtechniquehasbeenchosenineachofthefollowingsituations?InstallingasmokedetectorinyourhomeInvestingsavingsinT-billsratherthaninstocksDecidingnottopurchasecollisioninsuranceonyourcarPurchasingalifeinsurancepolicyforyourself2FinancialEconomics大连海事大学交通运输管理学院王冰Selectionofrisk-managementtechniquesRiskavoidanceAvoidgoingintocertainprofessionsLosspreventionandcontrolReducetheexposuretotheriskofillnessRiskretentionSaveforillnessRisktransferBuyinsurance3FinancialEconomics大连海事大学交通运输管理学院王冰Answer:Losspreventionandcontrol.RiskavoidanceRiskretentionRisktransfer4FinancialEconomics大连海事大学交通运输管理学院王冰#2Topic9Notewhetherthefollowingarewaystoavoidlossesthroughhedgingorinsuring:Purchaseaputoptiononastockyoudoown.Agreetopurchaseahouseinoneyearforafixedpriceof$200,000.Leaseacarwithanoptiontopurchaseitinthreeyears.Enterintoaswapcontracttoexchangefixedinterestpaymentsforfloating-ratepaymentsbecauseyouhavefloating-rateassets.Asawheatgrower,enterintoaforwardcontracttosellyourwheatintwomonthsatafixedpricesettoday.Payapremiumforcatastrophichealthcarecoverage.5FinancialEconomics大连海事大学交通运输管理学院王冰Answer:Purchaseaputoptiononastockyoudoown.(Insuring)Agreetopurchaseahouseinoneyearforafixedpriceof$200,000.(Hedging)Leaseacarwithanoptiontopurchaseitin3years.(Insuring)Enterintoaswapcontracttoexchangefixedinterestpaymentsforfloating-ratepaymentsbecauseyouhavefloating-rateassets.(Hedging)Asawheatgrower,enterintoaforwardcontracttosellyourwheatin2monthsatafixedpricesettoday.(Hedging)Payapremiumforcatastrophichealthcarecoverage.(Insuring)6FinancialEconomics大连海事大学交通运输管理学院王冰#3Topic10Supposeaninvestorinvests75%inthetangencyportfolioand25%intherisklessasset.Whatistheexpectedrateofreturnandstandarddeviationofthisportfolio?Iftheinvestorhas$100,000,howmuchwillheinvestinRiskyAsset1,RiskyAsset2andrisklessasset?7FinancialEconomics大连海事大学交通运输管理学院王冰Answer:8fsrrErE25.0)(75.0)(s75.0Weightinrisklessasset25%WeightinRiskyAsset10.75WeightinRiskyAsset20.75Total100%1w2wFinancialEconomics大连海事大学交通运输管理学院王冰#4Topic11Witharisklessrateof0.06,anequitymarketpremiumof0.05,andaCapitalMarketLineofslope0.75,wecaninferwhatabouttheriskofthemarketportfolio?9FinancialEconomics大连海事大学交通运输管理学院王冰Answer:TheCMLisgivenby:Workingwiththeslopeofthecapitalmarketlineweknow:10MfMfrrErrE)()(%67.6,75.0%5,75.0%5MMMFinancialEconomics大连海事大学交通运输管理学院王冰#5Topic11IftheTreasurybillrateiscurrently0.04andtheexpectedreturntothemarketportfoliooverthesameperiodis0.12,determinetheriskpremiumonthemarket.Ifthestandarddeviationofthereturnonthemarketis0.20,whatistheequationoftheCapitalMarketLine?11FinancialEconomics大连海事大学交通运输管理学院王冰Answer:TheCMLisgivenby:Herewehave:12MfMfrrErrE)()(4.0%4)(2.0%4%12%4)(rErEFinancialEconomics大连海事大学交通运输管理学院王冰#6Topic11Supposetherisk-freerateis0.10andasecuritywithabetaof+1hasanequilibriumexpectedrateofreturnof0.15.Whatistheequitymarketpremium?13FinancialEconomics大连海事大学交通运输管理学院王冰Answer:TheSMLisgivenby:Plugginginwhatweknow:Sotheequitymarketpremiumis5%.14fMifirrErrE)()(%15)(%10)(*1%10%15MMrErEFinancialEconomics大连海事大学交通运输管理学院王冰#7Topic11Consideraportfolioexhibitinganexpectedreturnof0.20inaneconomyinwhichtherisklessinterestrateis0.08,theexpectedreturntothemarketportfoliois0.13,andthestandarddeviationofthereturntothemarketportfoliois0.25.Assumingthisportfolioisefficient,determine:itsbeta.thestandarddeviationofitsreturn.itscorrelationwiththemarketreturn.15FinancialEconomics大连海事大学交通运输管理学院王冰Answer:TheSMLisgivenby:Plugginginwhatweknow:Sothebetais2.4.16fMifirrErrE)()(4.2%8%13%8%20iiFinancialEconomics大连海事大学交通运输管理学院王冰Answer:TheCMLisgivenby:Herewehave:Theriskofthesecurityis60%17MfMfrrErrE)()(6.0%25%8%13%8%20FinancialEconomics大连海事大学交通运输管理学院王冰Answer:Thesecurity'sreturnsareperfectedcorrelatedwiththereturnsofthemarketportfolio.181%25%604.222iMiMMiMiMiMMiMiMiFinancialEconomics大连海事大学交通运输管理学院王冰#8Topic11Thereareonlytworiskyassetsintheeconomy:stocksandrealestateandtheirrelativesuppliesare50%stocksand50%realestate.Thus,themarketportfoliowillbehalfstocksandhalfrealestate.Thestandarddeviationsare0.20forstocks,0.20forrealestate,andthecorrelationbetweenthemiszero.Themarketportfolio’sexpectedreturnis0.14.Therisklessrateis0.08peryear.AccordingtotheCAPMwhatmustbetheequilibriumriskpremiumonthemarketportfolio,onstocks,andonrealestate?DrawtheCapitalMarketLine.Whatisitsslope?DrawtheSML.Whatisitsformula?19FinancialEconomics大连海事大学交通运输管理学院王冰Answer:Themarketriskpremiumis14%−8%=0.06or6%.Themarketportfolio'sexpectedrateofreturnisalsoaweightedaverageoftheexpectedratesofreturnonstocksandrealestate,wheretheweightsareeach1/2.Stocksandrealestatemusthavethesameriskpremium.201414.02.0*5.0*2)1(2)1(22212,12222122mmFinancialEconomics大连海事大学交通运输管理学院王冰Answer:TheCMLisgivenby:CMLslope:21MfMfrrErrE)()(4243.0)(MfMrrEFinancialEconomics大连海事大学交通运输管理学院王冰Answer:22FinancialEconomics大连海事大学交通运输管理学院王冰Answer:TheSMLisgive