Essential of investment Ch6
- 최초 등록일
- 2020.08.05
- 최종 저작일
- 2020.05
- 8페이지/ MS 워드
- 가격 2,000원
목차
1. Problems
본문내용
* Problems
1. When adding a risky asset to a portfolio of many risky assets, which property of the asset has a greater influence on risk?
Standard deviation is a risk of each asset, on the other hands covariance is a risk of whole portfolio. So, we need to more concern about covariance when we add risky asset.
3. A portfolio’s expected return is 12%, its standard deviation is 20%, and the risk-free rate is 4%. Which of the following would make for the greatest increase in the portfolio’s Sharp ratio?
(a) expected return and (b) risk-free rate increase will increase the p/f’s Sharp ratio.
5. The standard deviation of the market-index portfolio is 20%, Stock A has a beta of 1.5 and a residual standard deviation of 30%
a. What would make for a larger increase in the stock’s variance: an increase of 0.15 in its beta or an increase of 3% in its residual standard deviation?
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