You would like to combine a risky stock X with a beta of 1.68 with US Treasury bills in such a way that the risk level of the portfolio is equivalent to the risk level of the market portfolio. What percentage of the portfolio should be invested in the risky stock?
Thank you for helping!
How to calculate the percentage of portfolio?
2013-12-14 8:16 am
回答 (9)
2013-12-14 1:25 pm
✔ 最佳答案
If you are familiar with the Security Market Line (SML) used in the Capital Asset Pricing Model (CAPM), you know that the risk free rate plots ON the y-intercept at a beta of 0. Since the market beta is 1, you want to weight your portfolio such that...(weight of risk free asset x 0) + (weight of stock X * stock X ß) = 1
reducing the above equation...
[where w = weight]
wX * ßX = 1
so...
1 / ßX = wX
1 / 1.68 = 0.59524, or 59.524% should be in stock X,
with the remainder ( 1 - 0.59524) = 0.40476, or 40.476% in the risk free asset (Tbill)
Thus your Portfolio beta = market beta = 1
(wRiskFree * ßRiskFree) + (wX * ßX) = 1
[(0.40476 * 0) + (0.59524 * 1.68) = 1
2017-03-12 6:49 am
Eat something before heading out, like a number of almonds, so you don't get to the restaurant famished.
2016-12-27 9:30 am
Set up reminders on your computer or phone every hour to encourage you to ultimately get up, walk around, along with stretch.
2016-07-02 7:18 am
Eat in front of a person rather than a screen. It cuts down on mindless eating and makes you more accountable for each nip.
2016-04-22 2:52 am
small carb plus calorie counting is the way to go
2016-02-26 12:38 pm
Check out menus online before heading out so you then have a few healthy options in intellect.
2016-02-14 9:27 am
If you’re supplementing, the minerals and vitamins most likely to rev upward your metabolic engine are W complex, magnesium, copper, selenium, chromium and manganese. But don’t overdo the idea, find foods that are rich sources of each. Nuts and seeds inside a small handful are perfect, states that Stephanie Karl, Nutritionalist at the actual Dubai London Clinic.
2016-01-28 4:50 pm
Inform friends, family and work co-workers that you’re dieting. Support in the people around you keeps an individual motivated, stops you from cheating as well as makes it less likely that you're going to fall off the wagon.
2013-12-15 3:45 am
Weight in stock market times beta of 1.68 plus weight in risk free treasury bills times beta of 0 equals 1. This is because the stock market has a beta of 1. The part if the equation dealing with the risk free treasury rate drops out .
So. 1.68x=1
1/1.68 will be your answer. Do the math. Your answer will be about 60%.
So. 1.68x=1
1/1.68 will be your answer. Do the math. Your answer will be about 60%.
收錄日期: 2021-04-23 13:40:08
原文連結 [永久失效]:
https://hk.answers.yahoo.com/question/index?qid=20131214001604AAof49w