Sudfwlfh Sureohpv Zlwk Vroxwlrqv Iru Wrslf 45

Sureohpv= Erglh Ndqh Pdufxv= ;14 wr ;14:

ENP ;14

Zkdw lv wkh ehwd ri d sruwirolr zlwk H +uR , @ 53(> li us @ 8( dqg H +u , @ 48(B
ENP ;15

Wkh pdunhw sulfh ri d vhfxulw| lv '73= Lwv h{shfwhg udwh ri uhwxuq lv 46(= Wkh ulvn0iuhh udwh lv :( dqg wkh
pdunhw ulvn suhplxp lv ;(= Zkdw zloo eh wkh pdunhw sulfh ri wkh vhfxulw| li lwv fryduldqfh zlwk wkh pdunhw
sruwirolr grxeohv +dqg doo rwkhu yduldeohv uhpdlq xqfkdqjhg,B Dvvxph wkdw wkh vwrfn lv h{shfwhg wr sd| d
frqvwdqw glylghqg lq shushwxlw|1
ENP ;16

\rx duh d frqvxowdqw wr d odujh pdqxidfwxulqj frusrudwlrq wkdw lv frqvlghulqj d surmhfw zlwk wkh iroorzlqj qhw
diwhu0wd{ fdvk rzv +lq ploolrqv ri grooduv,=
\hduv iurp Qrz Diwhu0Wd{ Fdvk Iorz
3 53
4< 43
43 53

Wkh surmhfw*v ehwd lv 4=:= Dvvxplqj wkdw us @ <( dqg H +u , @ 4<(> zkdw lv wkh qhw suhvhqw ydoxh ri wkh
surmhfwB Zkdw lv wkh kljkhvw srvvleoh ehwd hvwlpdwh iru wkh surmhfw ehiruh lwv QSY ehfrphv qhjdwlyhB
ENP ;17

Duh wkh iroorzlqj wuxh ru idovhB

d1 Vwrfnv zlwk d ehwd ri }hur rhu dq h{shfwhg udwh ri uhwxuq ri }hur1

e1 Wkh FDSP lpsolhv wkdw lqyhvwruv uhtxluh d kljkhu uhwxuq wr krog kljko| yrodwloh vhfxulwlhv1

f1 \rx fdq frqvwuxfw d sruwirolr zlwk d ehwd ri 3=:8 e| lqyhvwlqj 3=:8 ri wkh lqyhvwphqw exgjhw lq eloov dqg
wkh uhpdlqghu lq wkh pdunhw sruwirolr1
ENP ;18

Frqvlghu wkh iroorzlqj wdeoh/ zklfk jlyhv d vhfxulw| dqdo|vw*v h{shfwhg uhwxuq rq wzr vwrfnv iru wzr sduwlfxodu
pdunhw uhwxuqv=
Pdunhw Uhwxuq Djjuhvvlyh Vwrfn Ghihqvlyh Vwrfn
8( 5( 6=8(
53 65 47

d1 Zkdw duh wkh ehwdv ri wkh wzr vwrfnvB

e1 Zkdw lv wkh h{shfwhg udwh ri uhwxuq rq hdfk vwrfn li wkh pdunhw uhwxuq lv htxdoo| olnho| wr eh 8( ru 53(B

f1 Li wkh W0eloo udwh lv ;( dqg wkh pdunhw uhwxuq lv htxdoo| olnho| wr eh 8( ru 53(> gudz wkh VPO iru wklv
hfrqrp|1
g1 Sorw wkh wzr vhfxulwlhv rq wkh VPO judsk1 Zkdw duh wkh doskdv ri hdfkB

h1 Zkdw kxugoh udwh vkrxog eh xvhg e| wkh pdqdjhphqw ri wkh djjuhvvlyh up iru d surmhfw zlwk wkh ulvn
fkdudfwhulvwlfv ri wkh ghihqvlyh up*v vwrfnB

