【#文档大全网# 导语】以下是®文档大全网的小编为您整理的《财务管理第2章计算分析题答案》,欢迎阅读!
第二章 价值观念与证券估价
计算分析题答案
1.(1)5000×(P/F, 10%, 10)=5000×0.386=1930; (2)2000×(P/F, 15%, 8)=2000×0.327=654 (3)9000×(P/F, 7%, 12)=9000×0.444=3996 (4)4500×(P/F,8%, 6)=4500×0.63=2835 2. 3.
4.(1)A=50000/15.937=3137.35;
(2)A=50000/[(F/A,10%,11)-1]=50000/(18.531-1)=2852.09 5.58000=10000×(P/A, i,8),(P/A, i,8)=5.8。 或 6.25500=5000×(P/A, 15%,n) (P/A, 15%,n)=5.1。或
7.(1)预期报酬率=(-0.1)×0.15+0.14×0.20+0.20×0.40+0.25×0.25=0.1555
(2)方差=(-0.1-0.1555) ×0.15+(0.14-0.1555) ×0.2+(0.2-0.1555) ×0.4+(0.25-0.1555) 标准差=1.29%=11.35%
(3)标准离差率=0.1135/0.1555=0.73
8.(1)A股票期望收益率=(40%+20%+10%+5%+15%)/5=18%
A股票方差=0.2×(40%-18%)2+0.2×(20%-18%)2+0.2×(10%-18%)2+0.2×(5%-18%)2+0.2×(15%-18%)2=1.46% A股票标准差=12.08%
B股票期望收益率=(20%+15%+5%+8%+10%)/5=11.6%
B股票方差=[(20%-11.6%)2+(15%-11.6%)2+(5%-11.6%)2+(8%-11.6%)2+(10%-11.6%)2]/5=0.28% B股票标准差=5.29%
(2)A股票和B股票的协方差
=[(40%-18%)(20%-11.6%)+(20%-18%)(15%-11.6%)+(10%-18%)(5%-11.6%)+(5%-18%)(8%-11.6%)+(15%-18%)(10%-11.6%)]/5=0.592%
A股票和B股票的相关系数=0.592%/(5.29%×12.08%)=0.9264 (3)组合的期望收益率=18%×60%+11.6%×40%=15.44%
组合的方差=60%×60%×1.46%+40%×40%×0.28%+2×60%×40%×0.592%=0.85% 组合的标准差=9.22%
9.(1)A期望报酬率=30%×0.5+10%×0.5=20%
A的方差=(30%-20%)×0.5+(10%-20%)×0.5=0.01,A的标准差=0.1 B期望报酬率=5%×0.5+40%×0.5=22.5%
B的方差=(22.5%-5%)×0.5+(40%-22.5%)×0.5= 0.031,B的标准差=0.175 (2)AB协方差=[(30%-20%)(5%-22.5%)+(10%-20%)(40%-22.5%)]×0.5= -0.0175
相关系数=-0.0175/(0.1×0.175)= -1
(3)组合的期望报酬率=20%×50+22.5%×50%=21.25%;
组合的标准差
2
2
2
2
2
2
2
2
×0.25=1.29%,
(-1)=50%50%0.0150%50%0.031250%50%0.10.175=3.75%
(4)r=-1则WA=0.175/(0.1+0.175)=64%, WB=36%
该组合的期望报酬率=64%×20%+36%×22.5%=20.9%,该组合的标准差=0 (5)WA=(0.0306+0.5×0.175×0.1)/(0.01+0.0306+2×0.5×0.175×0.1)=68% WB=32% 该组合的期望报酬率=68%×20%+32%×22.5%=20.8%,该组合的标准差=6.29% 10.RA=5%+0.75×(17%-5%)=0.14;RB =5%+0.90×(17%-5%)=0.158 RC=5%+1.40×(17%-5%)=0.218 11.(1)2×40%+1.5×30%+0.5×20%+1.0×10%=1.45
(2)假设调整后A股票所占比重为X,则D股票所占比重为Y 2×X+1.5×30%+0.5×20%+1.0×Y=1.15 2X+Y=0.6 同时:X +30%+20%+Y=1,X+Y=0.5 所以,X=0.1;Y=0.4
12.V=8%×1000×(P/A,7%,10)+1000×(P/F,7%,10)=80×7.024+1000×0.508=1069.92
如果预计市场利率将提高,则愿以更低的价格购买它,如果预计市场利率将下降,愿意以更高的价格购买它。 13.8%/2=4%;10%/2=5% V=100000×4%×(P/A,5%,7)+100000×(P/F,5%,7)=4000×5.786+100000×0.711 =94244>94000,值得购买
14.(1)KS=D1/P0+g=1.32×(1+8%)/23.5+8%=14.1% (2)V=D1/( KS–g)=1.32×(1+8%)/(10.5%-8%)=57(元) (3)要求的收益率<股票的预期收益率,应投资该公司股票 15. RS=6%+2.5×(10%-6%)=16% (1)V=1.5/(16%-6%)=15(元)
(2)V=1.5×(P/A,16%,3)+1.5×(1+6%)/(16%-6%)×(P/F,16%,3)=13.6 16.(1)Rs=10%+1.45×(16%-10%)=18.7%
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