ASISTENSI INVESTASI DAN PASAR MODAL
PERTEMUAN 4
EFFICIENT DIVERSIFICATION
TIM ASISTEN DOSEN
SOAL 1 – 6.3
A portfolio’s expected return is 12%, its standard deviation is 20%, and the risk-free rate is
4%. Which of the following would make for the greatest increase in the portfolio’s Sharpe
ratio?
a. An increase of 1% in expected return.
b. A decrease of 1% in the risk-free rate.
c. A decrease of 1% in its standard deviation.
For the following problems, assume that you manage a risky portfolio with an expected rate
of return of 12% and a standard deviation of 28%. The T-bill rate is 4%.
SOAL 2 – 5.12
Your client chooses to invest 80% of a portfolio in your fund and 20% in a T-bill money
market fund.
a. What is the expected return and standard deviation of your client’s portfolio?
b. Suppose your risky portfolio includes the following investments in the given
proportions:
Stock A 20%
Stock B 30%
Stock C 50%
What are the investment proportions of your client’s overall portfolio, including the
position in T-bills?
c. What is the reward-to-volatility ratio (S) of your risky portfolio and your client’s
overall portfolio?
d. Draw the CAL of your portfolio on an expected return/standard deviation diagram.
What is the slope of the CAL? Show the position of your client on your fund’s CAL.
SOAL 3 – 5.13
Suppose the same client in the previous problem decides to invest in your risky portfolio a
proportion (y) of his total investment budget so that his overall portfolio will have an
expected rate of return of 11%.
a. What is the proportion y?
b. What are your client’s investment proportions in your three stocks and the T-bill
fund?
c. What is the standard deviation of the rate of return on your client’s portfolio?
SOAL 4 – 5.14
Suppose the same client as in the previous problem prefers to invest in your portfolio a
proportion (y) that maximizes the expected return on the overall portfolio subject to the
constraint that the overall portfolio’s standard deviation will not exceed 20%.
a. What is the investment proportion, y?
b. What is the expected rate of return on the overall portfolio?
1
EKSTRA – 5.18
You manage an equity fund with an expected risk premium of 14% and a standard deviation
of 54%. The rate on Treasury bills is 6.8%. Your client chooses to invest $120,000 of her
portfolio in your equity fund and $30,000 in T-bill money market fund.
a. What is the expected return and standard deviation of return on your client’s
portfolio?
b. What is the reward-to-volatility ratio for the equity fund and the client?
