Market Security ri risk "CorrelationA,B" I A 0.22 0.3 0.15 B 0.31 0.32 II A 0.26 0.29 -0.06 B 0.34 0.33 III A 0.18 0.2 0.09 B 0.41 0.38 I.Market covar_m 0.09 0.0144 0.0144 0.1024 VRS 0.18 0.0288 1 0.22 0 0.0288 0.2048 1 0.31 0 1 1 0 0 1 0.22 0.31 0 0 0.3 Inv_M Wi 0.111111111 0.888888889 0 2.52323E-15 3.444444444 -11.11111111 w1 0.111111111 0 -2.52323E-15 -2.444444444 11.11111111 w2 0.888888889 0.001111111 0.001422222 3.444444444 -2.444444444 -2.874320988 10.56691358 lambda1 0.295753086 0.001422222 0.080908642 -11.11111111 11.11111111 10.56691358 -40.39506173 lambda2 -1.551604938 Var_P 0.084864198 Proof 1 0.0228 0.092622222 Rp 0.3 0.084864198 0.291314602 Risk_p 0.291314602 II.Market covar_m 0.0841 -0.005742 -0.005742 0.1089 VRS 0.1682 -0.011484 1 0.26 0 -0.011484 0.2178 1 0.34 0 1 1 0 0 1 0.26 0.34 0 0 0.3 Inv_M Wi 0.5 0.5 0 -3.8737E-15 4.25 -12.5 w1 0.5 0 3.8737E-15 -3.25 12.5 w2 0.5 0.004672222 -0.002552 4.25 -3.25 -5.6558705 18.860375 lambda1 0.002242 -0.000319 0.0484 -12.5 12.5 18.860375 -63.90125 lambda2 -0.31 Var_P 0.050201222 Proof 1 0.039179 0.051579 Rp 0.3 0.045379 0.213023473 Risk_p 0.224056293 II.Market covar_m 0.04 0.00684 0.00684 0.1444 VRS 0.08 0.01368 1 0.18 0 0.01368 0.2888 1 0.41 0 1 1 0 0 1 0.18 0.41 0 0 0.3 Inv_M Wi 0.47826087 0.52173913 0 8.07083E-16 1.782608696 -4.347826087 w1 0.47826087 0 -8.07083E-16 -0.782608696 4.347826087 w2 0.52173913 0.002125604 0.002907826 1.782608696 -0.782608696 -0.392929149 1.450147448 lambda1 0.042115085 0.000396522 0.066968116 -4.347826087 4.347826087 1.450147448 -6.454442344 lambda2 -0.486185255 Var_P 0.072398068 Proof 1 0.02269913 0.078610435 Rp 0.3 0.051870246 0.227750402 Risk_p 0.26906889 ##### Sheet/List 2 ##### The betas of the following four stocks are: . Assume that the market is in equilibrium with available risk-free asset of 6 %. . What will bet he expected return of every of this stocks? CAPM beta1 1.235 Rm 0.14 ri beta2 0.268 rf 0.06 ri=rf+beta*(Rm-rf) beta3 1.997 beta4 2.45 ri 1 0.1588 2 0.08144 3 0.21976 4 0.256 ##### Sheet/List 3 ##### rf 7 Year Stock_i Stock_j 1 10 9 22 0.666666667 5 defensive aggresive 2 32 24 48 0.68 1.64 defensive aggresive 3 20 14 30 0.538461538 1.769230769 defensive aggresive 4 18 -2 -20 -0.818181818 -2.454545455 defensive aggresive 5 17 16 29 0.9 2.2 defensive aggresive 6 3 4 -3 0.75 2.5 defensive aggresive 7 12 8 21 0.2 2.8 defensive aggresive 8 -5 0 -15 0.583333333 1.833333333 defensive aggresive 9 18 12 28 0.454545455 1.909090909 defensive aggresive 10 21 15 36 0.571428571 2.071428571 defensive aggresive E(rm) 14.6 10 17.6 Covar "i,m" "j,m" 61.44444444 166.3777778 Rf 0 7 VarM 105.3777778 105.3777778 14.6 beta_i beta_j 0.583087305 1.578869675 Ri i j CAPM 11.43146352 18.99940953 risk return 61.44444444 11.43146352 166.3777778 18.99940953 risk return i 0.583087305 11.43146352 j 1.578869675 18.99940953