1.Consider the 'same' weighted portfolio of shares A and B.
|
|
boom |
depression |
|
A |
10% |
-2% |
|
B |
18% |
-5% |
1. The economic situation of the following year is called a boom with a 50% chance or a recession with a 50% chance.
2. Each stock receives the following returns depending on the boom and bust.
What if we get the volatility of this portfolio return?
In % units, mark up to the second decimal place.
2.Currently, the risk-free return is 8%, and the data on the market portfolio M and A assets are as follows.
Market expected return: 16%
Expected return on A: 24%
Market volatility: 12%
Volatility of A: 24%
Correlation coefficient between A and M 1
What if we get the market beta that Asset A has?
Answer to the second decimal place.
3.Currently, the risk-free return is 8%, and the data on the market portfolio M and A assets are as follows.
Market expected return: 16%
Expected return on A: 24%
Market volatility: 12%
Volatility of A: 24%
Correlation coefficient between A and M: 1
What is the magnitude of the systematic risk among the risks of A?
Hint:
1) The magnitude of the risk is calculated as the standard deviation of Ri.
2) Ri is exposed to the market premium as much as beta, which determines some sizes (beta * market risk premium) and the rest (Ri-beta * market risk premium) based on non-systematic risk.
3) If you take the volatility of the return that is determined by the systemic risk of either part, that would be the systemic risk.
* var(aX) = (a^2) VarX
* Systematic and non-systematic risks are independent of each other.
Mark the risk in % and up to the second decimal place.
?Please write down the steps for each topic. Thank you very much.?