2025年CFA一级投资分析专项试卷（含答案）

2025年CFA一级投资分析专项试卷（含答案）考试时间：______分钟总分：______分姓名：______试题部分1.AnanalystisevaluatingtheequityofBetaCorporation.Thecompanyisexpectedtogeneratefreecashflowsof$50millionnextyear.Thefreecashflowsareexpectedtogrowatarateof5%peryearforthenextthreeyears,andthenlevelofftoalong-termgrowthrateof2%peryearindefinitely.Theweightedaveragecostofcapital(WACC)forBetaCorporationis10%.WhatistheestimatedintrinsicvalueofBetaCorporation'sequityusingthetwo-stagedividenddiscountmodel,ifthecompanydoesnotpaydividendscurrently?2.Astockhasabetaof1.2.Therisk-freerateis3%,andtheexpectedreturnonthemarketportfoliois8%.AccordingtotheCapitalAssetPricingModel(CAPM),whatistheexpectedreturnonthisstock?3.Acorporatebondwithafacevalueof$1,000andacouponrateof6%paidsemi-annuallyismaturingin5years.Theyieldtomaturity(YTM)ofthebondis5%.Whatisthecurrentpriceofthebond?4.Abondhasadurationof4.5years.Ifthemarketinterestrateincreasesby1%,whatistheapproximatepercentagechangeinthepriceofthebond?5.AninvestorisconsideringbuyingacalloptiononStockXYZwithastrikepriceof$50.ThecurrentpriceofStockXYZis$45.Theoptionhasapremiumof$2.Whatisthemaximumlossthattheinvestorcouldincuriftheybuythiscalloption?6.Whatistheput-callparityrelationshipforEuropeanputandcalloptionswiththesamestrikepriceandexpirationdate?7.Aninvestorislongafuturescontractoncrudeoil.Theinitialfuturespricewas$60perbarrel,andthecontractsizeis1,000barrels.Thecurrentfuturespriceis$65perbarrel.Whatistheinvestor'scurrentprofitorlossperbarrel?8.Acompanyhasabetaof1.3,adebt-to-equityratioof0.5,andataxrateof30%.Therisk-freerateis4%,andtheexpectedreturnonthemarketportfoliois12%.AssumingthecompanyusestheCapitalAssetPricingModel(CAPM)todetermineitscostofequity,whatisthecompany'sweightedaveragecostofcapital(WACC)?9.Whichofthefollowingisaprimaryfunctionofdiversificationinportfoliomanagement?10.Astockisexpectedtopayadividendof$2nextyear.Therequiredrateofreturnonthestockis10%,andtheexpectedgrowthrateofdividendsis5%peryear.Whatistheestimatedintrinsicvalueofthestockusingtheconstantgrowthdividenddiscountmodel?11.Aninvestorisconsideringaddinganewstocktotheirportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof20%.Thecurrentportfoliohasanexpectedreturnof10%andastandarddeviationof15%.Ifthenewstockisperfectlynegativelycorrelatedwiththecurrentportfolio,whatwillbetheexpectedreturnandstandarddeviationofthecombinedportfolio?12.Abondwithafacevalueof$1,000andacouponrateof8%paidannuallyismaturingin10years.Theyieldtomaturity(YTM)ofthebondis7%.Whatisthecurrentpriceofthebond?13.AninvestorbuysaputoptiononStockABCwithastrikepriceof$30andapremiumof$1.ThecurrentpriceofStockABCis$32.IfthepriceofStockABCatexpirationis$25,whatistheinvestor'sprofitorloss?14.Theyieldcurveiscurrentlyflat,meaningthattheyieldstomaturityarethesameforallmaturities.Whatdoesthisimplyaboutthemarket'sexpectationsforfutureinterestrates?15.Whichofthefollowingstatementsistrueabouttherelationshipbetweenastock'sbetaanditsexpectedreturn?16.Aninvestorisconstructingaportfoliooftwostocks,StockAandStockB.StockAhasanexpectedreturnof14%andastandarddeviationof18%.StockBhasanexpectedreturnof9%andastandarddeviationof12%.Thecorrelationcoefficientbetweenthetwostocksis0.2.Whatistheexpectedreturnandstandarddeviationoftheportfolioiftheinvestorinvests60%oftheircapitalinStockAand40%inStockB?17.Acompany'sstockiscurrentlytradingat$50pershare.Thecompanyisexpectedtopayadividendof$2nextyear,andthedividendisexpectedtogrowatarateof6%peryearindefinitely.Whatistherequiredrateofreturnonthecompany'sstockaccordingtotheconstantgrowthdividenddiscountmodel?18.Abondwithafacevalueof$1,000andacouponrateof5%paidsemi-annuallyismaturingin7years.Theyieldtomaturity(YTM)ofthebondis6%.Whatisthecurrentpriceofthebond?19.AninvestorislongacalloptiononStockDEFwithastrikepriceof$40andapremiumof$3.ThecurrentpriceofStockDEFis$38.IfthepriceofStockDEFatexpirationis$45,whatistheinvestor'sprofitorloss?20.Whatisthedurationofazero-couponbond?试卷答案1.Thepresentvalueofthefreecashflowsforthefirstthreeyearsiscalculatedusingtheformula:PV=FCF/(1+r)^t.Foreachyear,theFCFis$50million,thegrowthrateis5%,andtheWACCis10%.Thepresentvalueoftheterminalvalueiscalculatedusingtheformula:PV=TV/(1+r)^n.TheterminalvalueiscalculatedastheFCFinyear4(whichis$50million*1.05)dividedbytheWACCminusthelong-termgrowthrate(0.10-0.02).Thetotalintrinsicvalueisthesumofthepresentvaluesofthefreecashflowsforthefirstthreeyearsandthepresentvalueoftheterminalvalue.Answer:$731.02million解析思路：第一步：计算前三年自由现金流现值。使用公式PV=FCF/(1+r)^t。其中，FCF=5000万，r=10%，t为年份1至3。PV(Year1)=5000/(1+0.10)^1=4545.45万；PV(Year2)=5000*(1+0.05)/(1+0.10)^2=4132.23万；PV(Year3)=5000*(1+0.05)^2/(1+0.10)^3=3741.55万。第二步：计算第三年年末的终值（TerminalValue,TV）。TV=FCFinYear4/(WACC-g)。FCFinYear4=5000*(1+0.05)=5250万。WACC=10%，g=2%。TV=5250/(0.10-0.02)=75000万。第三步：计算终值的现值。PV(TV)=TV/(1+r)^3=75000/(1+0.10)^3=56743.79万。第四步：计算总内在价值。内在价值=前三年现值之和+终值现值=4545.45+4132.23+3741.55+56743.79=73102.02万。四舍五入后为731.02百万。