现代投资组合理论与投资分析 第七章 答案.doc

Elton, Gruber, Brown, and Goetzmann Modern Portfolio Theory and Investment Analysis, 7th Edition Solutions to Text Problems: Chapter 7 Chapter 7: Problem 1 We will illustrate the answers for stock A and the market portfolio (SP 500); the answers for stocks B and C are found in an identical manner. The sample mean monthly return on stock A is: The sample mean monthly return on the market portfolio (the answer to part 1.E) is: Using data given in the problem and the above two sample mean monthly returns, we have the following: Month t 1 9.104 82.883 9.275 86.026 84.44 2 12.324 151.881 2.985 8.910 36.79 3 -7.066 49.928 -0.595 0.354 4.2 4 -1.376 1.893 1.475 2.176 -2.03 5 0.214 0.046 1.405 1.974 0.3 6 -5.736 32.902 1.425 2.031 -8.17 7 -11.916 141.991 -9.775 95.551 116.48 8 -4.126 17.024 -5.115 26.163 21.1 9 -1.876 3.519 0.455 0.207 -0.85 10 9.804 96.118 3.155 9.954 30.93 11 4.534 20.557 -0.535 0.286 -2.43 12 -3.886 15.101 -4.155 17.264 16.15 0.00 613.84 0.00 250.90 296.91 Sum The sample variance and standard deviation of the stock A’s monthly return are: The sample variance (the answer to part 1.F) and standard deviation of the market portfolio’s monthly return are: The sample covariance of the returns on stock A and the market portfolio is: The sample correlation coefficient of the returns on stock A and the market portfolio (the answer to part 1.D) is: The sample beta of stock A (the answer to part 1.B) is: The sample alpha of stock A (the answer to part 1.A) is: Each month’s sample residual is security A’s actual return that month minus the return that month predicted by the regression. The regression’s predicted monthly return is: The sample residual for each month t is then: So we have the following: Month t 1 12.05 13.92 -1.87 3.5 2 15.27 6.48 8.79 77.26 3 -4.12 2.24 -6.36 40.45 4 1.57 4.69 -3.12 9.73 5 3.16 4.61 -1.45 2.1 6 -2.79 4.63 -7.42 55.06 7 -8.97 -8.62 -0.35 0.12 8 -1.18 -3.11 1.93 3.72