課程名稱︰投資學
課程性質︰必修
課程教師︰何憲章
開課學院：管理學院
開課系所︰財金系
考試日期（年月日）︰2011/4/20
考試時限（分鐘）：
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
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Note: Answer to the 4th decimal point, and list calculation process. You may
answer the questions in either English, traditional or simplified
Chinese. Each problem is worth 20 points.
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1.If the initial margin requirement is 60% and maintenance margin is 40% for
both long and short accounts, then for initial stock price of $150, what are
the "critical prices" for getting a margin call of your
(1) long margin account?
(2) short-sale margin account?
2.Given the following information:
┌───┬──────┬─────────┬────────┐
│Stock │Mean Return │Standard Deviation│Correlation │
│ │ Ri │ σi │Coefficient ρ12│
├───┼──────┼─────────┼────────┤
│1 │ 10% │ 0.2 │ │
├───┼──────┼─────────┤ 0.5 │
│2 │ 15% │ 0.3 │ │
└───┴──────┴─────────┴────────┘
(1) What are the optimal weights X1﹡ and X2﹡ of the "minimum-variance
portfolio"?
2
(2) What are the mean return Rp and variance σp of the "minimum-variance
portfolio"?
(3) If the risk free interest rate rf=5% exists, then what are the "optimal
2
portfolio's" optimal weights X1﹡,X2﹡,mean return Rp, and variance σp?
3.Given the following information:
┌───┬──────┬─────────┬────────┐
│Stock │Mean Return │Standard Deviation│ Covariance │
│ │ │ │ 2 │
│ │ Ri,% │ σi,% │ ρij,(%) │
├───┼──────┼─────────┼────────┤
│1 │ 10 │ 2 │ σ12=5 │
├───┼──────┼─────────┤ │
│2 │ 12 │ 3 │ σ13=7 │
├───┼──────┼─────────┤ │
│3 │ 15 │ 4 │ σ23=11 │
└───┴──────┴─────────┴────────┘
If the risk free interest rate rf=5% exists, then what are the "optimal
portfolio's"
(1) optimal weights X1﹡,X2﹡andX3﹡?
2
(2) mean return Rp and variance σp?
4.Given the following information:
┌───┬──────┬────┬─────┐
│Stock │Mean Return │ bi1 │ bi2 │
│ │ │ │ │
│ │ Ri,% │ │ │
├───┼──────┼────┼─────┤
│1 │ 12 │ 1 │ 0.5 │
├───┼──────┼────┼─────┤
│2 │ 13.4 │ 3 │ 0.2 │
├───┼──────┼────┼─────┤
│3 │ 12 │ 3 │ -0.5 │
└───┴──────┴────┴─────┘
If 3 stocks are all on the APT(Arbitrage Pricing Theory) plane, then
(1) What is the APT equilibrium equation: Ri=λ0+λ1bi1+λ2bi2, i.e.,
what is λ0,λ1 and λ2?
(2) If stock 4 with bi1=2 and bi2=1is also on the APT plane, then what is
its mean return R4?
(3) If stock 5 also with bi1=2 and bi2=1, but has a mean return of 15%, then
what should you do about it, i.e. long or short it?
5.State your understanding of and comments on CAPM(Capital Asset Pricing Model)
, APT(Arbitrage Pricing Theory) and EMH(Efficient Market Hypothesis),
elaborate as much as possible.
p.s.可帶A4大抄
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※ 編輯: xup6m4fu3 來自: 140.112.217.93 (04/26 18:27)