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# Consider the following information:

State Probability
Boom 0.25
Normal 0.5
Slowdown 0.15
Recession 0.1
What is the expected return?
What is the variance?
What is the standard deviation?

## Prob ABC Inc

(1) (2)
0.25 15%
0.5 8%
0.15 4%
0.1 -3%

Exp Return =

PORTFOLIO
Porttfolio hanya terdiri dari Stock L dan Stock S
Portfolio Weight
Stock L 50%
Stock S 50%

Recession 0.5
Boom 0.5

## Menghitung Expected Return of Portfolio

(1) (2)
State of the ec. Probability
Recession 0.5
Boom 0.5

## Menghitung Variance of Portfolio

(1) (2)
State of the ec. Probability
Recession 0.5
Boom 0.5

## (1) (2) (3)

State of the ec. Probability Portf Return
Recession 0.5 5%
Boom 0.5 40%

E(Rp) =
Diketahui:
Portfolio terdiri dari stock A, stock B dan Stock C
Portfolio Weight
Stock A 50%
Stock B 25%
Stock C 25%

## State of the ec. Probability

Boom 0.4
Bust 0.6

Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Boom 0.4
Bust 0.6

## σ2p = 0.4 x (13.75% - 8.50%)2 + 0.6 x (5%

σp = 0.042866
Diketahui:
Portfolio terdiri dari stock X, stock Y dan Stock Z
Portfolio Weight
Stock X 50%
Stock Y 25%
Stock Z 25%

## State of the ec. Probability

Boom 0.2
Normal 0.6
Recession 0.2
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Boom 0.2
Normal 0.6
Recession 0.2

σp = 0.038000
mation:
ABC, Inc. (%)
15
8
4
-3

## (1 x 2) (2 x Exp Ret) 4kwadrat

(3) (4) (5)
0.04 7.0% 0.0048303
0.04 0.0% 0.0000002
0.01 -4.1% 0.0016403
0 -11.1% 0.0122103

8.05% σ2 =

σ =

## Rate of return if state occurs

Stock L Stock S
-20% 30%
70% 10%

n of Portfolio

(3) (4)
Portfolio return (2x3)
0.5 x - 20% + 0.5 x 30% = 5% 0.03
0.5 x 70% + 0.5 x 10% = 40% 0.2

E(Rp) = 22.50%

## (3) (4) (5)

Portf Return Deviasi dr port. ret. 4 kwadrat
5% -17.50% 0.03
40% 17.50% 0.03

σ2p =

σp =

## (4) (5) (6)

Tot P Ret Deviasi dr port. ret. 5 kwadrat
2.5% -17.50% 0.03
20.0% 17.50% 0.03

22.5% σ2p =

σp =
stock B dan Stock C

## Rate of return if state occurs

Stock A Stock B Stock C
10% 15% 20%
8% 4% 0%

portfolio

## Rate of return if state occurs

Stock A Stock B Stock C
10% 15% 20%
8% 4% 0%

## .75% - 8.50%)2 + 0.6 x (5% - 8.50%)2 = 0

= 4.3%
stock Y dan Stock Z

## Rate of return if state occurs

Stock X Stock Y Stock Z
10% 15% 20%
8% 4% 3%
2% 0% -5%

portfolio

## Rate of return if state occurs

Stock X Stock Y Stock Z
10% 15% 20%
8% 4% 3%
3% 2% 1%

## .75% - 6.65%)2 + 0.6 x (5.75% - 6.65%)2 + 0.2 x ( 2.25% - 6.65%)2 =

= 3.8%
(1 x 5)
(6)
0.0012076
0.0000001
0.0002460
0.0012210

0.2675%

5.17%
(6)
(2 x 5)
0.02
0.02

0.03

17.5%

(7)
(2 x 5)
0.02
0.02

0.03

17.5%
Portfolio
13.75%
5.00%
Portfolio
13.75%
5.75%
2.25%

2.25% - 6.65%)2 = 0
Cara 1
Diketahui:
Porttfolio hanya terdiri dar Stock X dan Stock Y
Portfolio Weight
Stock X 40%
Stock Y 60%
Rate of return if sta
State of the ec. Probability Stock X
Recession 0.5 -20%
Boom 0.5 70%

