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某企业拟进行股票投资，现有甲、乙两只股票可供选择，具体资料如下

经济情况概率A股票预期收益率B股票预期收益率
繁荣0.360%50%
复苏0.240%30%
一般0.320%10%
衰退0.2-10%-15%

　　要求：
　　(1)分别计算甲、乙股票收益率的期望值、标准差和标准离差率，并比较其风险大小；
　　(2)如果无风险报酬率为4%，风险价值系数为8%，请分别计算甲、乙股票的必要投资收益率。
　　(3)假设投资者将全部资金按照60%和40%的比例分别投资购买甲、乙股票构成投资组合，已知甲、乙股票的β系数分别为1.4和1.8，市场组合的收益率为10%，无风险收益率为4%，请计算投资组合的β系数和组合的风险收益率；
　　(4)根据资本资产定价模型计算组合的必要收益率。

答案

参考答案：

解析：(1)甲、乙股票收益率的期望值、标准差和标准离差率： 甲股票收益率的期望值：0.3×60%+0.2×40%+0.3×20%+0.2×(-10%)=30% 乙股票收益率的期望值：0.3×50%+0.2×30%+0.3×10%+0.2×(-15%)=21% 甲股票收益率的标准离差率=25.30%/30%=0.84 乙股票收益率的标准离差率=23.75%/21%=1.13 (2)甲、乙股票的必要投资收益率： 甲股票的必要投资收益率=4%+0.84×8%=10.72% 乙股票的必要投资收益率=4%+1.13 ×8%=13.04% (3)投资组合的β系数和组合的风险收益率： 组合的β系数=60%×1.4+40%×1.8=1.56 组合的风险收益率=1.56×(10%-4%)=9.36% (4)组合的必要收益率=4%+9.36%=13.36%

单项选择题

Corzine’s Downfall


The collapse this week of the broker-dealer MF Global and the due punishment of its chief executive Jon Corzine, who resigned Friday, have been and will be put to many political and rhetorical purposes. MF Global’s bankruptcy has been called, possibly, the first domino in a potential collapse of the European banking system; in this rendering, it’s a rough analog to the failure, in the spring of 2008, of Bear Srearns, which warned the chaos of autumn. It might well be cast as a stimulus for more government regulation, or smarter regulation; to some, it might even be a case study in overregulation. Every rationale for regulation seems to contain, as yang to its yin, an argument that regulation is actually to blame.
Corzine’s downfall is an update on Icarus, all illustration of arrogance. It reminds us that leverage kills, that it is dangerous to pick up nickels in front of a steamroller, that risk is risky, that pigs get fat while hogs get slaughtered. It complicates the Democrats’ hopes of controlling anti-Wall Street fervor in the Presidential election, because Corzine has been one of Barack Obama’s most generous supporters-a possible future Treasury Secretary. The Republicans will not soon let this one go.
It certainly further stains the reputation of Goldman Sachs. Corzine, a former C.E.O. of Goldman, took over a company partially owned by the firm of another ex-Goldmanite, Christopher Flowers, and managed, in a year and a half, to destroy it, in part while resisting oversight from a government regulator. That regulator comes from the Commodity Futures Trading Commission, whose chairman, Gary Gensle, is also a Goldman alumnus.
It further damages the perception, or myth, that a becoming-a-partner at Goldman Sachs indicates brilliance, or insures success or a lifetime inclusion in the vampire-squid-piracy, although you can find whisperings of a conspiracy theory that Goldman planted Corzine at MF Global in order to destroy it—a notion that is almost as deceiving as it is ridiculous.
Corzane’s collapse is also an occasion for taking-pleasure-in-others’-suffering. It is an occasion for those among Occupy Wall Street’s 99 per cent, who’d be ready to pitchfork him to pieces. It is also an occasion for the tiny cowering minority, who may resent Goldman for its perceived arrogance or cunning, or who may question the conceited folly and civic harm of Corzine’s spending over a hundred million of his own money to get elected to public office. The sentiment, among his peers, was that Corzine wasn’t so great a trader to begin with. And the sentiment was also that in the years since he had left Goldman, his skills, such as they were, had got rusty or outdated.
It is ironic that Corzine blundered by, and is being criticized for, among other things, betting too unbalancedly on Europe. That is, MF Global was banking on the hope that Portugal, Ireland, Italy, and Greece (whose bonds are collectively known as PIIGS) would not default on their debts by the end of the year. It might have turned out to be a good bet, were it not for the fact that it was made sneakily with money that was borrowed and perhaps even effectively stolen-or for the fact that he basically bet the firm, and the farm. Goldman Sachs, meanwhile, has been criticized, since the housing meltdown of 2008, for having profited from bets against the housing market—for shorting crappy derivatives based on mortgages. That was a good bet, except that Goldman made it while dumping those crappy derivatives on its unwitting clients.

According to the author, Corzine’s failure results from ______.
A. his intensive interest in political reforms
B. his wrong prediction on European debts
C. his definite refusal to official regulations
D. his retarded update of professional skills
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单项选择题

扑救可然气体火灾应选用（）作为灭火剂来灭火。

A.二氧化碳灭火剂

B.7150灭火剂

C.化学泡沫灭火剂

D.水
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