Contenu connexe
Similaire à Riskfree lending and borrowing
Similaire à Riskfree lending and borrowing (20)
Riskfree lending and borrowing
- 1. Securities Expected Return Standard Deviation
X 20 15
Rf 8 0
Riskfree Lending
Portfolios X Rf Expected Return Standard Deviation
A 0 1 8.00 0.00
B 0.25 0.75 11.00 3.75
C 0.5 0.5 14.00 7.50
D 0.75 0.25 17.00 11.25
E 1 0 20.00 15.00
F 1.25 -0.25 23.00 18.75
G 1.50 -0.50 26.00 22.50 35
H 1.75 -0.75 29.00 26.25
30
I 2.00 -1.00 32.00 30.00
25
20
15
10
5
Security ER 0
X 20.00 0 5
Y 25.00
Rf 8.00 30
25
Variance-Covariance Matrix 20
146 187 15
187 854 10
5
0
10 15 20 25
Proportion
X Y Rf ER(P) Er of Risky SD
0.8 0.2 0 21 21 13.69
0.25 0.25 0.5 15.25 11.25 9.27
0.35 0.35 0.3 18.15 15.75 12.97
0.1 0.1 0.8 10.9 4.5 3.71
- 2. 35
30
25
20
15
10
5
0
0 5 10 15 20 25 30 35
Column K
10 15 20 25 30 35
1 0 20 12.08
0.75 0.25 21.25 14.34
0.5 0.5 22.5 18.53
0.25 0.75 23.75 23.66
0 1 25 29.22
- 3. Rf 8
E(Rm) 18
Beta E(Ri)
0.5 13
0.9 17
1.1 19
1.4 22
1.5 23
1.9 27
2 28
E(Ri)
30
25
20
15 E(R
10
5
0
0.5 0.9 1.1 1.4 1.5 1.9
- 5. ER Var
Rf 8% 0%
X 12% 0%
Probability of Occurrence T-Bills
0.05 0.08
0.2 0.08
0.5 0.08
0.2 0.08
0.05 0.08
- 6. sd Cov Correlation
0 0 #DIV/0!
0.05
Equity B Devg of Rf Devg of X Codeviation
-0.02 0 0 0
0.09 0 0 0
0.12 0 0 0
0.15 0 0 0
0.26 0 0 0
- 8. Portfolio Wt of Rf Wt of X ER (P) SD (P)
1 100% 0% 8.00% 0.00% 0 0.00%
2 80% 20% 8.80% 0.96% 0 0.96%
3 60% 40% 9.60% 1.93% 0 1.93%
4 40% 60% 10.40% 2.89% 0 2.89%
5 20% 80% 11.20% 3.85% 0 3.85%
6 0% 100% 12.00% 4.82% 0 4.82%