答案和详解如下： Q10. There is a 40% chance that an investment will earn 10%, a 40% chance that the investment will earn 12.5%, and a 20% chance that the investment will earn 30%. What is the mean expected return and the standard deviation of expected returns, respectively? A) 15.0%; 5.75%. B) 15.0%; 7.58%. C) 17.5%; 5.75%. Correct answer is B) Mean = (0.4)(10) + (0.4)(12.5) + (0.2)(30) = 15% Var = (0.4)(10 − 15)2 + (0.4)(12.5 − 15)2 + (0.2)(30 − 15)2 = 57.5 Standard deviation = √57.5 = 7.58 Q11. The weights and returns for individual positions in a portfolio are shown below: Position Mkt. Value at 1/1/05($MM) Return for 2005(%) A 1.3 –2.0 B 1.4 –4.2 C 2.2 +6.4 D 3.9 +2.1 E 1.7 –0.8 What is the return on the portfolio? A) +1.18%. B) +1.50%. C) -1.20%. Correct answer is A) The return is equal to sum of the products of each position’s value and return divided by the beginning portfolio value.Position
Mkt. Value at 1/1/05($MM) Return for 2005(%) Position Value × Return ($MM) A
1.30
–2.0
0.0260
B
1.40
–4.2
0.0588
C
2.20
+6.4
0.1408
D
3.90
+2.1
0.0819
E
1.70
–0.8
0.0136
Total
10.50
0.1243
0.1243 / 10.5($MM) = +1.1838%
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发表于 2009-1-6 11:47
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