2.TheexpectedreturnonastockaccordingtotheCapitalAssetPricingModel(CAPM)iscalculatedusingtheformula:E(Ri)=Rf+βi*[E(Rm)-Rf].Where:E(Ri)=ExpectedreturnonthestockRf=Risk-freerateβi=BetaofthestockE(Rm)=ExpectedreturnonthemarketportfolioPlugginginthegivenvalues:E(Ri)=0.03+1.2*(0.08-0.03)E(Ri)=0.03+1.2*0.05E(Ri)=0.03+0.06E(Ri)=0.09Answer:9%解析思路：根据CAPM公式E(Ri)=Rf+βi*[E(Rm)-Rf]计算预期回报。其中Rf=3%（无风险利率），βi=1.2（股票贝塔值），E(Rm)=8%（市场预期回报）。代入公式：E(Ri)=0.03+1.2*(0.08-0.03)=0.03+1.2*0.05=0.03+0.06=0.09，即9%。3.Thepriceofabondisthepresentvalueofitsfuturecashflows,whichincludetheperiodiccouponpaymentsandthefacevaluepaidatmaturity.Theformulaforthepriceofabond(P)is:P=[C*(1-(1+r)^-n)/r]+[F/(1+r)^n].Where:C=Annualcouponpaymentr=Yieldtomaturity(YTM)perperiodn=TotalnumberofperiodsF=FacevalueofthebondSincethecouponispaidsemi-annually,weneedtoadjustthevalues:C=6%*$1,000/2=$30perperiod.r=5%/2=2.5%perperiod.n=5years*2=10periods.F=$1,000.P=[30*(1-(1+0.025)^-10)/0.025]+[1000/(1+0.025)^10]P=[30*(1-0.807513)/0.025]+[1000/1.280084]P=[30*0.192487/0.025]+[1000/1.280084]P=[5.77461/0.025]+[781.208]P=230.9844+781.208P=$1,012.19(roundedtotwodecimalplaces)Answer:$1,012.19解析思路：计算债券价格需要将未来所有现金流折现到当前。现金流包括每期利息和到期偿还的本金。公式为P=[C*(1-(1+r)^-n)/r]+[F/(1+r)^n]。其中C=年息票率*面值/付息频率=6%*1000/2=30；r=年到期收益率/付息频率=5%/2=2.5%；n=年数*付息频率=5*2=10；F=面值=1000。代入计算：P=[30*(1-(1+0.025)^-10)/0.025]+[1000/(1+0.025)^10]=[30*(1-0.807513)/0.025]+[1000/1.280084]=[30*0.192487/0.025]+[781.208]=230.9844+781.208=1012.1924，四舍五入后为1012.19美元。4.Durationmeasuresthesensitivityofabond'spricetochangesininterestrates.Thepercentagechangeinthepriceofabondforagivenchangeinyieldcanbeapproximatedusingtheformula:PercentageChangeinPrice≈-Duration*(ChangeinYield).Here,thedurationis4.5years,andthechangeinyieldis1%,or0.01.PercentageChangeinPrice≈-4.5*0.01PercentageChangeinPrice≈-0.045Answer:-4.5%解析思路：债券久期衡量债券价格对利率变化的敏感度。价格变化的百分比近似等于-久期*利率变化。这里，久期=4.5年，利率变化=1%=0.01。代入公式：百分比变化≈-4.5*0.01=-0.045，即-4.5%。5.Acalloptiongivestheholdertheright,butnottheobligation,tobuytheunderlyingstockatthestrikeprice.Themaximumlossforabuyerofacalloptionoccursifthestockpriceatexpirationislessthanorequaltothestrikeprice,makingtheoptionworthless.Themaximumlossislimitedtothepremiumpaidfortheoption.MaximumLoss=PremiumPaid=$2Answer:$2解析思路：买入看涨期权赋予买方以约定价格购买标的股票的权利，而非义务。买入方的最大损失发生在到期时股票价格低于或等于执行价格，此时期权作废。最大损失即为买入期权时支付的权利金，本题中为2美元。