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1、Chapter6-CapitalAllocationtoRiskyAssetsCHAPTER6:CAPITALALLOCATIONTORISKYASSETSPROBLEMSETS1.(e)Thefirsttwoanswerchoicesareincorrectbecauseahighlyriskaverseinvestorwouldavoidportfolioswithhigherriskpremiumsandhigherstandarddeviations.Inaddition,higherorlowerShar
2、peratiosarenotanindicationofaninvestor'stoleranceforrisk.TheSharperatioissimplyatooltoabsolutelymeasurethereturnpremiumearnedperunitofrisk.2.(b)Ahigherborrowingrateisaconsequenceoftheriskoftheborrowers’default.Inperfectmarketswithnoadditionalcostofdefault,this
3、incrementwouldequalthevalueoftheborrower’soptiontodefault,andtheSharpemeasure,withappropriatetreatmentofthedefaultoption,wouldbethesame.However,inrealitytherearecoststodefaultsothatthispartoftheincrementlowerstheSharperatio.Also,noticethatanswer(c)isnotcorrect
4、becausedoublingtheexpectedreturnwithafixedrisk-freeratewillmorethandoubletheriskpremiumandtheSharperatio.3.Assumingnochangeinrisktolerance,thatis,anunchangedrisk-aversioncoefficient(A),higherperceivedvolatilityincreasesthedenominatoroftheequationfortheoptimali
5、nvestmentintheriskyportfolio(Equation6.7).Theproportioninvestedintheriskyportfoliowillthereforedecrease.4.a.Theexpectedcashflowis:(0.5×$70,000)+(0.5×200,000)=$135,000.Withariskpremiumof8%overtherisk-freerateof6%,therequiredrateofreturnis14%.Therefore,thepresen
6、tvalueoftheportfoliois:$135,000/1.14=$118,421b.Iftheportfolioispurchasedfor$118,421andprovidesanexpectedcashinflowof$135,000,thentheexpectedrateofreturn[E(r)]isasfollows:$118,421×[1+E(r)]=$135,000Therefore,E(r)=14%.Theportfoliopriceissettoequatetheexpectedrate
7、ofreturnwiththerequiredrateofreturn.c.IftheriskpremiumoverT-billsisnow12%,thentherequiredreturnis:6%+12%=18%Thepresentvalueoftheportfolioisnow:$135,000/1.18=$114,407d.Foragivenexpectedcashflow,portfoliosthatcommandgreaterriskpremiumsmustsellatlowerprices.Theex
8、tradiscountfromexpected6-13Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter6-CapitalAllo
