2-7 kM increases by 1 percentage point, from 14% to 15%. ki = kRF + (kM - kRF)bi = 10% + (15% - 10%)1.3 = 16.5%. 2. kRF decreases to 8%: kM decreases by 1%, from 14% to 13%. ki = kRF + (kM - kRF)bi = 8% + (13% - 8%)1.3 = 14.5%. c. 1. ki = kRF + (kM - kRF)bi = 9% + (16% - 9%)1.3 = 18.1%. 2. ki = kRF + (kM - kRF)bi = 9% + (13% - 9%)1.3 = 14.2%. 2-19 a. ($1 million)(0.5) + ($0)(0.5) = $0.5 million. b. You would probably take the sure $0.5 million. c. Risk averter. d. 1. ($1.15 million)(0.5) + ($0)(0.5) = $575,000, or an expected profit of $75,000. 2. $75,000/$500,000 = 15%. 3. This depends on the individual’s degree of risk aversion. 4. Again, this depends on the individual. 5. The situation would be unchanged if the stocks’ returns were perfectly positively correlated. Otherwise, the stock portfolio would have the same expected return as the single stock (15 percent) but a lower standard deviation. If the correlation coefficient between each pair of stocks was a negative one, the portfolio would be virtually riskless. Since r for stocks is generally in the range of +0.6 to +0.7, investing in a portfolio of stocks would definitely be an improvement over investing in the single stock. ˆM = 0.1(7%) + 0.2(9%) + 0.4(11%) + 0.2(13%) + 0.1(15%) = 11%. 2-20 a. k kRF = 6%. (given) Therefore, the SML equation is kM decreases to 13%: kM increases to 16%: a. ki = kRF + (kM - kRF)bi = 9% + (14% - 9%)1.3 = 15.5%. b. 1. kRF increases to 10%: ki = kRF + (kM - kRF)bi = 6% + (11% - 6%)bi = 6% + (5%)bi. b. First, determine the fund’s beta, bF. The weights are the percentage of funds invested in each stock. A = $160/$500 = 0.32 B = $120/$500 = 0.24 C = $80/$500 = 0.16 D = $80/$500 = 0.16 E = $60/$500 = 0.12 bF = 0.32(0.5) + 0.24(2.0) + 0.16(4.0) + 0.16(1.0) + 0.12(3.0) = 0.16 + 0.48 + 0.64 + 0.16 + 0.36 = 1.8. Next, use bF = 1.8 in the SML determined in Part a: ˆF = 6% + (11% - 6%)1.8 = 6% + 9% = 15%. k c. kN = Required rate of return on new stock = 6% + (5%)2.0 = 16%. An expected return of 15 percent on the new stock is below the 16 percent required rate of return on an investment with a risk ˆN = 15%, the new stock should not of b = 2.0. Since kN = 16% > kbe purchased. The expected rate of return that would make the fund indifferent to purchasing the stock is 16 percent. 本文来源：https://www.wddqw.com/doc/3b9ab1896f1aff00bed51edf.html