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PORTFOLIO
Porttfolio hanya terdiri dari Stock L dan Stock S
Portfolio Weight
Stock L 50%
Stock S 50%
Rate of return if state occurs
State of the ec. Probability Stock L
Recession 0.5 -20%
Boom 0.5 70%
E(Rp) = 22.5%
Diketahui:
Portfolio terdiri dari stock A, stock B dan Stock C
Portfolio Weight
Stock A 50%
Stock B 25%
Stock C 25%
Rate of return if state occurs
State of the ec. Probability Stock A
Boom 0.4 10%
Bust 0.6 8%
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio
sp = 0.042866 =
Diketahui:
Portfolio terdiri dari stock X, stock Y dan Stock Z
Portfolio Weight
Stock X 50%
Stock Y 25%
Stock Z 25%
Rate of return if state occurs
State of the ec. Probability Stock X
Boom 0.2 10%
Normal 0.6 8%
Recession 0.2 2%
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio
sp = 0.038000 =
(2 x Exp Ret) 4kwadrat (1 x 5)
(4) (5) (6)
7.0% 0.0048303 0.0012076
0.0% 0.0000002 0.0000001
-4.1% 0.0016403 0.0002460
-11.1% 0.0122103 0.0012210
s2 = 0.2675%
s = 5.17%
(3) (4)
Portfolio return (2x3)
x - 20% + 0.5 x 30% = 5% 0.025
x 70% + 0.5 x 10% = 40% 0.2
E(Rp) = 22.50%
s2p = 0.030625
sp = 17.5%
s2p = 0.030625
sp = 17.5%
Stock C
8.50%
2
+ 0.6 x (5% - 8.50%)2 = 0.0018375
4.3%
Rate of return if state occurs
Stock Y Stock Z
15% 20%
4% 3%
0% -5%
2
+ 0.6 x (5.75% - 6.65%)2 + 0.2 x ( 2.25% - 6.65%)2 = 0.001444
3.8%
Cara 1
Diketahui:
Porttfolio hanya terdiri dar Stock X dan Stock Y
Portfolio Weight
Stock X 40%
Stock Y 60%
Rate of return if state occurs
State of the ec. Probability Stock X
Recession 0.5 -20%
Boom 0.5 70%
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio
sp = 0.12 =
of return if state occurs
Stock Y
30%
10%
(3) (4)
Portfolio return (2x3)
- 20% + 0.6 x 30% = 10% 0.05
70% + 0.6 x 10% = 34% 0.17
E(Rp) = 22.00%
s2p = 0.0144
sp = 12.0%
of return if state occurs
Stock Y
30%
10%
22.00%
12.0%
Q&P-7
Based on the following information, calculate the expected return
and standard deviation for the two stocks:
Rate of return if state occurs
State of the ec. Probability Stock A Stock B
Recession 0.2 0.06 -0.20
Normal 0.6 0.07 0.13
Boom 0.2 0.11 0.33
Jawab:
(1) (2) (3)
Probability Stock A (1 x 2)
0.2 0.06 0.012
0.6 0.07 0.042
0.2 0.11 0.022
Exp RA = 0.076
Exp RB = 0.104
Q&P-8
Exp Rp = WG xRG + WJ RJ + WK RK
Exp Rp = 15.00%
Q & P - 11
You own a stock portfolio invested 25% in stock Q, 20% in stock R, 25% in stock S
and 30% in stock T
The betas for these stocks are 0.6, 1.70, 1.15 and 1.12, respectively.
What is portfolio beta?
Weight Beta
Stock Q 25% 0.6
Stock R 20% 1.7
Stock S 25% 1.15
Stock T 30% 1.12
bp = 1.1135
Q & P - 13
A stock has a beta of 1.3, the expected return on the market is 14%, and
the risk free rate is 6%. What must the expected return on this stock be?
R = 6% + 1.3 ( 14% - 6% )
R = 16.40%
Q & P - 14
A stock has an expected return of 14%, the risk free rate is 5%, and
the market risk premium 7%. What must the beta of this stock be?
14% = 5% + b ( 12% - 5% )
b = ( 14% - 5% ) / 7% = 1.29
Q & P - 26
Consider the following information on Stock I dan II
The market risk premium is 10%, and th risk free rate is 4%.
Which stock has the most systematic risk? Which one has the most unsystematic risk?
Which stock is "riskier" ? Explain.
RI = 4% + bI ( 14% - 4% ) =
s2 = 0.0003040
s = 1.74%
s2 = 0.0298880
s = 17.3%
5% in stock S
unsystematic risk?
32%
10%
1. Anda dihadapkan pada dua alternative investasi yang berisiko, yaitu saham perusahan A dan saham peru
dengan informasi sebagai berikut:
Jika Anda melakukan investasi pada kedua saham tersebut dengan proporsi 40% pada saham A dan sisanya
saham B, berapa pendapatan yang diharapkan dan risiko (SD) portofolio tersebut?
Investasi:
Saham A 40%
Saham B 60%
sp = 0.108101 = 10.8%
ham perusahan A dan saham perusahaan B
rn if state occurs
rn if state occurs
Portfolio
-9.60%
10.60%
24.20%
9.28%
100% 1.0625
WR WB
2.46% 0.246
1.85% 0.146
3.46% 0.254
5.54% 0.431
13% 1.077
(lebih tinggi)