Professional Documents
Culture Documents
Problems 1-28
Input boxes in tan Output boxes in yellow Given data in blue Calculations in red Answers in green NOTE: Some functions used in these spreadsheets may require that the "Analysis ToolPak" or "Solver Add-In" be installed in Excel. To install these, click on the Office button then "Excel Options," "Add-Ins" and select "Go." Check "Analyis ToolPak" and "Solver Add-In," then click "OK."
require that
Chapter 13
Question 1 Input area:
$ $
Output area:
Chapter 13
Question 2 Input area:
$ $
Output area:
Chapter 13
Question 3 Input area:
Output area:
Portfolio E(R)
11.60%
Chapter 13
Question 4 Input area:
Output area:
Chapter 13
Question 5 Input area:
Output area:
Chapter 13
Question 6 Input area:
Output area:
Chapter 13
Question 7 Input area:
Output area:
Standard Deviation =
Standard Deviation =
Squared Deviation Product 0.00126 0.000189038 0.00003 1.96625E-05 0.00198 0.00039605 Variance = 0.00060
Squared Deviation Product 0.07868 0.011802038 0.00009 5.86625E-05 0.03222 0.00644405 Variance = 0.01830
Chapter 13
Question 8 Input area:
Output area:
Portfolio E(R)
15.05%
Chapter 13
Question 9 Input area:
Output area:
a.
b.
Chapter 13
Question 10 Input area:
Output area:
Squared Deviation Product 0.08564 0.012846603 0.00199 0.00089713 0.02201 0.007702703 0.05825 0.002912491 Variance = 0.02436
Standard Deviation =
Chapter 13
Question 11 Input area:
Output area:
Portfolio E(R)
1.15
Chapter 13
Question 12 Input area:
Weight of risk-free Weight of Stock A Weight of Stock B Beta of risk-free Beta of Stock A Beta of Portfolio
Output area:
Beta of Stock B
1.62
Chapter 13
Question 13 Input area:
Output area:
Stock E(R)
11.29%
Chapter 13
Question 14 Input area:
Output area:
Stock beta
0.67
Chapter 13
Question 15 Input area:
Output area:
Market E(R)
12.34%
Chapter 13
Question 16 Input area:
Output area:
Risk-free
5.94%
Chapter 13
Question 17 Input area:
Stock beta Stock E(R) Risk-free return a. b. c. d. Weight of stock Portfolio beta Portfolio E(R) Portfolio beta
Output area:
a. Portfolio E(R) b. Weight of stock Weight of risk-free c. Weight of stock Portfolio beta b. Weight of stock Weight of risk-free
The portfolio is invested 200.00% in the stock and -100.00% in the risk-free asset. This represents borrowing at the risk-free rate to buy more of the stock.
Chapter 13
Question 18 Input area:
Output area:
Slope of SML =
0.0792
Weight of W Portfolio E(R) 0.00% 5.30% 25.00% 7.78% 50.00% 10.25% 75.00% 12.73% 100.00% 15.20% 125.00% 17.68% 150.00% 20.15%
Chapter 13
Question 19 Input area:
Stock Y beta Stock Y E(R) Stock Z beta Stock Z E(R) Risk-free rate Market risk premium
Output area:
SML reward-to-risk Reward-to-risk ratios Stock Y Stock Z Return predicted by CAPM Stock Y Stock Z Stock Y is Stock Z is
0.0750
0.0808 0.0586
Chapter 13
Question 20 Input area:
Stock Y beta Stock Y E(R) Stock Z beta Stock Z E(R) Market risk premium
Output area:
Risk-free rate
4.63%
Chapter 13
Question 21 Input area:
Large-company stocks Long-term government bonds Small company stock Treasury bills
Output area:
Large-company stocks and long-term government bonds portfolio Small company stocks and Treasury bill portfolio
9.05%
10.45%
Chapter 13
Question 22 Output area:
Chapter 13
Question 23 Input area:
3.80% 3.50%
Output area:
Squared Deviation Product 0.03565 0.012475904 0.00054 0.00026912 0.13191 0.019787136 Variance = 0.03253
Standard Deviation b. Expected risk premium c. Approximate expected real return Exact expected real return Approximate expected real risk premium Exact expected real risk premium
Chapter 13
Question 24 Input area:
Portfolio beta Total investment Asset Stock A Stock B Stock C Risk-free asset
$ $
Output area:
Chapter 11
Question 25 Input area:
Total investment Portfolio E(R) Stock X E(R) Stock X beta Stock Y E(R) Stock Y beta
Output area:
Weight of Stock X Weight of Stock Y Dollar amount in X Dollar amount in Y Portfolio beta
Chapter 11
Question 26 Input area:
Output area:
Standard Deviation = Stock I beta = Stock II Recession Normal Boom Probability 0.25 0.50 0.25
Although Stock II has more total risk than Stock I, it has much less systematic risk, since its beta is smaller than I's. Thus I has more systematic risk, and II has more unsystematic and total risk. Since unsystematic risk can be diversified away, I is actually the "riskier" stock despite the lack of volatility in its returns. Stock I will have a higher risk premium and a greater expected return.
Chapter 13
Question 27 Input area:
Output area:
5.59%
11.23% 11.23%
Chapter 13
Question 28 Input area:
Output area:
a.
Return (0.08) 0.13 0.48 E(R) = Return (0.05) 0.14 0.29 E(R) =
Product (0.0120) 0.0910 0.0720 15.10% Product (0.0075) 0.0980 0.0435 13.40%
b.
Slope of SML