4
Li wkh vlpsoh FDSP lv ydolg/ zklfk ri wkh iroorzlqj vlwxdwlrqv lq Sureohpv 9 wr 45 duh srvvleohB H{sodlq1
Frqvlghu hdfk vlwxdwlrq lqghshqghqwo|1
ENP ;19

H{shfwhg
Sruwirolr Uhwxuq Ehwd
D 53 4=7
E 58 4=5

ENP ;1:

H{shfwhg Vwdqgdug
Sruwirolr Uhwxuq Ghyldwlrq
D 63 68
E 73 58

ENP ;1;

H{shfwhg Vwdqgdug
Sruwirolr Uhwxuq Ghyldwlrq
Ulvn0iuhh 43 3
Pdunhw 4; 57
D 49 45

ENP ;1<

H{shfwhg Vwdqgdug
Sruwirolr Uhwxuq Ghyldwlrq
Ulvn0iuhh 43 3
Pdunhw 4; 57
D 53 55

ENP ;143

H{shfwhg
Sruwirolr Uhwxuq Ehwd
Ulvn0iuhh 43 3
Pdunhw 4; 4=3
D 49 4=8

ENP ;144

H{shfwhg
Sruwirolr Uhwxuq Ehwd
Ulvn0iuhh 43 3
Pdunhw 4; 4=3
D 49 =<
ENP ;145

5
 H{shfwhg Vwdqgdug
Sruwirolr Uhwxuq Ghyldwlrq
Ulvn0iuhh 43 3
Pdunhw 4; 57
D 49 55

Lq Sureohpv 46 wr 48 dvvxph wkdw wkh ulvn0iuhh udwh ri lqwhuhvw lv ;( dqg wkh h{shfwhg udwh ri uhwxuq rq wkh
pdunhw lv 4;(=
ENP ;146

D vkduh ri vwrfn vhoov iru '433 wrgd|1 Lw zloo sd| d glylghqg ri '< shu vkduh dw wkh hqg ri wkh |hdu1 Lwv ehwd lv
4= Zkdw gr lqyhvwruv h{shfw wkh vwrfn wr vhoo iru dw wkh hqg ri wkh |hduB
ENP ;147

L dp ex|lqj d up zlwk dq h{shfwhg fdvk rz ri '4> 333 exw dp xqvxuh ri lwv ulvn1 Li L wklqn wkh ehwd ri wkh
up lv }hur/ zkhq lq idfw wkh ehwd lv uhdoo| 4> krz pxfk pruh zloo L rhu iru wkh up wkdq lw lv wuxo| zruwkB
ENP ;148

D vwrfn kdv dq h{shfwhg udwh ri uhwxuq ri 9(= Zkdw lv lwv ehwdB Zk| zrxog dq|rqh frqvlghu e|lqj wklv ulvn|
dvvhw zklfk surylghv dq h{shfwhg uhwxuq ohvv wkdq wkh ulvn0iuhh udwhB
ENP ;149

Wzr lqyhvwphqw dgylvruv duh frpsdulqj shuirupdqfh1 Rqh dyhudjhg d 4<( udwh ri uhwxuq dqg wkh rwkhu d 49(
udwh ri uhwxuq1 Krzhyhu/ wkh ehwd ri wkh uvw lqyhvwru zdv 4=8> zkhuhdv wkdw ri wkh vhfrqg zdv 4=
d1 Fdq |rx whoo zklfk lqyhvwru zdv d ehwwhu suhglfwru ri lqglylgxdo vwrfnv +dvlgh iurp wkh lvvxh ri jhqhudo
pryhphqwv lq wkh pdunhw,B
e1 Li wkh W0eloo udwh zhuh 9( dqg wkh pdunhw uhwxuq gxulqj wkh shulrg zhuh 47(> zklfk lqyhvwru zrxog eh wkh
vxshulru vwrfn vhohfwruB
f1 Zkdw li wkh W0eloo udwh zhuh 6( dqg wkh pdunhw uhwxuq zhuh 48(B

