本次会计代写主要为资产评估基础的限时测试
问题 1
您已获得有关 a 的随机分布的以下信息
风险投资、A 股以及收益取决于的市场投资组合
经济增长水平：
的状态
经济
的概率
经济的
状态
返回
资产 A (%)
返回
资产 B (%)
繁荣 0.25 15 10
增长 0.45 10 12
衰退 0.30 -5 -10
1. 计算资产 A 和 B 的预期收益和方差。
2. 计算 A 的收益与 B 的收益之间的相关性。
3. 市场组合由资产 A 的 25% 和资产 B 的 75% 组成。
确定市场投资组合的预期回报和标准差。
4. 假设一项资产的贝塔系数为 0.95，计算其系统风险。
5. 批判性地讨论为什么投资者不应该因为同时面临两者而得到补偿
系统性和非系统性风险。
Question 1
You have been given the following information about the random distributions of a
risky investment, Share A, and the market portfolio whose returns are dependent on
the level of economic growth:
State of
Economy
Probability of
Economic
State
Return on
Asset A (%)
Return on
Asset B (%)
Boom 0.25 15 10
Growth 0.45 10 12
Recession 0.30 -5 -10
1. Calculate the expected return and variance for asset A and B.
2. Calculate the correlation between returns of A and returns of B.
3. The market portfolio is composed 25% of asset A and 75% of asset B.
Determine expected return and standard deviation of the market portfolio.
4. Suppose the beta of an asset is 0.95, calculate its systematic risk.
5. Critically discuss why investors should not be compensated for facing both
systematic and unsystematic risk.