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공학,기술계열
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투자공학 financial economics bodie merton cleeton 11 12 장 문제풀이
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투자공학 financial econo.hwp
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등록인 repojaehoon
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등록/수정일 17.03.02 / 17.03.02
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문서분량 5 페이지
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다운로드 0
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1,300원
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- 투자공학 financial economics bodie merton cleeton 11 12 장 문제풀이
11장
1. Suppose you own a grove of orange trees. The harvest is still two months away but you are concerned about price risk. You want to guarantee that you will receive $1.00 per pound in two months regardless of what the spot price is at that time. You are selling 250,000 pounds.
2. Suppose in six months’ time the cost of a gallon of heating oil will either be $0.90 or $1.10. The current price is $1.00 per gallon.
7. Suppose you are treasurer of Photo Processing, Inc. Approximately 50% of your sales are in the United States (headquarters) whereas 40% are in Japan and 10% are in the rest of the world. You are concerned about the dollar value of your Japanese sales over the next five years. Japanese sales are expected to be 2,700,000,000 yen each year over the next five years. The current dollar/yen exchange rate is 90 yen to the U.S. dollar and you would be happy if this would remain so during all five years.
12
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- 투자공학 financial economics bodie merton cleeton 11 12 장 문제풀이
11장
1. Suppose you own a grove of orange trees. The harvest is still two months away but you are concerned about price risk. You want to guarantee that you will receive $1.00 per pound in two months regardless of what the spot price is at that time. You are selling 250,000 pounds.
2. Suppose in six months’ time the cost of a gallon of heating oil will either be $0.90 or $1.10. The current price is $1.00 per gallon.
7. Suppose you are treasurer of Photo Processing, Inc. Approximately 50% of your sales are in the United States (headquarters) whereas 40% are in Japan and 10% are in the rest of the world. You are concerned about the dollar value of your Japanese sales over the next five years. Japanese sales are expected to be 2,700,000,000 yen each year over the next five years. The current dollar/yen exchange rate is 90 yen to the U.S. dollar and you would be happy if this would remain so during all five years.
12. Note whether the following are ways to avoid losses through hedging or insuring:
19. Suppose you are interested in taking a safari to Kenya, Africa, next summer but are worried about the price of the trip, which has ranged from $2,500 to $3,500 over the past five years. The current price is $3,000. Suppose you wanted to maintain the possibility of a lower price.
12장
5. Given the information below about the risks and returns of five alternative portfolios. Plot the risks and returns. Which do not represent efficient portfolios?
6. If the risk-reward trade-off line for a riskless asset and a risky asset results in a negative slope, what does that imply about the risky asset vis-a-vis the riskless asset?
7. Consider two assets with expected returns and risk given in the table below.
19. Again using the optimal portfolio of AT&T and Microsoft stock when the correlation of their price movements is 0.5, take $10,000 and determine the allocations among the riskless asset, AT&T stock, and Microsoft stock for:
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