ENP ;14:

Lq 4<<7 wkh udwh ri uhwxuq rq vkruw0whup jryhuqphqw vhfxulwlhv +shufhlyhg wr eh ulvn0iuhh, zdv derxw 7(=
Vxssrvh wkh h{shfwhg udwh ri uhwxuq uhtxluhg e| wkh pdunhw iru d sruwirolr zlwk d ehwd phdvxuh ri 4 lv 45(=
Dffruglqj wr wkh fdslwdo dvvhw sulflqj prgho +vhfxulw| pdunhw olqh,=
d1 Zkdw lv wkh h{shfwhg udwh ri uhwxuq rq wkh pdunhw sruwirolrB

e1 Zkdw zrxog eh wkh h{shfwhg udwh ri uhwxuq rq d vwrfn zlwk  @ 3B

f1 Vxssrvh |rx frqvlghu ex|lqj d vkduh ri vwrfn dw '73= Wkh vwrfn lv h{shfwhg wr sd| '6 glylghqgv qh{w |hdu
dqg |rx h{shfw lw wr vhoo wkhq iru '74= Wkh vwrfn ulvn kdv ehhq hydoxdwhg e|  @ =8= Lv wkh vwrfn ryhusulfhg
ru xqghusulfhgB
Vroxwlrqv=

ENP ;14

H +uR , @ us .  ^H +u6 ,  us `
53 @ 8 .  +48  8,
 @ 48@43 @ 4=8

ENP ;15

6
Li wkh fryduldqfh ri wkh vhfxulw| grxeohv wkhq vr zloo lwv ehwd dqg lwv ulvn suhplxp1 Wkh fxuuhqw ulvn suhplxp
lv 9( +@ 46  :,/ vr wkh qhz ulvn suhplxp zrxog eh 45(> dqg wkh qhz glvfrxqw udwh iru wkh vhfxulw| zrxog
eh 45 . : @ 4<(=
Li wkh vwrfn sd|v d ohyho shushwxdo glylghqg/ wkhq zh nqrz iurp wkh ruljlqdo gdwd wkdw wkh glylghqg/ G> pxvw
vdwlvi| wkh htxdwlrq iru d shushwxlw|=
Sulfh @ Glylghqg 2 Glvfrxqw udwh
73 @ G @=46
G @ 73+=46, @ '8=53

Dw wkh qhz glvfrxqw udwh ri 4<(> wkh vwrfn zrxog eh zruwk rqo| '8=53 @ =4< @ '5:=6:= Wkh lqfuhdvh lq vwrfn
ulvn kdv orzhuhg lwv ydoxh e| 64=8;(=
ENP ;16

Wkh dssursuldwh glvfrxqw udwh iru wkh surmhfw lv=

us .  ^H +u6 ,  us ` @ < . 4=:+4<  <, @ 59(

Xvlqj wklv glvfrxqw udwh/

QSY @
[
f
53 . 4=4359| . 4=5943
f
|'
@ 53 . 43  S D+59(> 43 |hduv , .
43  S I +59(> 43 |hduv ,
@ 48=97

Wkh lqwhuqdo udwh ri uhwxuq rq wkh surmhfw lv 7<=88(= Wkh kljkhvw ydoxh wkdw ehwd fdq wdnh ehiruh wkh kxugoh
udwh h{fhhgv wkh LUU lv ghwhuplqhg e|
7<=88 @ < .  +4<  <,
 @ 73=88 @43 @ 7=388

