问题已解决
乙种投资组合的风险收益率为7.4%。同期市场上所有股票的平均收益率为12%,无风险收益率为4%。贝塔系数和必要收益率怎么算
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同学,你好!稍等需要计算下
2022 03/20 15:00
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2022 03/20 15:03
必要收益率=无风险收益率+风险收益率=4%+7.4%=11.4%
风险收益率=7.4%=贝塔系数*(市场平均收益率-无风险收益率)=贝塔系数*(12%-4%),得贝塔系数=0.925
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2022 03/20 17:17
【计算题】甲公司持有A、B两种证券构成的投资组合,假定资本资产定价模型成立。其中A证券的必要收益率为21%、β系数为1.6;B证券的必要收益率为30%,β系数为2.5。公司拟将C证券加入投资组合以降低投资风险,A、B、C三种证券的投资比重设定为2.5:1:1.5,并使得投资组合的系数为1.75。
要求:
(1)计算无风险收益率和市场组合的风险收益率。
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2022 03/20 17:18
这个怎么做
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2022 03/20 17:20
同学,你好根据规定新的问题需要在平台重新提问
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2022 03/20 17:26
A证券:21%=无风险收益率+1.6*(市场平均收益率-无风险收益率)
B证券:30%=无风险收益率+2.5*(市场平均收益率-无风险收益率)
根据以上两个等式求得:市场平均收益率-无风险收益率=10%
则,无风险收益率=5%
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2022 03/20 17:27
市场组合的风险收益率=5%+1.75*(市场平均收益率-无风险收益率)=22.5%
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2022 03/20 17:28
不好意思,更正一下
市场组合的风险收益率=1.75*(市场平均收益率-无风险收益率)=17.5%
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2022 03/20 19:34
A证券:21%=无风险收益率+1.6*(市场平均收益率-无风险收益
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2022 03/20 19:34
这个公式可以算下吗
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2022 03/20 19:35
用数字为什么等于10
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2022 03/20 19:47
资本资产定价模型
必要收益率=无风险收益率+风险收益率
=无风险收益率+贝塔系数*(市场平均收益率-无风险收益率)
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2022 03/20 19:50
A证券:21%=无风险收益率+1.6*(市场平均收益率-无风险收益率)
B证券:30%=无风险收益率+2.5*(市场平均收益率-无风险收益率)
上述两个等式相减
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2022 03/20 19:53
得:9%=0.9*(市场平均收益率-无风险收益率)
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2022 03/20 19:53
谢谢老师
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2022 03/20 19:54
不客气,有空给个好评吧,多谢支持
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2022 03/20 20:05
市场组合的风险收益率=10%
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2022 03/20 20:05
组和收益怎么算
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2022 03/20 20:08
贝塔系数*(市场平均收益率-无风险收益率)
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2022 03/20 20:13
系数是1.75×(X一5%)是吧
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2022 03/20 20:15
同学,你好!上面都有的哦
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2022 03/20 20:16
请查看如下图片所示
FAILED
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2022 03/20 20:18
结果算出来0.81
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2022 03/20 20:20
那请同学把自己的等式列出来一下吧
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2022 03/20 20:50
1.75×(X一5%)=1.75/0.05
=0.81结果对不上
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2022 03/20 20:51
同学自己的等式有问题
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2022 03/20 20:53
市场平均收益率-无风险收益率=10%
市场组合的风险收益率=1.75*(市场平均收益率-无风险收益率)=17.5%
以上我都在上面回答了