6.Theput-callparityrelationshipforEuropeanputandcalloptionswiththesamestrikeprice(K)andexpirationdate(T)is:C+K*e^(-rT)=P+S0,where:C=PriceoftheEuropeancalloptionP=PriceoftheEuropeanputoptionS0=CurrentpriceoftheunderlyingstockK=Strikepriceoftheoptionsr=Risk-freeinterestratee=Euler'snumberT=TimetoexpirationThisequationshowsthetheoreticalrelationshipbetweenthepricesofEuropeanputsandcalls,holdingthestockprice,strikeprice,timetoexpiration,andrisk-freerateconstant.Answer:C+K*e^(-rT)=P+S0解析思路：欧式看涨期权与看跌期权平价关系为C+K*e^(-rT)=P+S0。其中C为看涨期权价格，P为看跌期权价格，S0为当前标的股票价格，K为执行价格，r为无风险利率，T为期满时间。该关系表明在特定条件下（同标的、同执行价、同到期日），看涨期权与看跌期权价格存在理论上的联动。7.Afuturescontractobligatestheholdertobuyorselltheunderlyingassetatapredeterminedpriceatafuturedate.Iftheinvestorislong(hasbought)thecontract,ariseinthefuturespriceleadstoaprofit.Theprofitperbarreliscalculatedasthedifferencebetweenthecurrentfuturespriceandtheinitialfuturesprice,multipliedbythecontractsize(1,000barrels).Profitperbarrel=(CurrentFuturesPrice-InitialFuturesPrice)*(ContractSize/1,000barrels)Profitperbarrel=($65-$60)*(1,000/1,000)Profitperbarrel=$5Answer:$5解析思路：持有期货多头头寸（买入期货合约）意味着未来需按约定价格买入标的资产。期货价格上涨将带来盈利。每桶盈利=（当前期货价格-初始期货价格）*(合约规模/每桶数量)。这里，初始价格=60，当前价格=65，合约规模=1000桶。每桶盈利=(65-60)*(1000/1000)=5美元。8.ThecostofequitycanbecalculatedusingtheCapitalAssetPricingModel(CAPM):Ke=Rf+β*[E(Rm)-Rf].Where:Ke=CostofequityRf=Risk-freerateβ=BetaofthecompanyE(Rm)=ExpectedreturnonthemarketportfolioTheWACCformulais:WACC=(E(Re)*E(Se)/V)+(Rd*D/V*(1-Tc)),whereE(Re)isthecostofequity,E(Se)isthemarketvalueofequity,Rdisthecostofdebt,Disthemarketvalueofdebt,Visthetotalmarketvalueofthefirm(E(Se)+D),andTcisthecorporatetaxrate.However,theproblemprovidestheWACCformulabutaskstofinditusingtheCAPM-derivedcostofequity.ItseemstheremightbeaninconsistencyasWACCalsodependsonthecostofdebtandthedebt-to-equityratio.AssumingthequestionintendstousetheCAPMcostofequitydirectlyorthere'smissinginformationfordebtcost,wewillcalculatethecostofequityfirst.Ke=0.04+1.3*(0.12-0.04)Ke=0.04+1.3*0.08Ke=0.04+0.104Ke=0.144Ke=14.4%Assumingthedebt-to-equityratio(D/E)is0.5,thisimpliesE/D=2.Therefore,theproportionofequityinthefirm'svalue(E/V)isE/(E+D)=E/(E+0.5E)=E/1.5E=2/3.Theproportionofdebt(D/V)isD/(E+D)=0.5E/1.5E=1/3.Assumingacostofdebt(Rd)isneededforWACC,let'sassumeRd=6%(acommonassumptionifnotgiven).Then:WACC=(0.144*(2/3))+(0.06*(1/3)*(1-0.30))WACC=(0.096)+(0.06*(1/3)*0.70)WACC=0.096+(0.06*0.2333)WACC=0.096+0.013998WACC=0.110998WACC≈11.1%SincethequestionasksfortheWACCbutseemstowanttheCAPMcostofequitycalculatedfirst,theprimaryanswerbasedontheexplicitcalculationrequestedisthecostofequity.Answer:14.4%解析思路：第一步：计算股权成本（Ke）使用CAPM模型公式Ke=Rf+β*[E(Rm)-Rf]。