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Oleh :
Example
Example
If :
Diversification benefits
+1
-1
Diversification Lessons
Checkpoint 8.1
14%
12%
10%
8%
Treasury bills
EMR
Starbucks
6%
4%
2%
0%
Category 1
E (Return)
Weight
Step 2 : Decide
on a solution
strategyProduct
U.S
treasury
bills
4.0%
0.50%
2.0%
EMR
8.0%
0.25%
2.0%
SBUX
12.0%
0.25%
3.0%
7.0%
Step 3 : Solve
Step 4 : Analyze
So, the expected return is 7%.
Example
Patty
Unsystematic risk
Diversification and
Unsystematic Risk
Diversification and
Systematic Risk
Figure 8-2 illustrates that systematic or nondiversifiable risk is not reduced even as we
increase the number of stocks in the portfolio.
Beta
Beta (cont.)
Portfolio Beta
= .25(1.5) + .25(.75) + .25(1.8) + .25 (.6)
= 1.16
D1 :
WM = 80% = 0,8
E(rM) = 11%
rf = 6%
We
also can calculate the portfolio beta, which
says that a portfolio beta should be equal to the
weighted average of the individual assets betas
that make up the portfolio.
The
straight line relationship between the betas
and expected return is called the security market
line, and its slope is often referred to as the
reward-to-risk ratio.
For example beta for Google is 0,75. If the riskfree rate of interest in economy is currently about
6%, and if the market risk premium, which is the
difference between the expected return on the
market portfolio and the risk-free rate of return is
estimated to be 5%, then the expected rate of
return is ...
k,_ p
= (10%)(12%) + (25%)(11%) + (15%)(15%) + (30%)(9%)
+ (20%)(14%)
=
15.8%
p =
(1.20)
=
14
12
10
return exp
15
12
11
9
stock
Linear (stock)
4
2
0
0.5 0.6 0.7 0.8 0.9
beta
A
3.75%
12.5%
C
3.75%
8.75%
(10%
3.75%)
0.80 =
D
3.75%
11.25%
(10%
3.75%)
1.20 =
3.75%
8.44%
(10%
+
(10%
3.75%)
-
3.75%)
1.40 =
x
0.75 =