TLTK_Chương 7: Portfolio Theory and Capital Asset Pricing Model
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EX1: The variance of Stock A is 0.0035, the variance of Stock B is 0.0067, and the covariance between the two stocks is 0.0042. What is the correlation coefficient?
EX2: A portfolio consists of two stocks. The weight of investment in stock A is 35 percent. Stock A has a standard deviation of 25.78 percent. Stock B has a standard deviation of 13.57 percent. The stocks have a covariance of -0.025. What is the portfolio variance?
EX3: A stock has a beta of 1.15, the expected return on the market is 11 percent, and the risk-free rate is 5 percent. What must the expected return on this stock be?
EX4: A stock has an expected return of 10.2 percent, the risk-free rate is 4 percent, and the market risk premium is 7 percent. What must the beta of this stock be?
EX5: A stock has an expected return of 13.4 percent, its beta is 1.60, and the risk-free rate is 5.5 percent. What must the expected return on the market be?
EX6: Knowing that the expected return on the market is 11 percent, and the risk-free rate is 5 percent. What must the expected return on this stock be? If
a) Beta of the stock is 0
b) Beta of the stock is 1