ENP ;17

d1 Idovh1  @ 3 lpsolhv H +u, @ us > qrw }hur1

e1 Idovh1 Lqyhvwruv uhtxluh d ulvn suhplxp rqo| iru ehdulqj v|vwhpdwlf ulvn +xqglyhuvldeoh ru pdunhw, ulvn1

f1 Idovh1 :8( ri |rxu sruwirolr vkrxog eh lq wkh pdunhw/ dqg 58( lq eloov1 Wkhq/

 R @ =:8  4 . =58  3 @ =:8

ENP ;18

d1 Wkh ehwd lv wkh vhqvlwlylw| ri wkh vwrfn*v uhwxuq wr wkh pdunhw uhwxuq1 Fdoo D wkh djjuhvvlyh vwrfn dqg G
wkh ghihqvlyh rqh1 Wkhq ehwd lv wkh fkdqjh lq wkh vwrfn uhwxuq shu fkdqjh lq wkh pdunhw uhwxuq1 Wkhuhiruh/
zh frpsxwh hdfk vwrfn*v ehwd e| fdofxodwlqj wkh glhuhqfh lq lwv uhwxuq dfurvv wkh wzr vfhqdulrv glylghg e|
wkh glhuhqfh lq wkh pdunhw uhwxuq1
5  65
 @ @ 5=33
8  53
6=8  47
( @ @ =:3
8  53

7
e1 Zlwk htxdo olnholkrrg ri hlwkhu vfhqdulrv/ wkh h{shfwhg uhwxuq lv dq dyhudjh ri wkh wzr srvvleoh rxwfrphv1
H +u , @ =8+5 . 65, @ 4:(
H +u , @ =8+6=8 . 47, @ ;=:8(

f1 Wkh VPO lv ghwhuplqhg e| wkh pdunhw h{shfwhg uhwxuq ri =8+53 . 8, @ 45=8(> zlwk d ehwd ri 4> dqg wkh
eloo uhwxuq ri ;( zlwk d ehwd ri }hur1 Vhh wkh iroorzlqj judsk1

E(r)
A
S ML
M
12.5%
ALPHAD
8% D

.7 1.0 2.0 Beta

Wkh htxdwlrq iru wkh vhfxulw| pdunhw olqh lv=
H +u, @ ; .  +45=8  ;,

g1 Wkh djjuhvvlyh vwrfn kdv d idlu h{shfwhg uhwxuq ri= H +u , @ ; . 5=3+45=8  ;, @ 4:( dqg wkh h{shfwhg
uhwxuq e| wkh dqdo|vw lv dovr 4:(= Wkxv lwv doskd lv }hur1 Vlploduo|/ wkh uhtxluhg uhwxuq rq wkh ghihqvlyh vwrfn
lv= H +u( , @ ; . =:+45=8  ;, @ 44=48(/ exw wkh dqdo|vw*v h{shfwhg uhwxuq rq G lv rqo| ;=:8(> dqg khqfh
( @ dfwxdo h{shfwhg uhwxuq 0 uhtxluhg uhwxuq +jlyhq ulvn,
@ ;=:8  44=48 @ 5=7(

Wkh srlqwv iru hdfk vwrfn sorw rq wkh judsk dv lqglfdwhg deryh1
h1 Wkh kxugoh udwh lv ghwhuplqhg e| wkh surmhfw ehwd/ =:> qrw e| wkh up*v ehwd1 Wkh fruuhfw glvfrxqw udwh lv
44=48(> wkh idlu udwh ri uhwxuq rq vwrfn G1
ENP ;19

Qrw srvvleoh1 Sruwirolr D kdv d kljkhu ehwd wkdq E/ exw lwv h{shfwhg uhwxuq lv orzhu1 Wkxv/ D fdqqrw h{lvw lq
htxloleulxp1
ENP ;1:

8
Srvvleoh1 Li wkh FDSP lv ydolg/ wkh h{shfwhg udwh ri uhwxuq frpshqvdwhv rqo| iru v|vwhpdwlf +pdunhw, ulvn
uhsuhvhqwhg e| ehwd udwkhu wkdq wkh vwdqgdug ghyldwlrq zklfk lqfoxghv qrqv|vwhpdwlf ulvn1 Wkxv/ D*v orzhu
udwh ri uhwxuq fdq eh sdluhg zlwk d kljkhu vwdqgdug ghyldwlrq/ dv orqj dv D*v ehwd lv orzhu wkdq E*v1
ENP ;1;

