（英文）投资学问题。在线等。Dividend yields and expected capital gains

显示全部楼层 · 2010-9-9 16:33:27

Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 11% and 14%, respectively. The beta of A is 0.8, while that of B is 1.5. The T-bill rate is currently 6%, whereas the expected rate of return of the S&P 500 index is 12%. The standard deviation of portfolio A is 10% annually, that of B is 31%, and that of the S&P 500 index is 20%.
a. If you currently hold a market-index portfolio, would you choose to add either of these portfolios to your holdings? Explain.
b. If instead you could invest only in T-bills and one of these portfolios, which would you choose? Why?

千问 · 2010-9-9 16:33:27

the question is seems simple,but the answer may complicated.from my point view,1.i would choose A,because it has largest sharp ratio compare to both the Porfolio B and market return.2.question b is based on the risk aversion of different people. someone may choose a high yield on,and requir for better compensate.ho