參考答案

(1)有價(jià)證券的季度利率=0.3%×3=0.9%最佳現(xiàn)金持有量=20(萬(wàn)元)每季度持有現(xiàn)金的機(jī)會(huì)成本=20/2×0.9%=0.09(萬(wàn)元)每季度出售有價(jià)證券的交易成本=100/20×180/10000=0.09(萬(wàn)元)每季度現(xiàn)金的相關(guān)總成本=0.18(萬(wàn)元)或=0.09+0.09=0.18(萬(wàn)元)
(2)有價(jià)證券的日利息率i=0.3%/30=0.01%JR=20×1.5=30(萬(wàn)元)L=10(萬(wàn)元)b=180/10000=0.018(萬(wàn)元)現(xiàn)金控制的上限H=3R-2L=3×30-2×10=70(萬(wàn)元)預(yù)期每日現(xiàn)金余額變化的標(biāo)準(zhǔn)差=7.70(萬(wàn)元)
(3) [(80-70)×10000-180]/20=4991(張)至少應(yīng)購(gòu)買債券的張數(shù)=4991+1=4992(張)[(80-10)×10000-180] /20=34991(張)最多可以購(gòu)買債券的數(shù)量為34991-1=34990(張)最合理的控制標(biāo)準(zhǔn)應(yīng)該是轉(zhuǎn)換之后回落到最優(yōu)返回線(30萬(wàn)元)因此,應(yīng)該購(gòu)買債券的數(shù)量=[(80-30)×10000-180] /20=24991(張)