金融学基础(电子科技大学)1463455480作业模块四-七参考答案

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作业模块四：风险管理概述 《模块四：风险管理概述》单元作业

1、 Suppose that the cost of a gallon of heating oil will either be $0.90 or $1.10 in six months. The current price is $1.00 per gallon.(1) What are the risks faced by a reseller of heating oil that has a large inventory on hand? What are the risks faced by a large user of heating oil with a very small inventory?(2) How can these two parties use the heating oil futures market to reduce their risks and lock in a price of $1.00 per gallon? Assume each contract is for 50,000 gallons and they each need to hedge 100,000 gallons.(3) Can you say that each party has been made better off? Why or why not?
评分规则:  (1) The reseller would lose money is the price of oil fell to $0.90 per gallon because he purchased the oil at $1.00. The user of heating oil would face the risk of rising heating prices.

(3)Even though it appears that in each scenario one party has benefited at the expense of the other, both have really benefited because both parties were able to lock in a price of $1.00 per gallon and eliminate all risk.

2、 Consider an opportunity to invest in two Canadian stocks on an equally-weighted portfolio with return distributions as follow.(1)   Calculate the expected returns and standard deviations of the returns for the two stocks.(2)   Calculate the expected return and standard deviation of the return for the equally-weighted portfolio.(3)   Calculate the covariance of the returns for Maple and Walrus.(4)   Calculate the correlation coefficient for Maple and Walrus, and explain the relationship among the standard deviations for Maple, Walrus, and the portfolio?
评分规则:  

作业模块五：组合选择理论与资本资产定价模型 《模块五：组合选择理论与资本资产定价模型》单元作业

1、 Consider an economy in which the expected return on the market portfolio over a particular period is .25, the standard deviation of the return to the market portfolio over this same period is .25, and the average degree of risk aversion among traders is 3. If the government wishes to issue risk-free zero-coupon bonds with a term to maturity of one period and a face value per bond of $100,000, how much can the government expect to receive per bond?
评分规则:  the average degree of risk aversion among traders is 3
 the government expect to receive the PV

2、 A mutual fund company offers a safe money market fund whose current rate is 4.50% (0.045).The same company also offers an equity fund with an aggressive growth objective which historically has exhibited an expected return of 20% (0.20) and a standard deviation of 0.25.a.Derive the equation for the risk-reward trade-off line.b.How much extra expected return would be available to an investor for each unit of extral risk that she bears?c.What allocation should be placed in the money market fund if an investor desiers an expected return of 15%?
评分规则:  a.Derive the equation for the risk-reward trade-off line.
b.the extra expected return available to an investor for each unit of extral risk would be 
So,the ratio of money placed in money market is

作业模块六：期货与期权定价原理 《模块六：期货与期权定价原理》单元作业

1、 Suppose that you are planning a trip to England. The trip is a year from now, and you have reserved a hotel room in London at a price of ₤40 per day. You do not have to pay for the room in advance. The exchange rate is currently $1.50 to the pound sterling.a.Explain several possible ways that you could completely hedge the exchange rate risk in this situation.b.Suppose that r₤=0.12 and r$=0.08. Because S=$1.50, what must the forward price of the pound be?c.Show that if F is $0.10 higher than in your answer part b, there would be an arbitrage opportunity.
评分规则:  a. This is a payable in pounds which can be completely hedged via a prepayment, a forward hedge, or a money market hedge. The prepayment simply means you exchange dollars for pounds today at the sport rate and pay the £50 bill in advance. The forward hedge means signing a forward contract to lock in an exchange rate in a year.The money market hedge means converting dollars to pounds at the current spot rate to invest the present value of the £50 in a pound-denominated riskless asset.
b.With ruk=12%and rus=8%.Since S0=1.5,,the forward rate implied by Interest Rate Parity is given by:
c.Consider borrowing dollars to convert spot and invest in a pound-denominated risk-free asset for a year and also sell the pound proceeds forward at the rate: F=1.5464. The costs and revenue from thisarbitrage would be:The arbitrage opportunity would make a profit:

