Prob.

Bai giai.xlsx

Prob. 3

a. No
b.

Prob. 4.

6% + 1.20*7% = 0.144

Prob. 5.

a. W(D) = 2,000,000; W(E) = 4,000,000; W(F) = 4,000,000

Expected return on the market portfolio = (2/10)*8% + (4/10)*10% + (4/10)*21% = 14%

b. Β = 1.00

Prob. 6

a. 8% + 1.45*(13% - 8%) = 15.25%

b. P = 2*(1 + 10%)/(15.25% - 10%) = 41.9
c. 8% + 0.80*(13% - 8%) = 12%; P = 2*(1 + 10%)/(12% - 10%) = 110

Prob. 7

© phải bằng 0 vì là Risk-free asset

0.21*0.85 + 0.32*1.20 + w©*1.35 +(b)*0 = 1 (vì phải equally risky to the market)

>>> w© = 0.324074 >>> I© = 324,074.0741

>>> (b) = 1,000,000 – 210,000 – 320,000 – 324,074.0741 = 145,925.9259

Prob. 8

E(1) = 0.25*0.11 + 0.50*0.29 + 0.25*0.13 = 0.205

Β(1) = (0.205 – 0.04)/(0.08) = 2.0625

 (1) = 0.08529

E(2) = 0.25*-0.40 + 0.50*0.10 + 0.25*0.56 = 0.09

Β(2) = (0.09 – 0.04)/(0.08) = 0.625

 (2) = 0.33955

(A) Has more systematic risk

 (B) Has more unsystematic risk

Prob. 9

a. E(Intel) = 4% + 1.6*(10% - 4%) = 13.6%

b. E(Boeing) = 4% + 1*(10% - 4%) = 10%
c. Β = 0.6*1.6 + 0.4*1 = 1.36
d. E = 0.6*13.6 + 0.4*10 = 12.16%

Prob. 10

0.132 = rf + 1.35*(rm – rf)

0.101 = rf + 0.80*(rm – rf)

>>> rf = 0.0559 = 5.59%; rm = 0.1122 = 11.22%

Prob. 11

Cách 1:

Cottage 1 : 0.04 + 1.2*0.06 = 0.112

Cottage 2: 0.04 + 1.3*0.06 = 0.118

Cottage 3: 0.04 + 1.5 * 0.06 = 0.13

E(Rportfolio) = (1/3)*0.112 + (1/3)*0.118 + (1/3)*0.13 = 0.12

Cách 2:

Β (portfolio) = (1/3)*1.2 + (1/3)*1.3 + (1/3)*1.5 = 4/3

E(Rportfolio) = 0.04 + (4/3)*0.06 = 0.12

Prob. 12

0.55*15 + 0.225*12 + 0.225*8 = 12.75 %

Prob. 13

wx*1.8 + wy*1.3 + 0 = 0.8

wx*31% + wy*20% + wrisky*7% = 16.8%

wx + wy + wrisky = 1

wx = 0.3 >>> Ix = 300,000

wy = 0.2

wrisky = 0.5