投资学答案(夏普).pdf

Investment Analysis (FIN 383) Fall 2009 Homework 5 Instructions: please read carefully • You should show your work how to get the answer for each calculation question to get full credit • The due date is Tuesday, November 10, 2009. Late homework will not be graded. Name(s): Student ID 1. Compute the expected return for a three-stock portfolio with the following: a. 13.3% b. 14.6% c. 29.3% d. 32.4% 1. b 10*0.2 + 12*0.3 + 18*0.5 = 14.6 2. A portfolio is considered to be efficient if ______________. a. there is no other portfolio with a higher expected return b. there is no other portfolio with a lower risk c. there is no other portfolio offers a higher expected return with a higher risk d. there is no other portfolio offers a lower risk with the same expected return 2. d 3. Which of the following is (are) most correct concerning a two-stock portfolio? a. The portfolio should have no company specific risk. b. Portfolio standard deviation can never be a weighted average of the two stocks standard deviations. c. Portfolio return is a weighted average of the two stocks returns. d. All of the above are correct. 3. c 4. The maximum benefit of diversification can be achieved by combining securities in a portfolio where the correlation coefficient between the securities is ______________. a. between 0 and -1 b. 0 c. -1 d. +1 4. c 5. A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 20% while stock B has a standard deviation of return of 30%. Stock A comprises 40% of the port