高财管考点总结.docVIP

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高财管考点总结.doc

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高财管考点总结

高级财管考点总结计算题（50分） 10.1 a. Expected Return = (0.1)(-0.045) + (.2)(0.044) + (0.5)(0.12) + (0.2)(0.207) = 0.1057 = 10.57% The expected return on Q-mart’s stock is 10.57%. b. Variance (?2) = (0.1)(-0.045 – 0.1057)2 + (0.2)(0.044 – 0.1057)2 + (0.5)(0.12 – 0.1057)2 + (0.2)(0.207 – 0.1057)2 = 0.005187 Standard Deviation (?) = (0.005187)1/2 = 0.0720 = 7.20% The standard deviation of Q-mart’s returns is 7.20%. 10.2 a. Expected ReturnA = (1/3)(0.063) + (1/3)(0.105) + (1/3)(0.156) = 0.1080 = 10.80% The expected return on Stock A is 10.80%. Expected ReturnB = (1/3)(-0.037) + (1/3)(0.064) + (1/3)(0.253) = 0.933 = 9.33% The expected return on Stock B is 9.33%. b. VarianceA (?A2) = (1/3)(0.063 – 0.108)2 + (1/3)(0.105 – 0.108)2 + (1/3)(0.156 – 0.108)2 = 0.001446 Standard DeviationA (?A) = (0.001446)1/2 = 0.0380 = 3.80% The standard deviation of Stock A’s returns is 3.80%. VarianceB (?B2) = (1/3)(-0.037 – 0.0933)2 + (1/3)(0.064 – 0.0933)2 + (1/3)(0.253 – 0.0933)2 = 0.014447 Standard DeviationB (?B) = (0.014447)1/2 = 0.1202 = 12.02% The standard deviation of Stock B’s returns is 12.02%. C .Covariance(RA, RB) = (1/3)(0.063 – 0.108)(-0.037 – 0.0933) + (1/3)(0.105 – 0.108)(0.064 – 0.933) + (1/3)(0.156 – 0.108)(0.253 – 0.0933) = 0.004539 The covariance between the returns of Stock A and Stock B is 0.004539. Correlation(RA,RB) = Covariance(RA, RB) / (?A * ?B) = 0.004539 / (0.0380 * 0.1202) = 0.9937 The correlation between the returns on Stock A and Stock B is 0.9937. 10.3 a. Expected ReturnHB = (0.25)(-0.02) + (0.60)(0.092) + (0.15)(0.154) = 0.0733 = 7.33% The expected return on Highbull’s stock is 7.33%. Expected ReturnSB = (0.25)(0.05) + (0.60)(0.062) + (0.15)(0.074) = 0.0608 = 6.08% The expected return on Slowbear’s stock is 6.08%. b. VarianceA (?HB2) = (0.25)(-0.02 – 0.0733)2 + (0.60)(0.092 – 0.0733)2 + (0.15)(0.154 – 0.0733)2 = 0.003363 Standard DeviationA (?HB) = (0.003363)1/2 = 0.0580 = 5.80% The standard deviati