已知Rf=4%，β=1.3，E(Rm)=12%。代入计算：Ke=0.04+1.3*(0.12-0.04)=0.04+1.3*0.08=0.04+0.104=0.144，即14.4%。第二步：计算WACC需要股权和债权成本以及它们在资本结构中的比例。题目给出债权权益比（D/E）=0.5，意味着权益债权比（E/D）=1/0.5=2。权益占企业总价值（E/V）的比例为E/(E+D)=E/(E+0.5E)=2/3。债权占企业总价值（D/V）的比例为D/(E+D)=0.5E/(E+0.5E)=1/3。第三步：WACC公式为WACC=(Ke*E/V)+(Rd*D/V*(1-Tc))。题目未给出债权成本（Rd）和企业所得税率（Tc）。为完成计算，此处假设Rd=6%，Tc=30%。WACC=(0.144*2/3)+(0.06*1/3*(1-0.30))=(0.144*0.6667)+(0.06*0.3333*0.70)=0.096+(0.02*0.70)=0.096+0.014=0.110，即11.0%。注意：由于题目要求计算WACC但主要信息是CAPM股权成本，且缺少Rd和Tc数据，此WACC计算基于假设。若题目意在仅用CAPM计算，则答案为14.4%。此处按题目文字直接计算的Ke为主要结果。9.Diversificationisthepracticeofspreadinginvestmentsacrossvariousfinancialinstruments,industries,andothercategoriestoreducerisk.Theprimaryfunctionofdiversificationistoreducetheunsystematicrisk(specificrisk)ofaninvestmentportfolio.Unsystematicriskistheriskthatisspecifictoacompanyorindustry,anditcanbereducedbyinvestinginavarietyofassetsthatarenotperfectlycorrelatedwitheachother.Systematicrisk(marketrisk)cannotbeeliminatedthroughdiversification.Answer:Toreduceunsystematicrisk.解析思路：分散化投资的核心功能是降低投资组合的非系统性风险（特定风险）。非系统性风险是指特定公司或行业所特有的风险。通过投资于彼此相关性不强的多种资产，可以减少这种风险。系统性风险（市场风险）无法通过分散化消除。10.Theconstantgrowthdividenddiscountmodel(GordonGrowthModel)isusedtovalueastockbasedonthepresentvalueofitsexpectedfuturedividends,assumingaconstantgrowthrate.Theformulais:P0=D1/(Ke-g),where:P0=EstimatedintrinsicvalueofthestockD1=ExpecteddividendnextyearKe=Requiredrateofreturnonthestockg=ExpectedgrowthrateofdividendsPlugginginthegivenvalues:P0=$2/(0.10-0.05)P0=$2/0.05P0=$40Answer:$40解析思路：使用戈登增长模型（常数增长股利折现模型）计算股票内在价值。公式为P0=D1/(Ke-g)。其中D1=2（明年预期股利），Ke=10%（要求回报率），g=5%（股利增长率）。代入计算：P0=2/(0.10-0.05)=2/0.05=40，即40美元。11.Theexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsoftheindividualassets.Theformulais:E(Rp)=wA*E(RA)+wB*E(RB),wherewAandwBaretheweightsofassetsAandBintheportfolio,andE(RA)andE(RB)aretheirexpectedreturns.E(Rp)=0.6*0.12+0.4*0.10E(Rp)=0.072+0.04E(Rp)=0.112E(Rp)=11.2%Thestandarddeviationofatwo-assetportfolioiscalculatedusingtheformula:σp=sqrt[wA^2*σA^2+wB^2*σB^2+2*wA*wB*σA*σB*ρAB],whereσAandσBarethestandarddeviationsofassetsAandB,andρABisthecorrelationcoefficientbetweenthem.σp=sqrt[(0.6^2*0.20^2)+(0.4^2*0.15^2)+2*0.6*0.4*0.20*0.15*(-1.0)]σp=sqrt[(0.36*0.04)+(0.16*0.0225)+2*0.6*0.4*0.20*0.15*(-1.0)]σp=sqrt[0.0144+0.0036+2*0.6*0.4*0.20*0.15*(-1.0)]σp=sqrt[0.0180+2*0.048*0.03*(-1.0)]σp=sqrt[0.0180-0.00288]σp=sqrt[0.01512]σp≈0.1229σp≈12.3%Answer:ExpectedReturn:11.2%;StandardDeviation:12.3%解析思路：第一步：计算组合预期回报E(Rp)。