Chapter 5

Question 1

market risk premium

Answer 1

Rm-Rf

Question 2

required rate of return

Answer 2

Rf . beta . average risk premium

Question 3

expected rate of return (r1,r2,r3)

Answer 3

r= (r1 + r2 + … + rn)/n

Question 4

expected rate of return (probability, weight)

Answer 4

r= r1.w1 + r2.w2 +

Question 5

Variance

Answer 5

Phương sai
o Delta bình phương= [(r1 - r)^2 + (r2 - r)^2 +…]/ n-1

o Delta bình phương = w1.(r1 - r)^2 + w2.(r2 - r)^2

Question 6

Standard Deviation

Answer 6

Delta

Question 7

Covariance/Hiệp phương sai

Answer 7

Tương quan giữa 2 biến
>0 cùng chiều
<0 ngược chiều

Question 8

Correlation/Mức độ tương quan (rô)

Answer 8

[-1;1]
Rô AB = Covariance / Delta A.Delta B
= Delta AB/ Delta A.Delta B

Question 9

Expected rate of return Portfolio

Answer 9

Rp= wa.ra + wb.rb

Question 10

Variance Portfolio

Answer 10

wa^2.deltaa^2 + 2wawb.delta ab + wb^2.deltab^2

= 2wa.wb. rô ab . delta a . delta b