0.20=r+14× 1.2 Solving the above equations gives r=6%and rM=16% c. Possible The capital market line(CML)is h=010+018-0 Gp=0.10+033330 0.24 The expected return on an efficient portfolio with a standard deviation of 0.12 is rp=0.10+0.333×0.12=14.0% Therefore, portfolio B is an inefficient portfolio d. Impossible. Portfolio b has a lower standard deviation but a higher expected return than the market portfolio, implying the market portfolio is not efficient Question 5 a. Applying the SML gives p=r+B(-r)=→020=008+B(03-008) Pe 2.4 b. Applying the CMl gives p=r+M 0.13-0.08 G,→0.20=0.08+ 0.25 0.60 c. The correlation coefficient is given by Pe PpMo →2.4 Pp×0.60 0.25 Question 6 a)rmt=r+pmr(M=r)=6%+0.83×(15%-690)=1347% b)mm=r+B.am:(M-1)=6%+1.12×(15%-6%)=1608%0 ◎徐信忠 MBA公司财务学© 徐信忠 MBA 公司财务学 5 ( ) ( ) f M f f M f r r r r r r = +  − = +  − 0.18 1.2 0.20 1.4 Solving the above equations gives rf = 6% and rM = 16% c. Possible. The capital market line (CML) is p P P r  0.10 0.3333 0.24 0.18 0.10 0.10 = + − = + The expected return on an efficient portfolio with a standard deviation of 0.12 is rP = 0.10 + 0.33330.12 =14.0% Therefore, portfolio B is an inefficient portfolio. d. Impossible. Portfolio B has a lower standard deviation but a higher expected return than the market portfolio, implying the market portfolio is not efficient. Question 5 a. Applying the SML gives ( ) 0.20 0.08 (0.13 0.08) rP = rf +  P rM − rf  = +  P −  P = 2.4 b. Applying the CML gives P P M M f P f r r r r    0.25 0.13 0.08 0.20 0.08 −  = + − = +  P = 0.60 c. The correlation coefficient is given by 0.25 0.60 2.4  =  = PM M PM P P       PM = 1 Question 6 a) rwinter = rf +  winter (rM − rf ) = 6% + 0.83 (15% − 6%) = 13.47% b) rsummer = rf +  summer (rM − rf ) = 6% +1.12 (15% − 6%) = 16.08%