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提问人：网友jimmeng
发布时间：2022-01-07
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对投资组合进行保险的成本要大于对组合中每个资产分别进行保险的成本之和。
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更多“对投资组合进行保险的成本要大于对组合中每个资产分别进行保险的成本之和。”相关的问题
第3题
Suppose there are two risky assets: Security 1 has expected return of 15% and standard deviation of 20%, security 2 has expected return of 10% and standard deviation of 25%, and the correlation of security 1 with security 2 is 0.90. What are the expected return and standard deviation of portfolio with security 1 and security 2 when the weight of security 1 is -0.5?
A、The expected return is 0.09 and standard deviation is 0.265
B、The expected return is 0.075 and standard deviation is 0.288
C、The expected return is 0.12 and standard deviation is 0.225
D、The expected return is 0.12 and standard deviation is 0.265
第4题
假设六个月后一加仑燃料油的价格为$0.90或者$1.10，其当前价格为每加仑$1.00。 （1）拥有大量库存的燃料油分销商面临什么风险？一个拥有少量库存的燃料油使用者又面临什么风险？ （2）（1）中的分销商和使用者如何使用燃料油期货降低他们各自面临的风险，并将6个月后的价格锁定为每加仑$1.00？假设每张合约有50,000加仑，他们各方需要对冲100,000加仑的风险。 （3）（1）中的分销商和使用者都由此变得更好了吗？为什么？
第5题
假设Maple和Walrus股票的收益率和两个股票构成的等权投资组合的收益率分别如下： 
（1）分别计算Maple和Walrus股票的预期收益率和收益率的标准差 （2） 计算等权投资组合的预期收益率和收益率的标准差 （3）计算Maple和Walrus股票收益率的协方差 （4） 计算Maple和Walrus股票收益率的相关系数，并且解释Maple、Walrus和投资组合标准差的关系
（1）分别计算Maple和Walrus股票的预期收益率和收益率的标准差 （2） 计算等权投资组合的预期收益率和收益率的标准差 （3）计算Maple和Walrus股票收益率的协方差 （4） 计算Maple和Walrus股票收益率的相关系数，并且解释Maple、Walrus和投资组合标准差的关系
第6题
Suppose that there are only three securities in the market: GM stock ($66 billion), Toyota stock ($22 billion) and the risk-free government bond ($12 billion). Now, there are two rational investors planning to allocate $100,000 to the above securities. Given that Investor 1 has higher risk averse than Investor 2, and that Investor 1 invests $24,000, $57,000 and $19,000 in GM stock, Toyota stock and riskless bond, respectively, then which of the following situations is a possible investment of Investor 2 if the CAPM valid?
A、$12,000 in riskless bond, $66,000 in GM stock and $22,000 in Toyota stock
B、$12,000 in riskless bond, $78,000 in GM stock and $10,000 in Toyota stock
C、$48,000 in riskless bond, $39,000 in GM stock and $13,000 in Toyota stock
D、$48,000 in riskless bond, $42,000 in GM stock and $10,000 in Toyota stock
第7题
According to the portfolio selection theory, when there exists a riskless asset and many risky assets in the market, which of the following statements are not correct?
A、The best portfolio selection strategy depends on the investors’ preferences.
B、A risk-tolerant, aggressive investor would be most likely to short sell the riskless asset and then invest in the tangency portfolio.
C、The optimal combination of risky assets depends on the investors’ preferences.
D、All investors who agree on the forecast of return rate will hold the same tangency portfolio in combination with the riskless asset.
第8题
Suppose there are two risky assets: Security 1 has expected return of 15% and standard deviation of 20%, security 2 has expected return of 10% and standard deviation of 25%, and the correlation of security 1 with security 2 is 0.90. What are the expected return and standard deviation of portfolio with security 1 and security 2 when the weight of security 1 is -0.2?
A、The expected return is 0.09 and standard deviation is 0.265
B、The expected return is 0.075 and standard deviation is 0.288
C、The expected return is 0.12 and standard deviation is 0.225
D、The expected return is 0.09 and standard deviation is 0.275
第9题
The risk-free rate is 5%, risk premium on the market portfolio is 10%, and the beta of Betaful’s stock is 1.2. According to CAPM, the equilibrium expected rate of return on its stock should be ( ).
A、11%
B、6%
C、12%
D、17%
