2025年CFA二级真题解析及答案

2025年CFA二级真题解析及答案考试时间：______分钟总分：______分姓名：______SectionAItemSet1:EthicalDilemmaatApexInvestmentsApexInvestmentsisamulti-billiondollarassetmanagementfirm.Youareaportfoliomanagerresponsibleformanagingalargeequityportfolioworth$500million.TheportfoliohasasignificantholdinginGreenTechInc.,acompanyknownforitsstrongenvironmental,social,andgovernance(ESG)practices.GreenTechInc.isplanningtoacquireSolarSolutionsLtd.,acompanywithamixedenvironmentalrecord.YourresearchanalysthasprovidedtworeportsonSolarSolutionsLtd.Thefirstreport,preparedbyajunioranalystwhorecentlygraduatedfromanenvironmentalstudiesprogram,ishighlycriticalofSolarSolutions'environmentalpracticesandconcludesthattheacquisitionwouldnegativelyimpactApexInvestments'ESGrating.Thesecondreport,preparedbyasenioranalystwithabackgroundinfinancialengineering,ispositiveabouttheacquisition,focusingonthefinancialbenefitsandpotentialsynergies,whiledownplayingtheenvironmentalconcerns.TheCEOofApexInvestmentshaspubliclystatedthatthefirmiscommittedtoESGinvestingandhassetambitioustargetsforimprovingitsportfolio'sESGrating.However,theCEOisalsounderpressurefrominvestorstomaximizeshort-termreturns.TheacquisitionofSolarSolutionsLtd.isexpectedtogeneratesignificantshort-termgainsbutcouldpotentiallyharmthefirm'slong-termreputationiftheenvironmentalimpactisnotcarefullymanaged.Youareconsideringwhethertoproceedwiththeacquisition.Youknowthatifyouproceed,youwillhavetoengageinextensivedialoguewithSolarSolutionsLtd.toaddresstheenvironmentalconcernsanddevelopaplantomitigateanynegativeimpactonthefirm'sESGrating.Required:a.Brieflydescribetheethicaldilemmayouarefacinginthisscenario.b.Identifytherelevantethicalissuesandconflictsofinterestinvolved.c.ExplainhowtheCFAInstituteCodeandStandardsmightbeappliedtothissituation.Discusstheapplicablestandardsindetailandhowtheyguideyourdecision-makingprocess.d.Whatstepsshouldyoutaketoaddresstheethicalconcernsandmakeadecisionthatisconsistentwithyourdutiesasaportfoliomanagerandthefirm'sstatedcommitmenttoESGinvesting?ItemSet2:ValuingaStart-UpCompanyYouareanalyzingastart-upcompany,InnovatechSolutions,whichdevelopsandlicensesinnovativesoftwaresolutionsforbusinesses.Thecompanywasfoundedtwoyearsagoandhasexperiencedrapidgrowth.However,ithasnotyetgeneratedanysignificantrevenueandiscurrentlyloss-making.Themanagementteamhasrecentlysubmittedabusinessplantoyou,outliningtheirstrategyforfuturegrowthandrevenuegeneration.Basedontheplan,theyprojectthatthecompanywillgeneratepositivefreecashflowsstartingnextyear.Youareconsideringinvestinginthecompanyandhavebeenprovidedwiththefollowinginformation:*Thecompany'scurrentmarketvalueofequityis$50million.*Thecompanyhasnodebt.*Youestimatethatthecompany'sfreecashflowsforthenextthreeyearswillbeasfollows:*Year1:$5million*Year2:$10million*Year3:$15million*AfterYear3,youexpectthecompany'sfreecashflowstogrowataconstantrateof5%peryearindefinitely.*Yourequireareturnof15%onyourinvestmentinthiscompany.Required:a.CalculatetheintrinsicvalueofInnovatechSolutionsusingadiscountedcashflow(DCF)model.b.Youareconsideringanalternativevaluationapproachbasedoncomparablecompanies.YouhaveidentifiedthreepubliccompaniesthataresimilartoInnovatechSolutionsintermsoftheirbusinessmodel,growthprospects,andriskprofile.Thefollowingisthecurrentmarketcapitalizationandestimatedearningspershare(EPS)forthesecompanies:*CompanyA:MarketCap=$200million,EPS=$2.00*CompanyB:MarketCap=$150million,EPS=$1.50*CompanyC:MarketCap=$250million,EPS=$2.50Calculatetheenterprisevalue/EBITDAmultipleforeachcompany.c.EstimatetheintrinsicvalueofInnovatechSolutionsusingthecomparablecompanyanalysisapproach.AssumeInnovatechSolutionshasanEBITDAof$8millionforthenextyearandthatthemarketcapitalization/EBITDAmultipleyoucalculatedinpartbisapplicabletoInnovatechSolutions.d.ComparetheintrinsicvaluescalculatedusingtheDCFmodelandthecomparablecompanyanalysisapproach.Explainthepotentialreasonsforanydifferencesbetweenthetwovalues.e.Discussthestrengthsandweaknessesofeachvaluationapproachinthecontextofvaluingastart-upcompanylikeInnovatechSolutions.ItemSet3:AnalyzingaMutualFundPortfolioYouareanalyzingtheportfolioofalarge-capgrowthmutualfund.Thefundhasaportfoliovalueof$1billionandinvestsprimarilyinthestocksoflargecompanieswithabove-averagegrowthpotential.Thefollowingistheportfoliocompositionofthefundasoftheendofthelatestquarter:*