Intermediate Microeconomics · 免费预览
风险资产与投资组合选择
当将无风险资产与风险资产混合时，投资组合的风险与收益呈线性组合关系，从而在标准差—均值空间中形成一条预算线，其斜率是风险的价格；风险厌恶型偏好则选择切点。
1. Measuring a risky asset
Measuring a risky asset
2. The portfolio line
The portfolio line
3. Choosing the tangency
Choosing the tangency
4. Applications of the line
Applications of the line
5. The portfolio mean
Riskless 3 percent, risky mean 9 percent, half of wealth in each. What is the portfolio's expected return?
6. The portfolio deviation
Same half-half portfolio with risky deviation 18 percent. What is its standard deviation?
7. The price of risk
With riskless 3, market mean 9, market deviation 18, what is the slope of the risk budget line and what does it say?
8. Leveraging beyond the market
An investor puts 150 percent of wealth in the risky asset, borrowing 50 percent at the riskless rate. Where does she sit?
9. The deviation taken
With market deviation 18 percent, compute the portfolio deviation at risky share 0.25, and write the number in percent.
10. The mean earned there
Same share, riskless 3 and risky mean 9, compute the portfolio mean in percent, and write the number.
11. All in on risk
An investor puts her whole wealth in the risky asset, risky share of 1. What are the portfolio's mean and deviation?
12. Three quarters in
With risky share 0.75, what does the portfolio deliver?
13. The leveraged end
An investor borrows half her wealth at the riskless rate to hold 150 percent in the risky asset. What are the portfolio's statistics?
14. The constant price of risk
Along the whole portfolio line, what stays constant as the risky share changes?
15. Mean at three quarters
With riskless 3 and risky mean 9 percent, compute the portfolio mean at risky share 0.75, and write the number in percent.
16. Deviation under leverage
With risky deviation 18 percent, compute the portfolio deviation at risky share 1.5, and write the number in percent.