问题 问答题 简答题

计算分析题:

市场上现有A、B两种股票,市价为15元/股和10元/股,β系数为0.8和1.5,目前股票市场的风险收益率为8%,无风险收益率为3%,市场组合收益率的标准差为15%。

要求:

(1)如果分别购买100股,计算资产组合的β系数以及目前的投资必要报酬率;

(2)如果该资产组合收益率与市场组合收益率的相关系数为0.9,A、B收益率的标准差分别为16%和25%,确定A、B收益率的相关系数和组合的协方差。

答案

参考答案:

(1)对A的投资比例 

=100×15/[100×(15+10)]=0.6 

对B的投资比例=1—0.6=0.4 

投资组合的β系数 

=0.6×0.8+0.4×1.5=1.08 

投资组合必要报酬率 

=3%+1.08×8%=11.64% 

(2)该资产组合收益率的标准差 

=1.08X15%/0.9=18% 

18%×18%=0.6×0.6×16%X16%+2×0.6×0.4×r×16%×25%+0.4×0.4×25%×25% 

即:324=92.16+192×r+100 

解得:r=0.69 

协方差=0.69×16%×25%=2.76%

阅读理解

Mrs White was going to have her first baby very soon. Yesterday her husband took her to a hospital.So Mr White helped her get into car and drove her there. A nurse (护士)took Mrs White to her room and told Mr White that he could go home and she could call him when the baby arrived(出生). But Mr White said he liked to wait at the hospital. The nurse said .“You may wait outside.” Mr White was walking up and down at about midnight(午夜)when the nurse came out of the room and said with a smile.“Which would you like better, a boy or a girl?”“A girl,” said Mr White.“I have an elder sister,and she loves me.”“Well,”said the nurse,”“it’s a boy this time.”“That’s all right,”said Mr White happily,“That’s my second choice.”

小题1: Why did Mr White take Mrs White to a hospital?

Because they wanted to see an old friend.

Because they wanted to give their child something.

Because Mrs White was going to have her first baby very soon.

Because they needed some help.

小题2: Mr White was______ all the time.

A.Waiting outside

B.staying with Mrs White

C.waiting at home

D.helping the nurse小题3: Why did Mr White like to have a girl?

A.because the girl looked like him.

B.Because his elder sister loved him.

C.Because the girl looked like Mrs White.

D.Because he didn’t have much time to look after a boy.小题4: Mr White _______.

A.had a boy

B.had a girl

C.had a boy and a girl

D.told the nurse that Mr White wanted a boy小题5: Which of the following is NOT wrong?

A.Mr White didn’t like to have wrong.

B.Mrs White told Mr White that they had a baby.

C.Mr White was very happy that he had a baby.

D.Mr White went to the hospital by bus.

单项选择题 A1/A2型题