Summary
Samenvatting oefeningen hoofstuk 7 TEM 9 Financieel Management & Investeringsanalyse (006287)
- Course
- Institution
Samenvatting van de oefeningen van hoofdstuk 7 tot en met 9 gedoceerd door Prof Lieven De Moor.
[Show more]
Seller
Follow
Phaedrabvn
Reviews received
Content preview
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
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through EFT, credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying this summary from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller Phaedrabvn. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy this summary for R96,97. You're not tied to anything after your purchase.
Can Stuvia be trusted?
4.6 stars on Google & Trustpilot (+1000 reviews)
78252 documents were sold in the last 30 days
Founded in 2010, the go-to place to buy summaries for 14 years now