6.

Consider a portfolio of X, Y, and Z.

The variance covariance matrix of X, Y, and Z is as follows.

(The space where rows and columns meet means cov(x,y). For example, 0.04 in column 1 of row 1 means variance x, and column 2 of row 1 means cov(x,y)

	X	Y	Z
X	0.040	-0.018	0.016
Y	-0.018	0.090	-0.021
Z	0.016	-0.021	0.010

Each asset accounts for x30%, y20%, and z50%, respectively.

If you calculate the variance of this portfolio?

In % units, write to the second decimal place.

7.

Consider the 'same' weighted portfolio of shares A and B.

	boom	depression
A	10%	-2%
B	18%	-5%

1. The economic situation of the following year is called a boom with a 50% chance or a recession with a 50% chance.

2. Each stock receives the following returns depending on the boom and bust.

What if we get the volatility of this portfolio return?

In % units, mark up to the second decimal place.

8.

Currently, the risk-free return is 8%, and the data on the market portfolio M and A assets are as follows.

Market expected return: 16%

Expected return on A: 24%

Market volatility: 12%

Volatility of A: 24%

Correlation coefficient between A and M 1

What if we get the market beta that Asset A has?

Answer to the second decimal place.

9.

Currently, the risk-free return is 8%, and the data on the market portfolio M and A assets are as follows.

Market expected return: 16%

Expected return on A: 24%

Market volatility: 12%

Volatility of A: 24%

Correlation coefficient between A and M: 1

What is the magnitude of the systematic risk among the risks of A?

Hint:

1) The magnitude of the risk is calculated as the standard deviation of Ri.

2) Ri is exposed to the market premium as much as beta, which determines some sizes (beta * market risk premium) and the rest (Ri-beta * market risk premium) based on non-systematic risk.

3) If you take the volatility of the return that is determined by the systemic risk of either part, that would be the systemic risk.

* var(aX) = (a^2) VarX

* Systematic and non-systematic risks are independent of each other.

Mark the risk in % and up to the second decimal place.

10.

Currently, the risk-free return is 8%, and the data on the market portfolio M and A assets are as follows.

Market expected return: 16%

Expected return on A: 24%

Market volatility: 12%

Volatility of A: 24%

Correlation coefficient between A and M: 1

What is the magnitude of the unsystematic risk among the risks of A?

Hint:

1) The magnitude of the risk is calculated as the standard deviation of Ri.

2) Ri is exposed to the market premium as much as beta, which determines some sizes (beta * market risk premium) and the rest (Ri-beta * market risk premium) based on non-systematic risk.

3) If you find the variability of the non-systematic part of the two parts, that would be the unsystematic risk.

* var(aX) = (a^2) VarX

* Systematic and non-systematic risks are independent of each other.

Mark the risk in % and up to the second decimal place.

Please write down the steps for each topic. Thank you very much.