现代投资组合理论与投资分析 第七章 答案.pdfVIP

Elton, Gruber, Brown, and Goetzmann Modern Portfolio Theory and Investment Analysis, 7th Edition Solutions to Text Problems: Chapter 7 Chapter 7: Problem 1 We will illustrate the answers for stock A and the market portfolio (SP 500); the answers for stocks B and C are found in an identical manner. The sample mean monthly return on stock A is: The sample mean monthly return on the market portfolio (the answer to part 1.E) is: Using data given in the problem and the above two sample mean monthly returns, we have the following: Month t 1 9.104 82.883 9.275 86.026 84.44 2 12.324 151.881 2.985 8.910 36.79 3 -7.066 49.928 -0.595 0.354 4.2 4 -1.376 1.893 1.475 2.176 -2.03 5 0.214 0.046 1.405 1.974 0.3 6 -5.736 32.902 1.425 2.031 -8.17 7 -11.916 141.991 -9.775 95.551 116.48 8 -4.126 17.024 -5.115 26.163 21.1 9 -1.876 3.519 0.455 0.207 -0.85 10 9.804 96.118 3.155 9.954 30.93 11 4.534 20.557 -0.535 0.286 -2.43 12 -3.886 15.101 -4.155 17.264 16.15