Zitat von
Monseniore Grüny
Wer mag Ergebnisse vergleichen?
Bei a) bin ich mir nicht sicher ob ich das so machen kann mit dem return:
Aufgabe 1:
There are two stocks A and B, both quote today at 120€. The expected quote in three years
is 184€ for A and 178€ for B. The risk (annual standard deviation) is sA = sB = 0,1 and the
correlation is assumed to be rAB=0,2.
a) What is the expected return of a portfolio with 75% A and 25% B?
returnPF = xA* returnA + xB* return
return A: 184-120 = 64 Euro zuwachs; 120 = 100% ; 64 = 53% à 0,53
return B : 178-120 = 58 Euro zuwachs; 120 = 100% ; 58 = 48,3% à 0,483
returnPF = 0,75*0,53 + 0,25*0,483 = 0,52 à 52%
b) What is the risk (in terms of s) of a portfolio with 75% A and 25% B?
riskPF^2 = xA^2*riskA^2 + xB^2*riskB^2 + 2*xA*xB*covAB
CovAB = pAB*riskA*riskB
CovAB = 0,2*0,1*0,1 = 0,002
riskPF^2 = 0,75^2*0,1^2 + 0,25^2*0,1^2 + 2*0,75*0,25*0,002
risk PF^2 = 0,007
riskPF = 0,0837 à 8,37%