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  • Uts Ipma

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    Defril Arcanggi
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    This document summarizes portfolio analysis for two stocks, Stock A and Stock B, under different economic conditions. It provides the expected returns, variances, standard deviations, covariances, and correlations for each stock. It then calculates the expected return, risk and weights for portfolios containing different allocations of the two stocks and cash. Finally, it analyzes the expected return of Stock F based on its betas and current economic factors.

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    UTS IPMA

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    This document summarizes portfolio analysis for two stocks, Stock A and Stock B, under different economic conditions. It provides the expected returns, variances, standard deviations, covariances, and correlations for each stock. It then calculates the expected return, risk and weights for portfolios containing different allocations of the two stocks and cash. Finally, it analyzes the expected return of Stock F based on its betas and current economic factors.

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    © All Rights Reserved
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    11 views9 pages

    Uts Ipma

    Uploaded by

    Defril Arcanggi
    This document summarizes portfolio analysis for two stocks, Stock A and Stock B, under different economic conditions. It provides the expected returns, variances, standard deviations, covariances, and correlations for each stock. It then calculates the expected return, risk and weights for portfolios containing different allocations of the two stocks and cash. Finally, it analyzes the expected return of Stock F based on its betas and current economic factors.

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    © All Rights Reserved
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    of 9

    State of Economy

    Recession
    Normal
    Boom
    a. Expected return
    `-expected return saham A

    `- expected return saham B

    saham A
    varians
    SD

    saham B
    varians
    SD

    saham A
    saham B
    expected portofolio
    `= 0,83x(0,311)+0,17x(0,3973)

    Probability of state of
    economy
    0.17
    0.65
    0.3

    SD
    saham A
    saham B
    expected portofolio
    `= 0,57x(0,311)+0,43x(0,3973)
    cov saham A dan B

    Saham A
    -0.12
    0.25
    0.63

    `=(0,17 x -0,12) + (0,65x0,25) + (0,3x0,63)


    `= -0,0204 + 0,1625 + 0,189
    0.3311
    33.11%
    `=(0,17 x 0,24) + (0,65x0,35) + (0,3x0,43)
    `= 0,0408 + 0,2275 + 0,129
    0.3973
    39.73%
    `=0,17 x (-0,12 - 0,3311)^2 + 0,65 x (0,25-0,3311)^2 + 0,3 x
    0,0346+0,0043+0,027
    0.0656710552
    `=0,065671055^0,5
    0.2562636439
    25.62%

    `=0,17 x (0,24 - 0,3973)^2 + 0,65 x (0,35-0,3973)^2 + 0,3 x


    0,004206+0,001454+0,000321
    0.0059813848
    0,005981385
    0.077339413
    7.73%
    25000
    5000
    30000

    0.83
    0.17

    32.57%
    Cov(RA,RB) = A,B = pi(RAi - E[RA])(RBi - E[RB])

    cov saham A dan B

    Var

    Rate of return if state occurs

    `=0,17 x (-0,12-0,3311) x (0,24-0,3973) + 0,65 x (0,25-0,3311


    0.6293381936
    62.93%
    `=(0,83)^2 x 0,2562 + (0,17)^2 x 0,07734 +2*(0,83)(0,17)(0
    0.1843229602
    0.4293284991
    42.93%
    17000
    13000
    30000

    0.57
    0.43

    34.81%
    Cov(RA,RB) = A,B = pi(RAi - E[RA])(RBi - E[RB])

    `=0,17 x (-0,12-0,3311) x (0,24-0,3973) + 0,65 x (0,25-0,3311

    Var
    SD

    0.6293381936
    62.93%
    `=(0,57)^2 x 0,2562 + (0,43)^2 x 0,07734 + 2 x (0,57)(0,43)
    0.1072526178
    0.3274944546
    32.75%

    Rate of return if state occurs


    Saham B
    0.24
    0.35
    0.43

    ,25) + (0,3x0,63)

    expected return A
    expected return B
    var A
    var B
    sd A
    sd B

    33.11%
    25.62%
    0.065671
    0.005981
    25.62%
    7.73%

    35) + (0,3x0,43)

    2 + 0,65 x (0,25-0,3311)^2 + 0,3 x (0,63-0,3311)^2

    2 + 0,65 x (0,35-0,3973)^2 + 0,3 x (0,43-0,3973)^2

    0.034594
    0.004275
    0.026802

    0.024743 0.004206
    0.002237 0.001454
    0.001069 0.000321

    ,RB) = A,B = pi(RAi - E[RA])(RBi - E[RB])

    0,24-0,3973) + 0,65 x (0,25-0,3311) x (0,35-0,3973) + 0,3 x (63-0,3311) x (0,43-0,3973)

    17)^2 x 0,07734 +2*(0,83)(0,17)(0,2562)(0,07734)

    ,RB) = A,B = pi(RAi - E[RA])(RBi - E[RB])

    0,24-0,3973) + 0,65 x (0,25-0,3311) x (0,35-0,3973) + 0,3 x (63-0,3311) x (0,43-0,3973)

    43)^2 x 0,07734 + 2 x (0,57)(0,43)(0,2562)(0,07734)

    b. Dana 30.000 USD, saham A 25.000USD; saham B 5.000USD


    expected return dan resiko portofolio

    43-0,3973)

    43-0,3973)

    Rf
    SD Rf
    Erm
    SD Rm

    7%
    0%
    11%
    8%

    a.kombinasi 50% bebas resiko 50% portofolio M


    investasi free
    50.00%
    3.50%
    investasi pM
    50%
    5.50%
    9.00%
    b. Risk free 40 port folio M 60
    investasi free
    40.00%
    2.80%
    investasi pM
    60%
    6.60%
    9.40%

    Covar Ri R
    StD Rm
    b Inflasi
    b GDP
    b Kurs

    Inflasi
    GDP
    Kurs
    E('R)

    4.00%
    11.00%
    -1.40
    1.75
    0.70

    bi

    3.31

    Rf

    4%

    Expected Actual
    F
    7.00%
    11.00%
    7.00%
    4.20%
    10.00%
    4.00%

    4.00%
    -2.80%
    -6.00%

    2.5%

    Risk free + (Beta i x Risk Free) + (beta Inf x Fact Inflasi) + (beta GDP x Fact GDP) + (beta K

    DP x Fact GDP) + (beta Kurs x Fact kurs)

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