2、 The stock of Kakkonen, Ltd., a hot tuna distributor, currently lists for $50 a share, whereas one-year European call options on this stock, with an exercise price of $20, sell for $40 and European put options with a similar expiration date and exercise price sell for $8.a.Infer the yield on a one-year, zero-coupon U.S. government bond sold today.b.If this yield is actually at 8%, construct a profitable trade to exploit the potential for arbitrage.
评分规则:  a. The riskless yield implied from the call-put parity is: (S=50,P=8,C=40,E=20)riskless rate is 11.11%
b.There are many ways to exploit the violation of the Law of One Price to make arbitrage profits. Since the risk-free interest rate is 8%, and the implied interest rate on the replicating portfolio is 11.1%, we could invest the replicating portfolio and go short the proceeds in T-bills. For example, at current prices, invest a “unit” portfolio, which consists of long positions in one put and one share and writing one call, and borrow money from bank with 8% riskless rate. Thus you will earn a risk-free arbitrage profit of $0.5185 with no outlay of your own money.

作业模块七：公司金融基础 《模块七：公司金融基础》单元作业

1、 Divido Corporation is an all-equity financed firm with a total market value of $100 million. The company holds $10 million in cash-equivalents and has $90 million in other assets. There are 1,000,000 shares of Divido common stock outstanding, each with a market price of $100. What would be the impact on Divido’s stock price and on the wealth of its shareholders of the following financial decisions?Pay a cash dividend of $10 per share.Repurchases 100,000 shares.Pay a 10% stock dividend.Make a 2-for-1 stock split.Issue $20 million of bonds and to repurchase $20 million worth of its stock.
评分规则:  1. With a $10 cash dividend per share, the stock price falls by $10, but shareholder wealth remains the same in a frictionless world because shareholders receive $10 in cash on each share they own. In the real world, shareholder’s wealth may decline because personal taxes may have to be paid on the cash dividend.
2. With the repurchase of 100,000 shares the stock price is unchanged and so is shareholder wealth. Some of the shareholders who sold their shares may have to pay taxes on their capital gains in the real world.
3. With a 10% stock dividend the number of shares outstanding rises to 1,100,000, and the stock price falls to $90.909 (=$100MM/$1.1MM) per share. Shareholder wealth is unchanged: instead of having one share at $100, now the shareholder will have 1.1 shares at $90.909/share since 1.1*90.909=100.00.
4. With the 2-for-1 stock split the number of shares outstanding rises to 2,000,000, and the stock price falls to $50 per share. Theoretically, shareholder wealth is unchanged.
5. In an M&M frictionless environment, where there are no taxes and contracts are costless to make and enforce, the wealth of shareholders is the same no matter what capital structure the firm adopts. In such an environment, neither the stock price nor shareholders’ wealth would be affected. In the real world Divido’s management might be able to create shareholder value by issuing debt and repurchasing shares in two ways: by reducing tax costs and/or by reducing the free cash flow available to management and exposing itself to greater market discipline.

2、 A film studio, Nadir Productions, has to decide whether to make a movie out of the book “Planetary Wars”, which it has acquired the rights to. The studio’s experts estimate that the production costs for the film will be $30 million and the subsequent cash flows net of distribution costs and taxes to be received a year later are expected to be $60 million with a probability of 50% and $10 million with a probability of 50%. The studio uses a discount rate of 18% in deciding whether to accept such projects.What is the NPV of the project? Should the project be accepted? At this point a new MBA on the CFO’s staff suggests that they have not taken account of the option to produce a sequel to the movie. If the movie succeeds at the box office, then surely they will want to make “Planetary Wars II” the following year.Draw a decision tree for the project.Assuming that the cost estimates and the distribution of future cash flows for the sequel are the same as for the original movie, how does taking account of the option to make a sequel affect the desirability of the project?Suppose that Nadir’s executives believe that a successful film of this genre can have as many as three sequels. What is the NPV of the project taking account of this?
评分规则:  1. The expected future cash flow 1 year from now is:The NPV is then:Since the NPV is a negative, the project should be rejected.
2. The decision tree is as follows:
3. If the distribution of cash flows for the sequel is the same as for the original movie, then it will have a negative NPV just like the original movie. In this case, taking account of the opportunity to make a sequel does not affect the desirability of the project. However, if the film studio thought that the success of the original would make the success of a sequel more likely, it might cause the decision to be reversed. For example, suppose the probability of a sequel succeeding given that the original movie succeeded is 0.8 instead of 0.5. In that case the expected second year cash flow from the sequel along the upper branch of the decision tree would be:In that case the NPV of the sequel would be:This would make the NPV of the original movie positive.

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