Summary
Samenvatting oefeningen hoofstuk 7 TEM 9 Financieel Management & Investeringsanalyse (006287)
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Samenvatting van de oefeningen van hoofdstuk 7 tot en met 9 gedoceerd door Prof Lieven De Moor.
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Oefeningen FinancieelManagement en
Investeringsanalyse hoofdstuk
7,8&9
2021-2022
, Oefeningen hoofdstuk 7: introductie tot risico
Oefening 14: Portfolio risico
Macaw belegt 60% van haar geld in aandeel A en de rest in aandeel B. De standaardafwijking van het
rendement op A is 10% en op B is dat 20%. Bereken de variantie van het portefeuillerendement, ervan
uitgaande dat:
Aandeel A: xA = 0,60 A = 0,10 → x altijd in decimalen!
Aandeel B: xB = 0,40 B = 0,20 → standaarddeviatie mag in procenten of
decimalen
A) De correlatie tussen de rendementen = +1
➢ Betekent dat je standaarddeviatie gelijk zal zijn aan je gewogen gemiddelde van je
individuele aandelen.
ρIJ = 1
σ 2 =[ x 2σ 2 + x 2σ 2 + 2(x x ρ σ σ )]
p I I J J I J IJ I J
=[(0.60)2(0.10)2 +(0.40)2(0.20)2 +2(0.60)(0.40)(1)(0.10)(0.20)] = 0.0196
➢ Als je in procenten had gewerkt, zou de variantie 196 zijn (in de formule dan niet 0.10 en
0.20 invullen maar gewoon 10 en 20).
➢ Als de vraag zou zijn om standaarddeviatie te berekenen, moet je hier nog de
vierkantswortel van nemen.
B) De correlatie = 0,5
ρIJ =0.50
σ 2 =[ x 2σ 2 + x 2σ 2 + 2(x x ρ σ σ )]
p I I J J I J IJ I J
=[(0.60)2(0.10)2 +(0.40)2(0.20)2 +2(0.60)(0.40)(0.50)(0.10)(0.20)] = 0.0148
➢ Hoe lager de correlatie, hoe meer risico-diversificatie, en dus hoe lager de variantie.
C) De correlatie = 0
ρij = 0
σ 2 =[ x 2σ 2 + x 2σ 2 + 2(x x ρ σ σ )]
p I I J J I J IJ I J
=[(0.60)2(0.10)2 +(0.40)2(0.20)2 +2(0.60)(0.40)(0)(0.10)(0.20)] = 0.0100
2
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