PENGURUSAN KEWANGAN

Ahli Kumpulan LIM PEI YING NG SEAH ING NADHIRAH ABD HALIM NORMAIZATUL NABIHA ZAKARI MUHAINI MOHAMED A116920 A116951 A117553 A118091 A117565

PENSYARAH : DR RUZITA ABD RAHIM

Soalan 3 a) Short-term interest rates increase unexpectedly. Answer:Systematic

b) The interest rate a company pays on its short-term debt borrowing is increased by its bank. Answer:Systematic c) Oil price unexpectedly decline. Answer:Unsystematic risk Answer:Unsystematic

d) An oil tanker ruptures,creating a large oil spill. risk.

e) A manufacturer loses a multimillion-dollar product liability suit. Answer:Unsystematic risk. f) A Supreme Court decision subtantially broadens producer liability for injures suffered by product users. Answer:Unsystematic risk.

Soalan 4 a) The government announces that inflation unexpectedly jumped by 2 percent last month. Answer: Harga saham akan berubah. b) Big Widgets quarterly report,just issued,generally fell in line with analysts expectations. Answer:Tidak menyebabkan harga saham berubah. c) The government reports that economic growth last year was at 3 percent,which generally agreed with most economists forecast. Answer:Tidak menyababkan harga saham berubah. d) The directors of Big Widget die in a plane crash. Answer: Harga saham akan berubah. e) Congress approves changes to the tax code that will increase the top marginal corporate tax rate.The legislation had been debated for the previous 6 months. Answer: Menyebabkan harga saham berubah.

State of Economy Boom Good Poor Bust

Probability of state of Economy 0.3 0.4 0.25 0.05

Rate Return if State Occurs Stock A Stock B Stock C 0.3 0.4 0.3 0.3 0.45 0.33 0.12 0.10 0.15 0.01 -0.15 -0.05 -0.06 -0.30 -0.09

ABC 0.3(0.3)+0.4(0.45)+0.3(0.33)=36.9% 12.1% -7.2% -16.5%

SOALAN 10) a) E(R)portfolio = 0.3(36.9%)+0.4(12.1%)+0.25(-7.2%)+0.05(-16.5%)=13.285% b) =0.3(36.9%-13.285%)+0.4(12.1%-13.285%)+0.25(-7.2%13.285%)+0.05(-16.5%13.285%) =317.13% c) =317.13% =17.808%

Soalan 17 a )Expected return on a portfolio 0.5 x 16% + 0.5 x 5% = 10.5% b) Portfolio beta = portfolio weight x 1.2 + ( 1 portfolio weight) x 0 0.6 = 1.2 a a = 0.5 c ) 8 = 16 a + ( 1 a ) 5 8 =16 a + 5 5 a a = 3 / 11 weight for stock a =1 - 0.27 Beta = (0.27 x 1.2) + (1- 0.27) 0 =0.324 d ) 2.4 = a x 1.2 + (1 a )x0 2.4 = 1.2a a= 2 The portfolio weight is 2. The total investment in stock would be $200 or 200% of the total investor wealth. The investor borrow an additional $100 at 5% the free risk ,that it is possible for the percentage invested in stock exceed 100%.

Soalan 23 m/s 436 a). State of Probability econom of state of y economy Boom 0.4 Normal Bust 0.3 0.3 Stock A 0.2 0.15 0.01 Produc Stock tA B 0.08 0.045 0.03 0.35 0.12 -0.25 E(Rb) = Produc Stock tB C 0.14 0.036 -0.025 15.1% 0.60 0.05 -0.50 E(Rc) = Produc Portfolio return if state tC occurs 0.24 0.015 -0.15 10.5% (0.4 x 0.2) + (0.4 x 0.35) + (0.2 x 0.60) = 0.34 (0.4 x 0.15) + (0.4 x0.12) + (0.2 x 0.05) = 0.118 (0.4 x 0.01) + (0.4 x -0.25) + (0.2 x -0.50) = -0.196

E(Ra) 15.5 % =

E(Rp) = 0.4 x E(Ra) + 0.4 x E(Rb) + 0.2 x E(Rc) = 0.4 x 15.5% + 0.4 x 15.1% + 0.2 x 10.5% = 14.34% variance = [0.4 x (0.34 - 0.1434) ] + [0.3 x (0.118 0.1434) ]+ [0.3 x ( -0.196 0.1434)] = 0.01546 + 0.000193548 + 0.03456 = 0.05021 standard deviation is 0.22408 @ 22.41% b). expected T-bill rate = 3.8% expected risk premium on portfolio

= expected return risk free rate = 14.34% - 3.8% = 10.54%

c). expected rate inflation = 3.5% approximate real return in portfolio

R r-h 14.34 % - 3.5 % 10.84 % 1 + R = ( 1 +r ) x ( 1 + h) r = ((1 +R) / (1 + h)) - 1 = ((1 + 14.34%) / (1 + 3.5%)) -1 = 10.47%

Exact expected real return in portfolio

Approximate real risk premium on the portfolio Risk premium on the portfolio = approximate real return on portfolio risk free rate = 10.54% - 3.5% = 7.04% Exact expected real risk premium on the portfolio Risk premium on the portfolio = exact expected real return on portfolio risk free rate = (1.1054 / 1.035) -1 = 6.8%

Soalan 25 1) RP = 13.5% 0.135 = Wx(Rx)+Wy(Ry) + ( 1- Wx - Wy)(RF) = Wx (0.31) + Wy (0.2) +( 1- Wx - Wy)(0.07) = Wx (0.31 0.07) + Wy(0.2 - 0.07) + 0.07 0.135 0.07 = Wx (0.24) + Wy ( 0.13) 0.065 = Wx (0.24) + Wy ( 0.13) Wx (0.24) = 0.065 - Wy ( 0.13) Wx = ( 0.065 - Wy ( 0.13) ) / 0.24 Wx = 0.27 - 0.54 Wy P = WXX + WYY + ( 1 WX WY ) F 0.7 = WX( 1.8 ) + WY( 1.3 ) + ( 1 WX WY ) ( 0) 0.7 = WX( 1.8) + WY( 1.3 ) + 0 = (0.27 0.54 Wy)( 1.8 ) + 1.3Wy = 0.486 0.972 Wy + 1.3 Wy 0.214 = 0.328 Wy Wy = 0.65 Wx = 0.27 - 0.54 (0.65) = - 0.081 Wx = - 0.081 x 5 000 000 = - 405 000