## (1) (2) (3)

State of the ec. Probability Portfolio retu
Recession 0.5 0.4 x - 20% + 0.6 x 30
Boom 0.5 0.4 x 70% + 0.6 x 10

## (1) (2) (3)

State of the ec. Probability Portf Return
Recession 0.5 10%
Boom 0.5 34%
Cara 2
Diketahui:
Porttfolio hanya terdiri dar Stock X dan Stock Y
Portfolio Weight
Stock X 40%
Stock Y 60%
Rate of return if sta
State of the ec. Probability Stock X
Recession 0.5 -20%
Boom 0.5 70%

Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Rate of retu
State of the ec. Probability Stock X
Boom 0.5 -20%
Bust 0.5 70%

## σ2p = 0.5 x (10% - 22%)2 + 0.5 x (34% - 2

σp = 0.12 =
of return if state occurs
Stock Y
30%
10%

(3) (4)
Portfolio return (2x3)
0% + 0.6 x 30% = 10% 0.05
0% + 0.6 x 10% = 34% 0.17

E(Rp) = 22.00%

## (4) (5) (6)

Deviasi dr port. ret. 4 kwadrat (2 x 5)
-12.00% 0.01 0.01
12.00% 0.01 0.01

σ2p = 0.01

σp = 12.0%
of return if state occurs
Stock Y
30%
10%

## Rate of return if state occurs

Stock Y Portfolio return
30% 10.00%
10% 34.00%

22.00%

## 0.5 x (34% - 22%)2 = 0.01

12.0%
Q&P-7
Based on the following information, calculate the expected return
and standard deviation for the two stocks:
Rate of return if state occu
State of the ec. Probability Stock A
Recession 0.2 0.06
Normal 0.6 0.07
Boom 0.2 0.11

Jawab:
(1) (2)
Probability Stock A
0.2 0.06
0.6 0.07
0.2 0.11

Exp RA =

(1) (2)
Probability Stock B
0.2 -0.20
0.6 0.13
0.2 0.33

Exp RB =

Q&P-8

## A Portfolio is invested 20% in Stock G, 60% in Stock J and 20% in Stock K

The expected return on these stocks are 8%, 15% and 22% respectively
What is portfolio expected return ? How do you interpret your answer?
Weight Exp Return
Stock G 20% 8%
Stock J 60% 15%
Stock K 20% 22%
What is the expected return?

Exp Rp = WG xRG + WJ RJ + WK RK

## Exp Rp = 20% x 8% + 60% x 15% + 20% x 22%

Exp Rp = 15.00%

Q & P - 11
You own a stock portfolio invested 25% in stock Q, 20% in stock R, 25% i
and 30% in stock T
The betas for these stocks are 0.6, 1.70, 1.15 and 1.12, respectively.
What is portfolio beta?

Weight Beta
Stock Q 25% 0.6
Stock R 20% 1.7
Stock S 25% 1.15
Stock T 30% 1.12

## βp = 25% x 0.6 + 20% x 1.7 + 25% x 1.15 + 30% x

βp = 1.11

Q & P - 13
A stock has a beta of 1.3, the expected return on the market is 14%, and
the risk free rate is 6%. What must the expected return on this stock be?
R = 6% + 1.3 ( 14% - 6% )

R = 16.40%

Q & P - 14
A stock has an expected return of 14%, the risk free rate is 5%, and
the market risk premium 7%. What must the beta of this stock be?