Qrw srvvleoh1 Wkh uhzdug0wr0yduldelolw| udwlr iru sruwirolr D lv ehwwhu wkdq wkdw ri wkh pdunhw/ zklfk lv
lpsrvvleoh dffruglqj wr FDSP/ vlqfh wkh FDSP suhglfwv wkdw wkh pdunhw lv wkh prvw h!flhqw sruwirolr1 Xvlqj
wkh qxpehuv vxssolhg/
49  43 4;  43
V @ @ =8 V @ @ =66
45 57
Wkh qxpehuv zrxog lpso| wkdw sruwirolr D surylghv d ehwwhu ulvn0uhzdug wudgh0r wkdq wkh pdunhw sruwirolr1
ENP ;1<

Qrw srvvleoh1 Sruwirolr D fohduo| grplqdwhv wkh pdunhw sruwirolr1 Lw kdv d orzhu vwdqgdug ghyldwlrq zlwk d
kljkhu h{shfwhg uhwxuq1
ENP ;143

Qrw srvvleoh1 Wkh VPO iru wklv vlwxdwlrq lv= H +u, @ 43 .  +4;  43,
Sruwirolrv zlwk ehwd ri 4=8 kdyh dq h{shfwhg uhwxuq ri H +u, @ 43 . 4=8+4;  43, @ 55(=
D*v h{shfwhg uhwxuq lv 49(> wkdw lv/ D sorwv ehorz wkh VPO +kdv d qhjdwlyh doskd ri 9(,/ dqg khqfh/ lv dq
ryhusulfhg sruwirolr1 Wklv lv lqfrqvlvwhqw zlwk wkh FDSP1
ENP ;144

Qrw srvvleoh1 Vdph VPO dv lq sureohp 431 Khuh sruwirolr D*v uhtxluhg h{shfwhg uhwxuq lv= 43 . =<+;, @ 4:=5(>
zklfk lv vwloo kljkhu wkdq 49(= D lv ryhusulfhg zlwk d qhjdwlyh doskd ri 4=5(=
ENP ;145

Srvvleoh1 Vdph FPO dv vkrzq lq sureohp ;1 Sruwirolr D sorwv ehorz wkh FPO/ dv dq| dvvhw lv h{shfwhg wr1
Wklv vlwxdwlrq lv qrw lqfrqvlvwhqw zlwk wkh FDSP1
ENP ;146

Vlqfh wkh vwrfn*v ehwd lv htxdo wr 4> lwv h{shfwhg udwh ri uhwxuq vkrxog eh htxdo wr wkdw ri wkh pdunhw/ wkdw lv/
4;(=
G . S  Sf
H +u, @
Sf
< . S  433
4; @
433
S @ '43<

ENP ;147

Dvvxph wkdw wkh '4> 333 lv d shushwxlw|1 Li ehwd lv }hur/ wkh fdvk rz vkrxog eh glvfrxqwhg dw wkh ulvn0iuhh
udwh/ ;(=
SY @ 4333 @=3; @ '45> 833

Li/ krzhyhu/ ehwd lv htxdo wr 4> wkh lqyhvwphqw vkrxog |lhog 4;(> dqg wkh sulfh sdlg iru wkh up vkrxog eh=
SY @ 4333 @=4; @ '8> 888=89

9
Wkh glhuhqfh/ '9> <77=77/ lv wkh dprxqw |rx zloo ryhusd| li |rx huurqhrxvo| dvvxphg wkdw ehwd lv }hur udwkhu
wkdq 4=
Li wkh fdvk rz odvwv rqo| rqh |hdu=
S Y + @ 3, @ 4333 @+4 . =3;, @ '<58=<6
S Y + @ 4, @ 4333 @+4 . =4;, @ ';7:=79

zlwk d glhuhqfh ri ':;=7:=

Iru dq| q |hdu fdvk rz wkh glhuhqfh lv=

4> 333

kS 
l  4> 333 k
S
4   H ?
l
HI 4  fH?

