紅髮傑克 發問時間: 社會與文化語言 · 10 年前

投資分析計算題請高手幫幫忙

You manage an equity fund with an expected risk premium of 10% and an expected standard deviation of 14%.The rate on Treasury bills is 6%.Your client chooses to invest $60000 of her portfolio in your equity fund and $40000 in a T-bill money market fund.What is the expected return and standard deviation of return on your clients portfolio?

Expected Return Standard Deviation of Return

(a) 8.4% 8.4%

(b) 8.4 14.0

(c) 12.0 8.4

(d) 12.0 14.0

過程麻煩說明清楚!!謝謝

1 個解答

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  • 10 年前
    最佳解答

    CAPM

    E(Re) = Rf + β[E(Rm) – Rf] = 6% + 10% = 16%

    wa = 60000/100000 = .6

    wb = 40000/100000 = .4

    E(R) = 16% (.6) + 6% (.4) = 12.0% ---> expected return

    β = σ = 14% (.6) + 0 (.4) = 8.4% ---> standard deviation

    Ans: (c)

    Note:

    1) [E(Rm) – Rf] = expected risk premium

    2) The CAPM assumes that risk is measured by the volatility (standard deviation) of an asset's systematic risk, relative to the volatility (standard deviation) of the market as a whole.

    圖片參考:http://img.brothersoft.com/screenshots/softimage/c...

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