UTS IPMA
9
State of Economy Ra te o f ret ur Saham A Recession 0.17 -0.12 Normal 0.65 0.25 Boom 0.3 0.63 a. E!ecte" return #-e!ecte" return saham A `=(0,17 x -0,12) + (0,65x0,25) + (0, `= -0,0204 + 0,1625 + 0,189 0.3311 33.11% `- expected return saham `=(0,17 x 0,24) + (0,65x0,35) + (0, `= 0,0408 + 0,2275 + 0,129 0.3973 39.73% saham ! `=0,17 x (-0,12 - 0,3311)"2 + 0,65 0,0346+0,0043+0,027 #ar$ans 0%0656710552 &' `=0,065671055"0,5 0.2562636439 25.62% saham `=0,17 x (0,24 - 0,3973)"2 + 0,65 x 0,004206+0,001454+0,000321 #ar$ans 0%0059813848 &' 0,005981385 0.077339413 7.73% saham ! 25000 0%83 saham 5000 0%17 30000 expected prt*$ `= 0,83x(0,311)+0,17x(0,3973) 32.57% c# saham ! dan `=0,17 x (-0,12-0,3311) x (0,24-0,3 0%6293381936 62%93 ar `=(0,83)"2 x 0,2562 + (0,17)"2 x 0 0%1843229602 &' 0.4293284991 42.93% saham ! 17000 0%57 saham 13000 0%43 30000 expected prt*$ `= 0,57x(0,311)+0,43x(0,3973) 34%81 c# saham ! dan `=0,17 x (-0,12-0,3311) x (0,24-0,3 $ro%a%ility of state of economy Cov(R A ,R B ) = σ A,B Cov(R A ,R B ) = σ A,B
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Transcript of UTS IPMA
7/26/2019 UTS IPMA
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State of Economy
Rate of retur
Saham A
Recession 0.17 -0.12
Normal 0.65 0.25
Boom 0.3 0.63
a. E!ecte" return
#-e!ecte" return saham A `=(0,17 x -0,12) + (0,65x0,25) + (0,
`= -0,0204 + 0,1625 + 0,189
0.3311 33.11%
`- expected return saham `=(0,17 x 0,24) + (0,65x0,35) + (0,
`= 0,0408 + 0,2275 + 0,129
0.3973 39.73%
saham ! `=0,17 x (-0,12 - 0,3311)"2 + 0,65
0,0346+0,0043+0,027
#ar$ans 0%0656710552
&' `=0,065671055"0,5
0.2562636439 25.62%
saham `=0,17 x (0,24 - 0,3973)"2 + 0,65 x
0,004206+0,001454+0,000321
#ar$ans 0%0059813848
&' 0,005981385
0.077339413 7.73%
saham ! 25000 0%83
saham 5000 0%17
30000
expected prt*$
`= 0,83x(0,311)+0,17x(0,3973) 32.57%
c# saham ! dan
`=0,17 x (-0,12-0,3311) x (0,24-0,3
0%6293381936
62%93ar `=(0,83)"2 x 0,2562 + (0,17)"2 x 0
0%1843229602
&' 0.4293284991 42.93%
saham ! 17000 0%57
saham 13000 0%43
30000
expected prt*$
`= 0,57x(0,311)+0,43x(0,3973) 34%81
c# saham ! dan
$ro%a%ility of state ofeconomy
Cov(RA,R
B) = σ
A,B
Cov(RA,R
B) = σ
A,B
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0%6293381936
62%93
ar `=(0,57)"2 x 0,2562 + (0,43)"2 x 0
0%1072526178
&' 0.3274944546 32.75%
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if state occurs
Saham B
0.2& expected return ! 33%11
0.35 expected return 25%62
0.&3 #ar ! 0%065671
#ar 0%005981
sd ! 25%62
3x0,63) sd 7%73
x0,43)
(0,25-0,3311)"2 + 0,3 x (0,63-0,3311)"2 0%034594
0%004275
0%026802
(0,35-0,3973)"2 + 0,3 x (0,43-0,3973)"2 0%024743 0%004206
0%002237 0%001454
0%001069 0%000321
73) + 0,65 x (0,25-0,3311) x (0,35-0,3973) + 0,3 x (63-0,3311) x (0,43-0,397
,07734 +2.(0,83)(0,17)(0,2562)(0,07734)
Σ pi(R
Ai- E[R
A])(R
Bi- E[R
B])
Σ pi(R
Ai- E[R
A])(R
Bi- E[R
B])
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,07734 + 2 x (0,57)(0,43)(0,2562)(0,07734)
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/% 'ana 30%000 &', saham ! 25%000&' saham 5%000&'
expected return dan res$ prt*$
)
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Rf 7
S' Rf 0
rm 11
&' m 8
a%m/$nas$ 50 /e/as res$ 50 prt*$
$n#estas$ *ree 50%00 3%50$n#estas$ p 50 5%50
9%00
/% $s *ree 40 prt *$ 60
$n#estas$ *ree 40%00 2%80
$n#estas$ p 60 6%60
9%40
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#ar $ 4%00 / $ 3.31
&t' m 11%00
/ nas$ -1%40 * 4
/ ': 1%75
/ ;urs 0%70
xpected !ctua <nas$ 7%00 11%00 4.00%
': 7%00 4%20 -2.80%
;urs 10%00 4%00 -6.00%
() 2.5%
$s *ree + (eta $ x $s <ree) + (/eta n* x <act nas$) + (/eta ': x <act
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':) + (/eta ;urs x <act urs)
