投资学答案(夏普).pdf

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1、InvestmentAnalysis(FIN383)Fall2009Homework5Instructions:pleasereadcarefully•Youshouldshowyourworkhowtogettheanswerforeachcalculationquestiontogetfullcredit•TheduedateisTuesday,November10,2009.Latehomeworkwillnotbegraded.Name(s):StudentID1.Computetheexpectedreturnf

2、orathree-stockportfoliowiththefollowing:a.13.3%b.14.6%c.29.3%d.32.4%1.b10*0.2+12*0.3+18*0.5=14.62.Aportfolioisconsideredtobeefficientif______________.a.thereisnootherportfoliowithahigherexpectedreturnb.thereisnootherportfoliowithalowerriskc.thereisnootherportfolio

3、offersahigherexpectedreturnwithahigherriskd.thereisnootherportfoliooffersalowerriskwiththesameexpectedreturn2.d3.Whichofthefollowingis(are)mostcorrectconcerningatwo-stockportfolio?a.Theportfolioshouldhavenocompanyspecificrisk.b.Portfoliostandarddeviationcanneverbe

4、aweightedaverageofthetwostocks'standarddeviations.c.Portfolioreturnisaweightedaverageofthetwostocks'returns.d.Alloftheabovearecorrect.3.c4.Themaximumbenefitofdiversificationcanbeachievedbycombiningsecuritiesinaportfoliowherethecorrelationcoefficientbetweenthesecur

5、itiesis______________.a.between0and-1b.0c.-1d.+14.c5.Aportfolioiscomposedoftwostocks,AandB.StockAhasastandarddeviationofreturnof20%whilestockBhasastandarddeviationofreturnof30%.StockAcomprises40%oftheportfoliowhilestockBcomprises60%oftheportfolio.Whatisthestandard

6、deviationofreturnontheportfolioifthecorrelationcoefficientbetweenthereturnsonAandBis0.5?a.23.1%b.25%c.26%d.24.7%5.a22222σ=(.4)(.2)+(.6)(.3)+2(.4)(.6)(.2)(.3)(.5)2σ=.0532σ=.2316.Aportfolioiscomposedoftwostocks,AandB.StockAhasanexpectedreturnof10%whilestockBhasanexp

7、ectedreturnof18%.WhatistheproportionofstockAintheportfoliosothattheexpectedreturnoftheportfoliois16.4%?a.0.2b.0.8c.0.4d.0.66.aE(Rp)=(Wa)E(Ra)+(1-Wa)E(Rb)0.164=Wa(0.10)+(1-Wa)(0.18)Wa=0.27.Whichofthefollowingportfolioscannotlieontheefficientfrontier?a.PortfolioXb.P

8、ortfolioYc.PortfolioZd.Allportfoliosshouldlieontheefficientfrontier.7.b8.ThestandarddeviationofreturnonstockAis0.25whilethestandarddeviationofreturnonst