Seminar 05


Example 1

Calculate the optimal weights for the example 1 from seminar 4 if you want to have an expected
return of the portfolio 30 %.


Example 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?



Example 3

Assume following rates of returns:

Year

1

                                                    10

                                                                                                   9

                                                                                                    22



2

                                                    32

                                                                                                  24

                                                                                                    48



3

                                                    20

                                                                                                  14

                                                                                                    30



4

                                                    18

                                                                                                  -2

                                                                                                    -20



5

                                                    17

                                                                                                  16

                                                                                                    29



6

                                                     3

                                                                                                   4

                                                                                                    -3



7

                                                    12

                                                                                                   8

                                                                                                    21



8

                                                    -5

                                                                                                   0

                                                                                                    -15



9

                                                    18

                                                                                                  12

                                                                                                    28



10

                                                    21

                                                                                                  15

                                                                                                    36





Calculate the betas, then decide if the stock in every year is „aggressive“ or „defensive“. Thus
calculate the beta of every stock for 10 years. Draw a chart…