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  • BAB 1 PORTFOLIO - Lembar Jawaban - Meliana Fitri Faradila - 023001801111

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    This document contains information about a portfolio including the stock correlations, portfolio compositions, and covariances. It provides two portfolio compositions, composition a with 20% in stock A and 80% in stock C, and composition b with 40% in stock A, 20% in stock B, and 40% in stock C. It then calculates the covariances between the different stocks and uses this to calculate the expected return and standard deviation for each portfolio composition.

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    BAB 1 PORTFOLIO_ Lembar Jawaban_ Meliana Fitri Faradila_023001801111

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    This document contains information about a portfolio including the stock correlations, portfolio compositions, and covariances. It provides two portfolio compositions, composition a with 20% in stock A and 80% in stock C, and composition b with 40% in stock A, 20% in stock B, and 40% in stock C. It then calculates the covariances between the different stocks and uses this to calculate the expected return and standard deviation for each portfolio composition.

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    2 views2 pages

    BAB 1 PORTFOLIO - Lembar Jawaban - Meliana Fitri Faradila - 023001801111

    Uploaded by

    fetrianirssembiring
    This document contains information about a portfolio including the stock correlations, portfolio compositions, and covariances. It provides two portfolio compositions, composition a with 20% in stock A and 80% in stock C, and composition b with 40% in stock A, 20% in stock B, and 40% in stock C. It then calculates the covariances between the different stocks and uses this to calculate the expected return and standard deviation for each portfolio composition.

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    © All Rights Reserved
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    of 2

    Nama: Meliana Fitri Faradila

    NIM: 023001801111

    Korelasi dengan saham

    Saham σ A B C
    A 12% 1 -1 0.2
    B 15% -1 1 -0.2
    C 10% 0.2 -0.2 1

    Komposisi Portofolio (W)


    No. Saham A Saham B Saham C Total
    a 20% 80% 100%
    b 40% 20% 40% 100%

    Covariance
    σAA 1.440% σBA -0.018 σCA 0.0024
    σAB -0.018 σBB 0.0225 σCB -0.003
    σAC 0.0024 σBC -0.003 σCC 0.01

    Jawaban a. WaWaσaa 0.057600% Jawaban b. WaWaσaa 0.230400%


    WaWcσac 0.000384 WaWbσab -0.00144
    WcWaσca 0.000384 WaWcσac 0.000384
    WcWcσcc 0.0064 WbWaσba -0.00144
    WbWbσbb 0.0009
    Total 0.774400% WbWcσbc -0.00024
    Standar Deviasi 0.088 WcWaσca 0.000384
    WcWbσcb -0.00024
    WcWcσcc 0.0016

    Total 0.221200%
    Standar Deviasi 0.470
    Latihan
    A. Harga beli SBI adalah sbb:
    P= 1.000.000.000 x 365
    365 + (60 x 14%)
    = 977,504,017

    B. Harga jual SBI adalah sbb:


    P= 1.000.0000.000 x 365
    365 + (60 x 12%)
    = 980,655,562

    Harga jual SBI = 980,655,562


    Harga beli SBI = 977,504,017
    3,151,544

    EY = 980.655.562 - 977.504.01 x 365


    977,504,017 60
    = 0.003224073 x 6.083333
    = 0.019613111

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