组合回报是各资产回报的加权平均。权重wA=60%（股票A比例），wB=40%（股票B比例）。股票A预期回报E(RA)=12%，股票B预期回报E(RB)=10%。E(Rp)=0.6*0.12+0.4*0.10=0.072+0.04=0.112，即11.2%。第二步：计算组合标准差σp。公式为σp=sqrt[wA^2*σA^2+wB^2*σB^2+2*wA*wB*σA*σB*ρAB]。股票A标准差σA=20%，股票B标准差σB=15%，相关系数ρAB=-1（完美负相关）。代入计算：σp=sqrt[(0.6^2*0.20^2)+(0.4^2*0.15^2)+2*0.6*0.4*0.20*0.15*(-1.0)]=sqrt[(0.36*0.04)+(0.16*0.0225)+2*0.6*0.4*0.20*0.15*(-1.0)]=sqrt[0.0144+0.0036-0.0036]=sqrt[0.0180-0.00288]=sqrt[0.01512]≈0.1229，即约12.3%。12.Thepriceofabondisthepresentvalueofitsfuturecashflows,whichincludetheperiodiccouponpaymentsandthefacevaluepaidatmaturity.Theformulaforthepriceofabond(P)is:P=[C*(1-(1+r)^-n)/r]+[F/(1+r)^n].Where:C=Annualcouponpaymentr=Yieldtomaturity(YTM)perperiodn=TotalnumberofperiodsF=FacevalueofthebondSincethecouponispaidannually,thevaluesare:C=8%*$1,000=$80perperiod.r=7%/1=7%perperiod.n=10years*1=10periods.F=$1,000.P=[80*(1-(1+0.07)^-10)/0.07]+[1000/(1+0.07)^10]P=[80*(1-0.508349)/0.07]+[1000/1.967151]P=[80*0.491651/0.07]+[1000/1.967151]P=[39.33208/0.07]+[508.349]P=561.8897+508.349P=$1,070.24(roundedtotwodecimalplaces)Answer:$1,070.24解析思路：计算债券价格需要将未来所有现金流（每年利息和到期本金）折现到当前。公式为P=[C*(1-(1+r)^-n)/r]+[F/(1+r)^n]。其中C=年息票率*面值=8%*1000=80；r=年到期收益率=7%；n=年数=10；F=面值=1000。代入计算：P=[80*(1-(1+0.07)^-10)/0.07]+[1000/(1+0.07)^10]=[80*(1-0.508349)/0.07]+[1000/1.967151]=[80*0.491651/0.07]+[508.349]=561.8897+508.349=1070.2387，四舍五入后为1070.24美元。13.Theinvestorboughtaputoption,whichgivestheright,butnottheobligation,toselltheunderlyingstock(StockABC)atthestrikeprice($30)beforeexpiration.Thepremiumpaidwas$1.ThecurrentpriceofStockABCis$32.Atexpiration,ifthestockpriceis$25,whichisbelowthestrikeprice,theputoptionis"inthemoney."Theinvestorcanexercisetheoptiontosellthestockat$30,realizingagainof$30(strikeprice)-$25(currentprice)=$5pershare.However,thisgainmustoffsettheinitialpremiumpaidof$1pershare.Therefore,thenetprofitpershareis$5-$1=$4.Answer:$4解析思路：投资者买入看跌期权，拥有以30美元价格卖出股票ABC的权利。支付的权利金为1美元。当前股价为32美元。到期时股价为25美元，低于执行价，期权为价内期权。投资者可选择行权，以30美元卖出，盈利=30-25=5美元/股。但需扣除最初支付的权利金1美元/股。净盈利=5-1=4美元/股。14.Theyieldcurverepresentstherelationshipbetweentheyieldsondebtinstrumentsandtheirtimetomaturity.Aflatyieldcurveindicatesthatyieldsareapproximatelythesameacrossallmaturities.Thisshapeoftensuggeststhatthemarketexpectsfutureshort-terminterestratestoremainstableorthatthereislittleexpectationofasignificantchangeinthedirectionofinterestrates.Itcouldindicateaperiodofuncertaintyoratransitionphaseintheeconomiccycle.Answer:Themarketexpectsshort-terminterestratestoremainstableinthenearfuture.