課程名稱︰投資學 課程性質︰必修 課程教師︰陳其美 開課學院：管理學院 開課系所︰財金系 考試日期（年月日）︰97/05/02 考試時限（分鐘）：170 mins 是否需發放獎勵金：是 （如未明確表示，則不予發放） 試題 : Investments Midterm Exam May 2nd 2008 Part 1, True-False Question. You have 20 minutes to finish this closed- book section. 1.()Investors make two types of decisions in constructing their portfolios, which are asset allocation decision and security selection decision. 2.() A certificate of deposit, or CD, is a time deposit with a bank. CDs are the most marketable of all money market instruments. 3.() There are two types of primary market issues of bonds, IPOs and seasoned new issues. There are also two types g market issues of common stock, public offering and private placement. 4.()Equity funds invest primarily in stock, but at the portfolio manager's discretion, they may also hold fixed-income or other types of securities. 5.()Unlike mutual funds, hedge fundsare typically open to wealthy or institutionalinvestors, and suject to only minmum SEC regulation. 6.()The portfolio frontier generated by one risky asset and one riskyless asset in the alpha-mu space is called the capital allocation line for that two assets. When that risky asset is a broad index of common stocks and that riskyless asset is the 1-mounth T-bill, the capital allocation line is typically referred to as the capital market line. 7.()The key to the insurance industry is risk pooling-the spreading of risk across many investors, each of whom takes on only a small exposure to any given source of risk, not risk sharing. 8.()The index model is estimated by applying regression analysis to excess rates of return . The slope of the regression curve is the beta of an asset, and the regression line is also called the security characteristic line. 9.()An important departure from realism is that the CAPM assumption that all risky asset are traded. Two important asset classes that are not traded are humancapital and privately held businesses. 10.()The APT was developed by Stephen Ross in 1976. Like the CAPM, the APT also predicts a security market line that links expected returns to risk. Part 2, Computations. This is an open-book section. Don't work on this part until Ching-Han announces that you can start. 1.Consider a two-period economy where in the date-0 perfect financial market there are two risk assets(referred to as asset 1 and asset 2) and 1 riskless asset(referred to as asset 0) available for tradine. As usual, we assume that the riskless asset is a lending and borrowing opportunity, and hence in zero net supply. The risky assets are in strictly positive net supply. Let the rates of return on the two risky assets be r1 and r2, with their means variances, and coefficient of correlation being respectively u1,u2,a1^2,a2^2,and p. Suppose that a1^2=0.04 The Sharpe-Lintner CAPM holds in the date-0 equilibrum, with rf=0 The minimum variance portfolio generated by assets 1 and 2 puts portfolio weight 1/2 on both asset 1 and asset 2. u1=2*u2 > 0 Let rm and rmvp be the rates of return on respectively the market portfolio amd the mvp. You are told that cov(rm,rmvp)=0.005 Given the above information about the date-0 equil;ibrum returns on the three traded assets, answer the following two questions. (i)find B2 (ii)Suppose that in the date-0 equilibrium Mr.A with initial wealth W0=8000000 holds a mean-variance effcient portfolio which has an expected reat of return equal to 4u2/21. How much money does he borrow or lend in equilibrium? 2.Suppose that the Sharpe-Lintner CAPM holds at date-0 in a two-period perfect markets economy with rf>-1 . Consider the following three assets X,Y,Z,traded at date 0. It is known that (i) 1 unit of X generates a date-1 cash flow X which has expected value a> 0 and cov(X,rm)=0; (ii)1 unit of Y generates Y=t*(1+rm) at date 1, where the constant t> 0; and (iii)1 unit of Z generates cash flow Z=k+brm+e, where the constants k,b > 0 and E[e]=cov(e,rm)=0. Suppose that in the date-0 equilibrium the price of asset Z is the same as the price of a portfolio that consists of c units of X and d units of Y. Derive c and d as functions of a,b,t and k. 3.Consider a two-period perfect markets economy where there are only two traded risky assets at date 0. The net supply of each asset is 1 unit. Let the rates of return on two assets be r1 and r2, with their means, variances, and coefficient of correlation being respectively u1,u2,a1^2,a2^2 and p. Assume that there are only two investors at date 1. For i=1,2 investor i is endowed with nothing but 1 unit of asset i , and he seeks to maximize E[W]-pi/2*var(W),where W is an investor's date-1 terminal wealth. We assume that p2> p1> 0 (i)Let asset 1 be the numeraire, and denote asset 2's price at date 0 by p. To simplify computations, let u1=a1=p1=1. Let d1(p) and d2(p) denote investor i's demand functions for respectively asset 1 and asset 2. Find the demand functions for each investor. (ii)Now, use the markets-clearing condition to solve for equilibrium price p for asset 2. (iii)Finally, recall the definition of the market portfolio. Solve for the market portfolio. --

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