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发布时间：2023-10-11 16:52:57

2-8$142,500$7,500(b+(1.00$150,000$150,0001.12=0.95b+0.051.07=0.95b1.1263=b.Oldportfoliobeta=Newportfoliobeta=0.95(1.1263+0.05(1.75=1.15751.16.AlternativeSolutions:1.Oldportfoliobeta=1.12=(0.05b1+(0.05b2+...+(0.05b201.12=(b(0.05ibi=1.12/0.05=22.4.Newportfoliobeta=(22.4-1.0+1.75(0.05=1.15751.16.2.biexcludingthestockwiththebetaequalto1.0is22.4-1.0=21.4,sothebetaoftheportfolioexcludingthisstockisb=21.4/19=1.1263.Thebetaofthenewportfoliois:1.1263(0.95+1.75(0.05=1.15751.16.2-9Portfoliobeta=$400,000$600,000(1.50+(-0.50$4,000,000$4,000,000+(0.5(0.75=0.15-0.075+0.3125+0.375=0.7625.kp=kRF+(kM-kRF(bp=6%+(14%-6%(0.7625=12.1%.Alternativesolution:First,calculatethereturnforeachstockusingtheCAPMequation[kRF+(kM-kRFb],andthencalculatetheweightedaverageofthesereturns.kRF=6%and(kM-kRF=8%.$1,000,000$2,000,000(1.25+(0.75$4,000,000$4,000,000bp=(0.1(1.5+(0.15(-0.50+(0.25(1.25+
StockInvestmentBetak=kRF+(kM-kRFbWeightA$400,0001.5018%0.10B600,000(0.5020.15C1,000,0001.25160.25D2,000,0000.75120.50Total$4,000,0001.00kp=18%(0.10+2%(0.15+16%(0.25+12%(0.50=12.1%.2-17Step1:DeterminethemarketriskpremiumfromtheCAPM:0.12=0.0525+(kM-kRF1.25(kM-kRF=0.054.Step2:Calculatethebetaofthenewportfolio:Thebetaofthenewportfoliois($500,000/$5,500,000(0.75+($5,000,000/$5,500,000(1.25=1.2045.Step3:Calculatetherequiredreturnonthenewportfolio:Therequiredreturnonthenewportfoliois:5.25%+(5.4%(1.2045=11.75%.2-18Afteradditionalinvestmentsaremade,fortheentirefundtohaveanexpectedreturnof13%,theportfoliomusthaveabetaof1.5455asshownbelow:13%=4.5%+(5.5%bb=1.5455.Sincethefund’sbetaisaweightedaverageofthebetasofalltheindividualinvestments,wecancalculatetherequiredbetaontheadditionalinvestmentasfollows:($20,000,000(1.5$5,000,000X1.5455=+$25,000,000$25,000,0001.5455=1.2+0.2X0.3455=0.2XX=1.7275.2-19a.($1million(0.5+($0(0.5=$0.5million.b.Youwouldprobablytakethesure$0.5million.c.Riskaverter.d.1.($1.15million(0.5+($0(0.5=$575,000,oranexpectedprofitof$75,000.2.$75,000/$500,000=15%.3.Thisdependsontheindividual’sdegreeofriskaversion.

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