TLTK_Chương 6: Introduction to Risk and Return
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EX1: There are 4 financial assets: Corporate Bond, Treasury Bond, Treasury Bill, Small firm stock, Large firm stock. Arrange these financial assets from least risk to most risk.
(Sắp xếp 4 loại chứng khoán: Trái phiếu doanh nghiệp, Trái phiếu Chính phủ dài hạn, Trái phiếu Chính phủ ngắn hạn (Tín phiếu), Cổ phiếu doanh nghiệp quy mô nhỏ, Cổ phiếu doanh nghiệp quy mô lớn theo thứ tự từ ít rủi ro nhất đến nhiều rủi ro nhất)
EX2:
The historical rates of return for the past three years of stock X and stock Y are as below:
Stock X: - 10%; 12%; 21%
Stock Y: 1%; 15%; 27%
Knowing that the investor invests his fund 30% in stock X and 70% in stock Y? Covariance of stock X and stock Y is 0.0237.
a) Calculate the expected return of two stocks.
b) Calculate the standard deviation of two stocks.
c) Calculate the expected return of the portfolio.
d) Calculate the standard deviation of the portfolio.
EX3: The table below shows the one-year return distribution for stock M and stock N
|
Stock M |
Stock N |
||
|
Return |
Probability |
Return |
Probability |
|
2% |
10% |
-5% |
10% |
|
10% |
50% |
7% |
50% |
|
28% |
40% |
13% |
40% |
You invest 30% in Stock M and 70% in Stock N, a correlation coefficient of 2 stocks = -0.68.
a) Calculate the expected return of two stocks.
b) Calculate the standard deviation of two stocks.
c) Calculate the expected return of the portfolio.
d) Calculate the standard deviation of the portfolio.
EX4: The table below shows the rates of return for stock A and stock B:
|
Year |
Rate of return (stock A) |
Rate of return (stock B) |
|
1 |
-2% |
5% |
|
2 |
5% |
-10% |
|
3 |
17% |
12% |
|
4 |
22% |
32% |
You invest in 200 shares of stock A and 300 shares of stock B. Knowing that the current market price of stock A and stock B are 85,000 VND and 72,000 VND, respectively.
a) Calculate the expected return of two stocks.
b) Calculate the standard deviation of two stocks.
c) Calculate the expected return of the portfolio
d) Calculate the covariance of two stock.
e) Calculate the correlation coefficient of two stocks.
f) Calculate the standard deviation of the portfolio.
EX5: Stock A will have a rate of return of 25 percent in a boom and 6 percent in a normal economy. Stock B will return 10 percent in a boom and 3 percent in a normal economy. There is a 20 percent probability the economy will be boom. There is a portfolio that is invested 35 percent in stock A and 65 percent in stock B. What is the standard deviation of the portfolio?
EX6: What is unique risk. What is other names of unique risk?
What is market risk. What is other names of market risk?