BA103-F04-SpecificproblemsCAPM-answersfinal

BA103-F04-Specificpr - sp = 10.2 the portfolio weights 60 mkt and 40 rf std dev return 8 10 12 14 16 4 8 12 16 18 20 Point X Point B Point Y std

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Homework UGBA 103 Answer Sheet 4 pts total 1. worth 1 pt total (note: some students may get beta’s of 0.69 and –0.55, then give them 0.5 pts) Stdev of Executive Cheese = 10.47% Stdev of Paddington Bear = 11.90% Beta of Executive Cheese = 0.72 Beta of Paddington Bear = -0.58 2. worth 1.5 pts total note: parts a), b), c), and d) involve drawing or plotting on the graphs below: a. From “Pt X” to “Pt Y” b. “Point B” on graph #1 c. see graph #2 d. “Point D” on graph #2 e. If an investor wants to hold a portfolio with β =0.60, what is: - the investor’s expected return: e. rp = 12.2% - the standard deviation of the investor’s portfolio:
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Unformatted text preview: sp = 10.2%- the portfolio weights 60% mkt and 40% rf std. dev return 8% 10% 12% 14% 16% 4% 8% 12% 16% 18% 20% Point X Point B Point Y std. dev return 8% 10% 12% 14% 16% 4% 8% 12% 16% 18% 20% market riskless Point “D” graph #1 graph #2 3. worth 1.5 pt total a. what is the beta of your portfolio ? 1.23 b. What is the per-month return 18.73% c. What is your expected return every month ? 1.18% d. What we want to know is our ex-post, risk adjusted return ? 3.81% your name: ________________________ your section - circle one: 101 102 103 104 your student id#: ________________________...
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This note was uploaded on 12/06/2011 for the course UGBA 103 taught by Professor Berk during the Fall '07 term at University of California, Berkeley.

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