Quản lý danh mục đầu tư

QUẢN LÝ DANH MỤC ĐẦU TƯ:
1) Which of the following statement is true regarding to the riskness of individual assets:
It should be considered in the context of the effect on overall portfolio volatility.
2) What is the Capital Allocation Line
investment opportunity set formed with a risky asset and a risk-free asset
3) The change from a straight to a kinked capital allocation line is a result of
borrowing rate exceeding lending rate
4) The presence of risk means that
more than one outcome is possible
5) An investor invests 30% of his wealth in a risky asset with an expected rate of return of 0.15 and
a variance of 0.04 and 70% in a T-bill that pays 6%. His portfolio's expected return and standard
deviation are---and--- respectively => 0.087; 0.06
E( rP)= 0.3( 15%) + 0.7(6%) = 8.7%; sP= 0.3(0.04)^½ = 6%
6) X is a risk-averse investor. Y is a less risk-averse investor than X. Therefore:
for the same risk, Y requires a higher rate of return than X
7) The exact indifference curves of different investors: cannot be known with perfect certainty
8) Why are treasury bills commonly viewed as risk-free assets
their short-term nature makes their values insensitive to interest rate fluctuations and the
inflation uncertainty over their time to maturity is negligible
9) A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free
rate is 6%. An investor has the following utility function: U = E(r) - (A/2)s². Which value of A
makes this investor indifferent between the risky portfolio and the risk-free asset?
Given function, U= E(r) – ( A/2)s^2
Expected return(E(r)) =.15
Risk free rate(Rf)

= 0.06

Standard deviation=.15
For Rf assets, Standard deviation=0
Risk free asset will be = 0.06 – ( A/2)x0 = 0.06= 0.15 –(A/2) x 0.15^2

0.06= 0.15 – ( A/2) x 0.0225 => A/2= 4 => A=4

10) You earn a 5% real return. If the inflation rate is 4% what is your accurate nominal
retuurn? Real return = ( ( 1+ nominal return)/ ( 1 + inflation rate) -1=> nominal return= 9.02%
11) When a bond indenture includes a sinking fund provision:
Bondholders alway benefit, because principal repayment on the scheduled maturity date is
guranted.


10) E(rP) = 0.3(15%) +
0.7(6%) = 8.7%;
11)
1/2
sP = 0.3(0.04) = 6%.
12) E(rP) = 0.3(15%) +
0.7(6%) = 8.7%;
13)
1/2
sP = 0.3(0.04) = 6%.
sP =
1/2
0.3(0.04) = 6%