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    lika rukhadze
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    The document contains financial information about bond yields and prices, stock betas and returns, and portfolio optimization. Key details include: - A bond's yield to maturity is 5.24% and its price is $1,072.48. - A stock portfolio has a beta of 1.58 and an expected return of 11.9%. - An optimized two-stock portfolio has weights of 0.33 and 0.67, betas of 2 and 1.2, and an overall beta of 1.47 and expected return of 8.4%.

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    The document contains financial information about bond yields and prices, stock betas and returns, and portfolio optimization. Key details include: - A bond's yield to maturity is 5.24% and its price is $1,072.48. - A stock portfolio has a beta of 1.58 and an expected return of 11.9%. - An optimized two-stock portfolio has weights of 0.33 and 0.67, betas of 2 and 1.2, and an overall beta of 1.47 and expected return of 8.4%.

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    Download as XLSX, PDF, TXT or read online from Scribd
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    11 views15 pages

    Answers

    Uploaded by

    lika rukhadze
    The document contains financial information about bond yields and prices, stock betas and returns, and portfolio optimization. Key details include: - A bond's yield to maturity is 5.24% and its price is $1,072.48. - A stock portfolio has a beta of 1.58 and an expected return of 11.9%. - An optimized two-stock portfolio has weights of 0.33 and 0.67, betas of 2 and 1.2, and an overall beta of 1.47 and expected return of 8.4%.

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    © All Rights Reserved
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    of 15

    price $1,072.

    48
    YTC 4.49% 8.98%

    nominal
    YTM 5.24% 0.051740509079
    PMT $22.64 $45.27 4.53%

    YTM 3.07% 6.14231% 6.24%


    price ($1,286.63)

    Market X Y
    11% 10% 12%
    7% 4% -3%
    17% 12% 21%
    -3% -2% -5%

    beta X 0.73584906 Ks X 7.7% 1.275


    BetaY 1.33490566 Ks Y 10.7%
    Beta porf 1.6

    no

    X Y Porfol
    0.1 -20% 10% -5.0%
    0.8 20% 15% 17.5%
    0.1 40% 20% 30.0%
    Exp. Value 18% 15% 16.5%
    Portfolio exp. 16.5%
    St.deviation 8.08%

    Weight Beta Beta new


    0.1875 0.6 1.8
    0.1875 1 1
    0.3125 1.4 1.4
    0.3125 1.8 1.8

    Portfolio beta 1.3 1.525

    MRP 5.0%

    RRR 13.625%
    8.98%

    ($1,072.48)

    5.24%
    0.05174051
    $22.64
    $45.272.95
    4.53%

    6.1423%
    6.24%
    0.06095864
    ($1,294.83)

    -409.51 1409.51
    -0.40951
    1.40951
    beta 1.58022533018868
    k 11.901126650943400% 12%
    rate 18%

    price4 $921.99
    price5 $930.20
    CG 0.9%

    0.022207
    YTM 2.2% 4.4827% 0.022539
    price ($1,157.03) 0.02233

    price 1000

    Market Stock
    10% 5%
    15% 0%
    -5% 14%
    0% 10%
    Beta -0.66 7%
    RRR 4.000%
    10 0.3 12 0.5
    25 0.2 10 0.5
    5 0.5
    Exp.value 10.5 11
    st.deviation 7.56637297521 1
    CV 0.72060695002 0.090909

    beta
    index 1
    risk free 0
    pension 1.4

    beta portf 1 x(1.4)+(0.8-x)*1+0.2*0

    x 0.500
    0.04482666
    0.04532901
    0.04449586
    -1,158.64 ₾
    price $930.16
    CY 9.14%

    price $768.85
    pmt $103.94 10.39%

    rate 3.3% 6.5% 6.63%


    price ($276.73)

    A 0.8
    B 1.2

    Market X Y
    11% 10% 12%
    7% 4% -3%
    17% 12% 21%
    -3% -2% -5%

    beta X 0.735849056603773 0.6


    beta Y 1.33490566037736 0.4
    beta portf 0.975471698113207
    Ks portf 11.877%

    0.5 5 0.166667 1
    0.5 2 0.166667 2
    Exp. Value 3.5 0.166667 3
    St. dev 1.5 0.166667 4
    CV 0.42857143 0.166667 5
    0.166667 6
    Exp. Value 3.5
    St. dev. 1.71
    CV 0.48795
    rate 4%
    price 3 ($1,165.85)

    nominal
    rate 3.46% 3.42%
    coupon $7.48 $29.93 2.99%

    semi effect nominal


    rate 6.94% 14.36% 13.65%
    coupon $40.29 $161.14 16.11%

    0.16666667 1 0.166667 3
    0.16666667 0 0.166667 4
    0.16666667 3 0.166667 0
    0.16666667 0 0.166667 0
    0.16666667 5 0.166667 0
    0.16666667 0 0.166667 0

    Exp. value 1.5 1.166667


    st. deviation 1.89 1.67
    CV 1.26 1.44

    weight beta
    X 0.33333333 2
    Y 0.66666667 1.2
    beta portf 1.46666667
    RRR of rortf. 8.400%
    undervalue

    beta1+beta2+….+beta10 20

    beta10 2

    beta1 +….beta 9 18

    Beta new 1.5

    New beta 1.9500

    Ks 10.800%

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