6. Calculate the expected rate of return on each alternative. k = expected rate of return. k HT = 0.10(-22%) + 0.20(-2%) + 0.40(20%) + 0.20(35%) + 0.10(50%) = 17.4% . ^ ^
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8. What is the standard deviation of returns for each alternative?
11. Portfolio Risk and Return Assume a two-stock portfolio with $50,000 in HT and $50,000 in Collections. Calculate k p and p . ^
12. Portfolio Return, k p k p is a weighted average: k p = 0.5(17.4%) + 0.5(1.7%) = 9.6% . k p is between k HT and k Coll . ^ ^ ^ ^ ^ ^ ^ ^ k p = w i k i n i = 1
15. Risk 1.Unsystematic Risk : Ex. Business Risk, Financial Risk : Managed by Diversification 2.Systematic Risk : Ex. Market Risk , Interest Rate Risk , Purchasing Power Risk Measurement by Beta which is calculated by : 2.1 Regression Analysis 2.2 Slope of Regression Line ค่าเบต้า แสดงถึงการเปลี่ยนแปลงของอัตราผลตอบแทนของหลักทรัพย์แต่ละชนิดเมื่ออัตราผลตอบแทนของตลาดเปลี่ยนแปลงไป ดังนั้นจึงถือเป็นดัชนีแสดงความเสี่ยงของหลักทรัพย์แต่ละชนิดจากความสัมพันธ์กับตลาดโดยรวม
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20. Required Rates of Return k HT = 8.0% + (7%)(1.29) = 8.0% + 9.0% = 17.0%. k M = 8.0% + (7%)(1.00) = 15.0%. k USR = 8.0% + (7%)(0.68) = 12.8%. k T-bill = 8.0% + (7%)(0.00) = 8.0%. k Coll = 8.0% + (7%)(-0.86) = 2.0%.
21. Calculate beta for a portfolio with 50% HT and 50% Collections b p = Weighted average = 0.5(b HT ) + 0.5(b Coll ) = 0.5(1.29) + 0.5(-0.86) = 0.22 .
22. What is the required rate of return on the HT/Collections portfolio? k p = Weighted average k = 0.5(17%) + 0.5(2%) = 9.5% . Or use SML: k p = k RF + (RP M ) b p = 8.0% + 7%(0.22) = 9.5% .