风险管理和金融机构 ， 第四版英文答案（含further question）- Risk Management and Financial Institution - Solutions to Further Problems , 4th edition ，John C. Hull.docxVIP

PAGE PAGE 34 Solutions to Further Problems Risk Management and Financial Institutions Fourth Edition John C. Hull Preface This manual contains answers to all the Further Questions at the ends of the chapters. A separate pdf file contains notes on the teaching of the chapters that some instructors might find useful. Several hundred PowerPoint slides can be downloaded from my website HYPERLINK http://www.rotman.utoronto.ca/%7Ehull www.rotman.utoronto.ca/~hull or from the Wiley Instructor Resource Center. A sample course outline is also available from these two sources. All textbooks have the problem that solutions to end-of-chapter problems have found their way to the web. My textbook is no exception. I suggest handing out Word files for assignment sets. These can be variations on the Further Questions created by rewording questions and/or changing numbers. Any comments or suggestions on the book or this manual or my slides would be appreciated. My e-mail address is HYPERLINK mailto:hull@rotman.utoronto.ca hull@rotman.utoronto.ca Chapter 1: Introduction 1.15. Suppose that one investment has a mean return of 8% and a standard deviation of return of 14%. Another investment has a mean return of 12% and a standard deviation of return of 20%. The correlation between the returns is 0.3. Produce a chart similar to Figure 1.2 showing alternative risk-return combinations from the two investments. The impact of investing w1 in the first investment and w2 = 1 – w1 in the second investment is shown in the table below. The range of possible risk-return trade-offs is shown in figure below. w1 w2 ?P ?P 0.0 1.0 12% 20% 0.2 0.8 11.2% 17.05% 0.4 0.6 10.4% 14.69% 0.6 0.4 9.6% 13.22% 0.8 0.2 8.8% 12.97% 1.0 0.0 8.0% 14.00% 1.16. The expected return on the market is 12% and the risk-free rate is 7%. The standard deviation of the return on the market is 15%. One investor creates a portfolio on the efficient frontier with an expected return of 10%. Another creates a portfolio on the ef