解析思路：水平收益率曲线意味着所有到期期限的债务工具收益率大致相同。这通常表明市场预期短期内利率将保持稳定，或者对未来利率方向变化预期不大。它可能指示一个不确定性时期或经济周期转换阶段。最常见的解读是市场预期短期内短期利率将保持稳定。15.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedreturnonanassetislinearlyrelatedtoitsbeta.TheformulaisE(Ri)=Rf+βi*[E(Rm)-Rf].WhereE(Rm)-Rfisthemarketriskpremium.Ahigherbetaimpliesgreatersystematicriskrelativetothemarket,andtherefore,accordingtoCAPM,itrequiresahigherexpectedreturntocompensateinvestorsfortakingonthatadditionalrisk.Therefore,thereisapositiverelationshipbetweenastock'sbetaanditsexpectedreturn,holdingotherfactorsconstant.Answer:Ahigherbetaimpliesahigherexpectedreturn.解析思路：根据资本资产定价模型（CAPM），资产的预期回报与其贝塔值线性相关。公式为E(Ri)=Rf+βi*[E(Rm)-Rf]。其中[E(Rm)-Rf]为市场风险溢价。贝塔值越高，意味着相对于市场的系统性风险越大，根据CAPM，投资者需要更高的预期回报来补偿承担的额外风险。因此，股票的贝塔值与其预期回报之间存在正相关关系（在其它因素不变的情况下）。16.Theexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsoftheindividualassets.E(Rp)=wA*E(RA)+wB*E(RB)E(Rp)=0.6*0.14+0.4*0.09E(Rp)=0.084+0.036E(Rp)=0.12E(Rp)=12%Thestandarddeviationofatwo-assetportfolioiscalculatedusingtheformula:σp=sqrt[wA^2*σA^2+wB^2*σB^2+2*wA*wB*σA*σB*ρAB].σp=sqrt[(0.6^2*0.18^2)+(0.4^2*0.12^2)+2*0.6*0.4*0.18*0.12*0.2]σp=sqrt[(0.36*0.0324)+(0.16*0.0144)+2*0.6*0.4*0.18*0.12*0.2]σp=sqrt[0.011664+0.002304+2*0.6*0.4*0.0216*0.2]σp=sqrt[0.011664+0.002304+2*0.096*0.00432]σp=sqrt[0.011664+0.002304+0.00082944]σp=sqrt[0.01479744]σp≈0.1216σp≈12.2%Answer:ExpectedReturn:12%;StandardDeviation:12.2%解析思路：第一步：计算组合预期回报E(Rp)。E(Rp)=wA*E(RA)+wB*E(RB)。权重wA=60%，wB=40%。预期回报E(RA)=14%，E(RB)=9%。E(Rp)=0.6*0.14+0.4*0.09=0.084+0.036=0.12，即12%。第二步：计算组合标准差σp。公式为σp=sqrt[wA^2*σA^2+wB^2*σB^*ρAB]。已知σA=18%，σB=12%，相关系数ρAB=0.2。代入计算：σp=sqrt[(0.6^2*0.18^2)+(0.4^2*0.12^2)+2*0.6*0.4*0.18*0.12*0.2]=sqrt[(0.36*0.0324)+(0.16*0.0144)+2*0.6*0.4*0.0216*0.2]=sqrt[0.011664+0.002304+0.00082944]=sqrt[0.01479744]≈0.1216，即约12.2%。17.Theconstantgrowthdividenddiscountmodel(GordonGrowthModel)isusedtovalueastockbasedonthepresentvalueofitsexpectedfuturedividends,assumingaconstantgrowthrate.Theformulais:P0=D1/(Ke-g),where:P0=EstimatedintrinsicvalueofthestockD1=ExpecteddividendnextyearKe=Requiredrateofreturnonthestockg=ExpectedgrowthrateofdividendsFirst,weneedtofindtherequiredrateofreturn(Ke)usingthesameformula,rearrangedtosolveforKe:Ke=D1/P0+g.WhereP0=$50(currentstockprice),D1=$2(expecteddividendnextyear),g=6%(expectedgrowthrate).Ke=$2/$50+0.06Ke=0.04+0.06Ke=0.10Ke=10%Now,usethisrequiredrate