HI 

ENP ;148

Xvlqj wkh VPO= 9 @ ; .  +4;  ;,> zh jhw wkdw

 @ 5@43 @ =5

Wklv dvvhw kdv d qhjdwlyh pdunhw ehwd/ l1h1 lwv uhwxuq lv qhjdwlyho| fruuhodwhg zlwk wkdw ri wkh pdunhw1 Wklv
dvvhw fdq wkxv vhuyh dv dq lqvxudqfh djdlqvw v|vwhpdwlf ulvn1 Lqvwhdg/ wkh uhwxuq rq wkh ulvn0iuhh dvvhw lv vlpso|
xqfruuhodwhg zlwk wkh pdunhw uhwxuq1Wklv lv zk| wkh vwrfn kdv d orzhu h{shfwhg uhwxuq1
ENP ;149

u @ 4<(> u2 @ 49(>   @ 4=8>  2 @ 4

d1 Wr whoo zklfk lqyhvwru zdv d ehwwhu suhglfwru ri lqglylgxdo vwrfnv zh orrn dw wkhlu deqrupdo uhwxuq/ zklfk lv
wkh h{0srvw doskd/ wkdw lv/ wkh deqrupdo uhwxuq lv wkh glhuhqfh ehwzhhq wkh dfwxdo uhwxuq dqg wkdw suhglfwhg
e| wkh VPO1 Zlwkrxw lqirupdwlrq derxw wkh sdudphwhuv ri wklv htxdwlrq +ulvn0iuhh udwh dqg pdunhw udwh ri
uhwxuq, zh fdqqrw whoo zklfk rqh lv pruh dffxudwh1
e1 Li u @ 9( dqg u
s  @ 47(> wkhq +xvlqj wkh qrwdwlrq ri doskd iru wkh deqrupdo uhwxuq,
 @ 4<  ^9 . 4=8+47  9,` @ 4<  4; @ 4(
2 @ 49  ^9 . 4+47  9,` @ 49  47 @ 5(

Khuh/ wkh vhfrqg lqyhvwru kdv wkh odujhu deqrupdo uhwxuq dqg wkxv kh dsshduv wr eh d pruh dffxudwh suhglfwru1
E| pdnlqj ehwwhu suhglfwlrqv wkh vhfrqg lqyhvwru dsshduv wr kdyh wlowhg klv sruwirolr wrzdug xqghusulfhg vwrfnv1
f1 Li u @ 6( dqg u
s @ 48(> wkhq
 @ 4<  ^6 . 4=8+48  6,` @ 4<  54 @ 5(
2 @ 49  ^6 . 4 +48  6,` @ 49  48 @ 4(

Khuh/ qrw rqo| grhv wkh vhfrqg lqyhvwru dsshdu wr eh d ehwwhu suhglfwru/ exw wkh uvw lqyhvwru*v suhglfwlrqv
dsshdu ydoxhohvv + ru zruvh,1
ENP ;14:

d1 Vlqfh wkh pdunhw sruwirolr e| ghqlwlrq kdv d ehwd ri 4> lwv h{shfwhg udwh ri uhwxuq lv 45(=
e1  @ 3 phdqv qr v|vwhpdwlf ulvn1 Khqfh/ wkh sruwirolr*v idlu uhwxuq lv wkh ulvn0iuhh udwh/ 7(=

:
f1 Xvlqj wkh VPO/ wkh idlu udwh ri uhwxuq ri d vwrfn zlwk  @ 3=8 lv=
H +u, @ 7 . +=8,+45  7, @ 3(

Wkh h{shfwhg udwh ri uhwxuq/ xvlqj wkh h{shfwhg sulfh dqg glylghqg ri qh{w |hdu=

H +u, @ 77@73  4 @ =43> ru 43(

Ehfdxvh wkh h{shfwhg uhwxuq h{fhhgv wkh idlu uhwxuq/ wkh vwrfn pxvw eh xqghusulfhg1