14% = 5% + b ( 12% - 5% )

β = ( 14% - 5% ) / 7% =

Q & P - 26
Consider the following information on Stock I dan II

## Rate of return if state occ

State of the ec. Probability Stock I
Recession 0.2 0.09
Normal 0.6 0.42
Irrational exuberance 0.2 0.26

The market risk premium is 10%, and th risk free rate is 4%.
Which stock has the most systematic risk? Which one has the most unsys
Which stock is "riskier" ? Explain.

RI = 4% + βI ( 14% - 4% ) =

βI = 28% / 10% =

βII = 6% / 10% =
ected return

Stock B
-0.20
0.13
0.33

## (3) (4) (5) (6)

(1 x 2) Dev fr Exp R 4 kwadrat (1 x 5)
0.01 -0.02 0.000256 0.0000512
0.04 -0.01 0.000036 0.0000216
0.02 0.03 0.001156 0.0002312

0.08 σ2 = 0.0003040

σ = 1.74%

## (3) (4) (5) (6)

(1 x 2) Dev fr Exp R 4 kwadrat (1 x 5)
-0.04 -0.28 0.076176 0.0152352
0.08 0.05 0.002916 0.0017496
0.07 0.25 0.064516 0.0129032

0.1 σ2 = 0.0298880

σ = 17.3%

## and 20% in Stock K

d 22% respectively
+ 20% x 22%

## 0% in stock R, 25% in stock S

12, respectively.

## market is 14%, and

urn on this stock be?
% - 6% )

this stock be?

1.29

## return if state occurs

Stock II
-0.30
0.12
0.44

e is 4%.
e has the most unsystematic risk?

% - 4% ) = 32%

2.82

% - 4% ) = 10%
0.60
1. Anda dihadapkan pada dua alternative investasi yang berisiko, yaitu saham perusahan A dan saham pe
berikut:

## Keadaan Ekonomi Probabilitas Pendapatan A

Resesi 0,20 0,06
Normal 0,60 0,07
Baik 0,20 0,11

Jika Anda melakukan investasi pada kedua saham tersebut dengan proporsi 40% pada saham A dan sisan
diharapkan dan risiko (SD) portofolio tersebut?

Investasi:
Saham A 40%
Saham B 60%

## Rate of return if state

State of the ec. Prob. Stock A
Resesi 0.2 6%
Normal 0.6 7%
Baik 0.2 11%
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

## Rate of return if state

State of the ec. Probability Stock A
Boom 0.2 6%
Normal 0.6 7%
Recession 0.2 11%

## σ2p = 0.2 x (-9.60% - 9.28%)2 + 0.6 x (10.60% - 9.28%

σp = 0.108101 =
am perusahan A dan saham perusahaan B dengan informasi sebagai

Pendapatan B
-0,20
0,13
0,33

i 40% pada saham A dan sisanya pada saham B, berapa pendapatan yang

Stock B
-20%
13%
33%

## Rate of return if state occurs

Stock B Portfolio
-20% -9.60%
13% 10.60%
33% 24.20%

## + 0.6 x (10.60% - 9.28%)2 + 0.2 x ( 24.20% - 9.28%)2 = 0.01

10.8%
1. Bapak Ali memiliki investasi dalam portofolio yang terdiri dari:

## Saham Jumlah Investasi Expected Return

PT Astra Rp 400 juta 8%
PT Bosoa Rp 200 juta 12%
PT Tjiwi Kimia Rp 300 juta 15%
PT Danamon Rp 400 juta 18%

## a. Berapa pendapatan yang diharapkan dan beta dari portofolio?

b. Apakah beta dari portofolio ini lebih tinggi dari beta rata-rata sekuriti?

Astra 31% 8%
Bosoa 15% 12%
Ciwi 23% 15%
Danamon 31% 18%

100%
Beta
0,80
0.95
1,10
1,40

kuriti?

Beta WR WB
0.8 2.46% 0.246
0.95 1.85% 0.146
1.1 3.46% 0.254
1.4 5.54% 0.431

(lebih tinggi)