Escolar Documentos
Profissional Documentos
Cultura Documentos
∑𝑅
Expected return ER= 𝑛
∑(𝑅−𝐸𝑅)2
Variance 𝜎 2 = 𝑛−1
𝑜𝑟 ∑(𝑅 − 𝐸𝑅)2 𝑝
∑(𝑅−𝐸𝑅)2
Standard deviation 𝜎 = √ 𝑛−1
or √∑(𝑅 − 𝐸𝑅)2 𝑝
𝜎
Coefficient of variation = 𝐸𝑅
Portfolio
ERp =Wa*ERa+Wb*ERa+…..
∑(𝑅𝑎−𝐸𝑅𝑎)(𝑅𝑏−𝐸𝑅𝑏)
𝐶𝑜𝑣𝑎, 𝑏 = or ∑(𝑅𝑎 − 𝐸𝑅𝑎)(𝑅𝑏 − 𝐸𝑅𝑏)𝑝
𝑛−1
𝐶𝑂𝑉𝑎,𝑏
β=
𝜎𝑚2
Required rate of return under capital market line RRR = 𝑅𝐹 + 𝛽𝑝(𝐸𝑅𝑀 − 𝑅𝐹)
𝐸𝑅𝑀−𝑅𝐹
Required rate of return under Security market line = 𝑅𝐹 + 𝜎𝑝 ( )
𝜎𝑚
𝜎𝑏 2 − 𝐶𝑜𝑣(𝑎, 𝑏)
𝑊𝑎 =
𝜎𝑎2 + 𝜎𝑏 2 − 2𝐶𝑜𝑣(𝑎, 𝑏
Example in lecture
PR RA RB RC Rm
0.3 -5% -10% 20% 5%
0.4 10% 10% 10% 10%
0.3 20% 30% -5% 15%
RF= 5%
Solution
Security A
𝜎𝑎2 =0.009525
𝜎𝑎= 0.097596
CV= 1.148189
Covara,m= 0.003750
RRRa= 5%+2.5(10%-5%)=0.175
Security b
ERb= 0.3400
𝜎𝑏 2 =0.0024
𝜎𝑏= 0.04899
CV= 0.144088
Covarb,m= 0
β B,m = 0
ERc= 0.0850
𝜎𝑐 2 = 0.009525
𝜎𝑐= 0.097596
CVc= 1.148189
Covarc,m= -0.003750
β c,m = -2.5
Portfolio A,B
Wa= 0.082111437
Wb=1-0.082111437=0.917888563
ER(a,b)= 0.319061584
Variance =0.002278849
CV= 0.149618
Beta = 1.133333333
0.1−5%
RRR= 5%+0.047737293*(0.03873)=11%