c)BGladviner=o winter winter Bum=40%×0.83+60%×1.12=1.004 rglatvinner=r+Bamr:(n-r)=6%+1004×(15%-6%)=15036% Gladwinner 40%×13.47%+60%×16.08%=15036% d) because the firm has no debt the beta and expected return on its equity is just the same with those on its assets. Therefore, the answers are the same with c) a)Correct. Since p=-1, then we have o,=w202+w202-2ww20,02=w,0,-w20 It's easy to see that we can always turn o, into zero by adjusting the size of w, and w b)Not correct. Note that o w,COV(R,Rp) c)Not correct. Because the portfolio is equally weighted, therefore we know that w,>0, for each i. and g=,∑:2+∑∑m,cow(,), therefore, if cov(r,r)20fra of the i and j, then the greater the number of cov(r, r)=0, the smaller o, is. But there can also be cov(r, r)<0. Therefore, the result is uncertain d) not correct e)Correct f)Correct. Whether it's well-diversified portfolio or poorly diversified portfolio, the beta of the portfolio is always equal to the weighted average of the individual betas with the proportions in the portfolio as weights ◎徐信忠 ABA公司财务学© 徐信忠 MBA 公司财务学 6 c)  Gladwinner =winter   winter +summer   summer = 40%0.83+ 60%1.12 =1.004 rGladwinner = rf +  Gladwinner (rM − rf ) = 6% +1.004 (15% − 6%) = 15.036% or: rGladwinner =winter rwinter +summer rsummer = 40%13.47% + 60%16.08% =15.036% d) Because the firm has no debt , the beta and expected return on its equity is just the same with those on its assets. Therefore, the answers are the same with c). Question 7 a) Correct. Since  = −1 , then we have 1 2 1 2 1 1 2 2 2 2 2 2 2 1 2  p = w1 + w  − 2w w   = w − w  . It’s easy to see that we can always turn  p into zero by adjusting the size of w1 and w2 . b) Not correct. Note that cov( , ) 1 2 i p N i p =  wi  R R =  . c) Not correct. Because the portfolio is equally weighted, therefore we know that wi  0 ,for each i. And i j i j i j N i p i i w w w r r  = = + cov( , ) 1 2 2   , therefore, if cov(ri ,rj )  0 for all of the i and j, then the greater the number of cov(ri ,rj ) = 0 , the smaller  p is. But there can also be cov(ri ,rj )  0 . Therefore, the result is uncertain. d) Not correct. e) Correct. f) Correct. Whether it’s well-diversified portfolio or poorly diversified portfolio, the beta of the portfolio is always equal to the weighted average of the individual betas with the proportions in the portfolio as weights