未分类题

A股票和B股票在5种不同经济状况下预期报酬率的概率分布如下表所示：

要求：
(1) 分别计算A股票和B股票报酬率的期望值及其标准离差；
(2) 假设A股票和B股票收益率的相关系数为-1，计算A股票和B股票报酬率的协方差；
(3) 根据(2)计算A股票和B股票在不同投资比例下投资组合的预期报酬率和标准离差。

(4) 已知A股票的必要收益率为10%，市场组合的收益率为12%，无风险收益率为 4%，则A股票的β系数为多少?

A.shangxueba.cn/images/ct_cjkzmcm_cjkzmccompute_03164(20093)1.jpg'
B.shangxueba.cn/images/ct_cjkzmcm_cjkzmccompute_03164(20093)2.jpg'

【参考答案】

(1) A股票报酬率的期望值=0.2×0.3+0.2×0.2+0.2×0.1+0.2×0+0.2×(-0.1) =0.1......

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