Lecture 9


Example 1


Calculate Ci and C*. Find the weights for the situation if there is a ban on short selling. How
change the weights if SS will be allowed? Calculate return and risk of the portfolio for both
scenarios.



                                             Security

                                                 i


                                                                                                   Return

                                                                                                      v%

                                                                                                    Excessive Return


                                                                                                                          Beta

                                                                                                                        Unsystematic risk

                                                                                                                               v %

1

                                                                                                     15

                                                                                                           10

                                                                                                                            1

                                                                                                                               50

                                                                                                                                                10

                                                 2

                                                                                                     17

                                                                                                           12

                                                                                                                           1,5

                                                                                                                               40

                                                                                                                                                 8

                                                 3

                                                                                                     12

                                                                                                            7

                                                                                                                            1

                                                                                                                               20

                                                                                                                                                 7

                                                 4

                                                                                                     17

                                                                                                           12

                                                                                                                            2

                                                                                                                               10

                                                                                                                                                 6

                                                 5

                                                                                                     11

                                                                                                            6

                                                                                                                            1

                                                                                                                               40

                                                                                                                                                 6

                                                 6

                                                                                                     11

                                                                                                            6

                                                                                                                           1,5

                                                                                                                               30

                                                                                                                                                 4

                                                 7

                                                                                                     11

                                                                                                            6

                                                                                                                            2

                                                                                                                               40

                                                                                                                                                 3

                                                 8

                                                                                                      7

                                                                                                            2

                                                                                                                           0,8

                                                                                                                               16

                                                                                                                                                2,5

                                                 9

                                                                                                      7

                                                                                                            2

                                                                                                                            1

                                                                                                                               20

                                                                                                                                                 2

                                                10

                                                                                                     5,6

                                                                                                           0,6

                                                                                                                           0,6

                                                                                                                                6

                                                                                                                                                1,0

,




Example 2


Repeat the procedure with new input data:



                                             Security

                                                 i


                                                                                                   Return

                                                                                                      v%


                                                                                                          Beta

                                                                                                        Unsystematic risk

                                                                                                               v %


1

                                                                                                     19

                                                                                                            1

                                                                                                               20


2

                                                                                                     23

                                                                                                           1,5

                                                                                                               30


3

                                                                                                     11

                                                                                                           0,5

                                                                                                               10


4

                                                                                                     25

                                                                                                            2

                                                                                                               40


5

                                                                                                     13

                                                                                                            1

                                                                                                               20


6

                                                                                                      9

                                                                                                           0,5

                                                                                                               50


7

                                                                                                     14

                                                                                                           1,5

                                                                                                               30


8

                                                                                                     10

                                                                                                            1

                                                                                                               50


9

                                                                                                     9,5

                                                                                                            1

                                                                                                               50


10

                                                                                                     13

                                                                                                            2

                                                                                                               20


11

                                                                                                     11

                                                                                                           1,5

                                                                                                               30


12

                                                                                                      8

                                                                                                            1

                                                                                                               20


13

                                                                                                     10

                                                                                                            2

                                                                                                               40


14

                                                                                                      7

                                                                                                            1

                                                                                                               20


,