BUS3026W_TUTORIAL_2009_SOLS_1

BUS3026W_TUTORIAL_2009_SOLS_1 - BUS3026W Finance II 2009...

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BUS3026W Finance II 2009 – Revision Tutorial Due: Not for hand-in _____________________________________________________________ Question 1.1 Portfolio combinations to consider: Alpha, Beta and Gamma: E(R) = (0.333 x 0.12) + (0.333 x 0.106) + (0.333 x 0.135) = 0.03996 + 0.035298 + 0.044955 = 12.02% [1 Mark] σ = [(0.333 2 x 0.15 2 ) + (0.333 2 x 0.12 2 ) + (0.333 2 x 0.17 2 ) + (2 x 0.333 x 0.333 x 0.65 x 0.15 x 0.12) + (2 x 0.333 x 0.333 x 0.55 x 0.15 x 0.17) + (2 x 0.333 x 0.333 x 0.3 x 0.12 x 0.17)] ½ = [0.0024950025 + 0.0015968016 + 0.0032046921 + 0.0025948026 + 0.00311043645 + 0.00135728136] ½ = 0.01435901661 ½ = 12% [2 Marks] U = E(R) – 0.005 A σ 2 = 12.02 – 0.005(6)(12 2 ) = 7.7% [1 Mark] Alpha, Beta and Sigma: E(R) = (0.333 x 0.12) + (0.333 x 0.106) + (0.333 x 0.084) = 0.03996 + 0.035298 + 0.027972 = 10.32% [1 Mark] σ = [(0.333 2 x 0.15 2 ) + (0.333 2 x 0.12 2 ) + (0.333 2 x 0.10 2 ) + (2 x 0.333 x 0.333 x 0.65 x 0.15 x 0.12) + (2 x 0.333 x 0.333 x 0.7 x 0.15 x 0.10) + (2 x 0.333 x 0.333 x 0.8 x
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This note was uploaded on 06/01/2011 for the course FIN 3026W taught by Professor Drtoerien during the Summer '09 term at University of Cape Town.

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BUS3026W_TUTORIAL_2009_SOLS_1 - BUS3026W Finance II 2009...

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