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a) If the expected rate of return on the market is 14% and the risk free rate is 6%, find the beta for a portfolio that has an expected rate of return of 10%. What assumptions concerning this portfolio and/or market conditions do you need to make to calculate the portfolios beta?


b) What percentage of this portfolio must an individual put into the market portfolio in order to achieve an expected return of 10%? Suppose that securities (divisible assets) are priced as if they traded in a two parameter economy. You have forecast the correlation coefficient between the rate of return on a Mutual fund (K) and the market portfolio as being 0.8. Your forecast of the standard deviation of the rates of return is 0.25 for the mutual fund and 0.20 for the market portfolio. How would you combine the mutual fund and a riskless security to obtain a portfolio with a beta of 1.6?


书上的练习题，讲义里没有例题。。。第一次接触，很生触。。。  跪求高手解答！！

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关键词：求高手解答 CAPM cap APM 求高手 individual concerning percentage expected achieve

1、CAPM模型及其条件；
2、风险资产与无风险资产组合，Beta值的计算及应用

不懂---------

beta 等于 0，5  你的portfolio 的期望回报 和市场期望汇报的 相关性等于1 也就是rhÔ 等于1， 我解释的可能不是 很清楚 ，我不知道中文是怎么翻译的

我后面解释的是需要的条件

呵呵看了会电视 ，对于第二个问，我想问一下 the risk free and the expected rate of return on the first question are the same for the second one? i dont know the are from the same exercice or not

They are the same as the second one.

如果我理解的题目没有问题的话，第二个题目你应该用ρ和两个波动σ1σ2 先算出β1，然后得出β＝1，代入公式
E(Rp)=Rf+β(ERm-Rf) then ,you can get E(Rp), after that you use this one : 10%=x E(Rp)+(1-x)6%, you get the percentage is 50%, after that you use β=1.6 to do it again , you get x* =31.25%, i think here no matter what's the value of β, at last,you should have a portfolio about 10% of rate of return