國(guó)際金融seminar2(編輯修改稿)
2025-02-27 19:49 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 th the market return. 15 Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 Answer: ?The SML is given by: ?Plugging in what we know: ?So the beta is . 16 ? ?fMifi rrErrE ??? )()( ?? ?%8%13%8%20????ii??Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 Answer: ?The CML is given by: ?Here we have: ?The risk of the security is 60% 17 ?? MfMfrrErrE???)()(%25%8%13%8%20??????Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 Answer: ?The security39。s returns are perfected correlated with the returns of the market portfolio. 18 1%25%6022?????iMiMMiMiMiMMiMiMi????????????Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 8 Topic 11 ? There are only two risky assets in the economy: stocks and real estate and their relative supplies are 50% stocks and 50% real estate. Thus, the market portfolio will be half stocks and half real estate. The standard deviations are for stocks, for real estate, and the correlation between them is zero. The market portfolio’s expected return is . The riskless rate is per year. ? According to the CAPM what must be the equilibrium risk premium on the market portfolio, on stocks, and on real estate? ? Draw the Capital Market Line. What is its slope? Draw the SML. What is its formula? 19 Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 Answer: ?The market risk premium is 14% ? 8% = or 6%. ?The market portfolio39。s expected rate of return is also a weighted average of the expected rates of return on stocks and real estate, where the weights are each 1/2. Stocks and real estate must have the same risk premium. 20 **2)1(2)1(22212,12222122???????mm w???????Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 Answer: ?The CML is given by: ?CML slope: 21 ?? MfMfrrErrE???)()( 424 )( ??MfM rrE?Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 Answer: 22 Financial Economics 大連海事大學(xué)交通運(yùn)輸管理學(xué)院 王冰 Answer: ?The SML is given by: ?SML slope: 14% 8% = 23 ? ?fMifi rrErrE ??? )()( ?Financial
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