四、计算分析题
1. [答案]:
(1)这四种股票的预期收益率分别为:
KA=8%+0.7×(15%-8%)=12.9%
KB=8%+1.2×(15%-8%)=16.4%
KC=8%+1.6×(15%-8%)=19.2%
KD=8%+2.1×(15%-8%)=22.7%
(2)A股票价值
=4×(1+6%)/(12.9%-6%)=61.45(元)
A股票可以购买。
(3)ABC组合的β系数
=0.7×(5÷10)+1.2×(2÷10)+1.6×(3÷10)=1.07
ABC组合必要收益率
=8%+1.07×(15%-8%)=15.49%
(4)BCD组合的β系数
=1.2×(3÷10)+1.6×(2÷10)+2.1×(5÷10)=1.73
ABC组合必要收益率
=8%+1.73×(15%-8%)=20.11%
(5)该投资者为降低投资风险,应选择ABC投资组合.
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