StockA:20%oftheportfolio,Beta=1.2,Expectedreturn=12%*StockB:30%oftheportfolio,Beta=0.8,Expectedreturn=10%*StockC:25%oftheportfolio,Beta=1.5,Expectedreturn=14%*StockD:15%oftheportfolio,Beta=1.0,Expectedreturn=11%*StockE:10%oftheportfolio,Beta=0.9,Expectedreturn=9%Therisk-freerateis2%,andthemarketriskpremiumis6%.Required:a.Calculatetheexpectedreturnofthemutualfundportfolio.b.Calculatetheportfolio'sbeta.c.UsingtheCapitalAssetPricingModel(CAPM),calculatetherequiredrateofreturnforthemutualfundportfolio.d.Thefundmanagerisconsideringaddinganewstock,StockF,totheportfolio.Thestockhasanexpectedreturnof13%andabetaof1.3.IfthefundmanageraddsStockFwithaweightof5%intheportfolio,whatwillbethenewexpectedreturnandbetaoftheportfolio?e.Discusstheimplicationsoftheportfolio'sbetaandrequiredrateofreturnforthefund'sinvestors.Explainhowthefundmanagercanusetheconceptofbetatoconstructaportfoliothatmeetstheinvestmentobjectivesofthefund'sinvestors.ItemSet4:OptionsStrategiesandPricingYouareafinancialanalystatafirmthatprovidesinvestmentadvicetoclients.Oneofyourclientsisinterestedinusingoptionsstrategiestoprotectthevalueoftheirstockportfolio.Theclient'sportfolioisheavilyweightedinTechnologystocks,andtheyareconcernedaboutapotentialmarketdownturninthenearterm.Youareconsideringtwooptionsstrategiestohelptheclientmanagethisrisk:aprotectiveputandacollar.Thecurrentpriceoftheclient'sstockportfoliois$1million.Youdecidetouseoptionsonabroad-basedtechnologyindex,TechIndex,astheunderlyingasset.ThecurrentleveloftheTechIndexis1,200,andtheexpirationdatefortheoptionsis3monthsfromnow.Thefollowingaretherelevantoptionprices:*Calloptionwithastrikepriceof1,150:Premium=$25*Putoptionwithastrikepriceof1,150:Premium=$40Required:a.Describetheprotectiveputstrategy.Whatisthemainpurposeofthisstrategy?b.Calculatethemaximumprofit,maximumloss,andbreak-evenpointfortheprotectiveputstrategyusingthegivenoptionpricesandthecurrentvalueoftheclient'sstockportfolio.c.Describethecollarstrategy.Whatarethemainadvantagesanddisadvantagesofthisstrategycomparedtotheprotectiveputstrategy?d.Calculatethenetpremiumreceivedorpaidforthecollarstrategyifyoubuytheputoptionwithastrikepriceof1,150andsellthecalloptionwithastrikepriceof1,250(assumeapremiumof$15forthecalloption).Assumethesameexpirationdateastheputoption.e.ExplainhowtheBlack-Scholesmodelcanbeusedtopricetheoptionsusedinthesestrategies.Discussthekeyinputsrequiredforthemodelandhowchangesintheseinputsaffecttheoptionprice.ItemSet5:InterestRateRiskManagementYouareafixedincomeportfoliomanageratabank.Thebankhasalargeportfoliooffixed-ratemortgage-backedsecurities(MBS)withatotaldurationof4.5years.ThecurrentyieldtomaturityontheMBSportfoliois4%.ThebankisconcernedaboutthepotentialimpactofrisinginterestratesonthevalueofitsMBSportfolio.Thebank'sriskmanagementpolicyallowsittouseinterestrateswapstomanageitsinterestrateriskexposure.Thebankhasenteredintoaninterestrateswapagreementwithacounterparty.Underthetermsoftheswap,thebankpaysafixedinterestrateof4.25%onanotionalamountof$100millionandreceivesafloatinginterestratebasedontheLIBOR3-monthindex.Thefloatinginterestrateisresetevery3months.ThecurrentLIBOR3-monthindexis3.5%.Required:a.CalculatethepresentvalueoftheMBSportfoliousingthecurrentyieldtomaturity.b.CalculatethedurationoftheMBSportfolioandexplainhowdurationcanbeusedtomeasurethesensitivityoftheportfolio'svaluetochangesininterestrates.c.Calculatetheexpectedcashflowforthebankfromtheinterestrateswapinthenext3months,assumingthenotionalamountis$100millionandthefixedinterestrateis4.25%.d.ExplainhowtheinterestrateswapcanbeusedbythebanktomanageitsinterestrateriskexposureontheMBSportfolio.Describethepotentialbenefitsanddrawbacksofusinginterestrateswapsforthispurpose.e.Thebank'sriskmanagementteamisconsideringhedgingaportionofitsMBSportfoliousingtheinterestrateswap.Theyestimatethathedging50%oftheportfolio'snotionalamountwouldbesufficienttoreducetheportfolio'sinterestrateriskexposure.Calculatethenewdurationofthehedgedportfolioandexplainhowthiscomparestothedurationoftheunhedgedportfolio.Assumethatthedurationoftheswappaymentsreceivedis0.5years.SectionBItemSet6:EquityValuationofaPharmaceuticalCompanyYouareanalyzingapharmaceuticalcompany,PharmaCorp,whichdevelopsandmarketsdrugsforvarioustherapeuticareas.PharmaCorphasastrongportfolioofdrugs,butseveralofitsbest-sellingdrugsarenearingtheendoftheirpatentprotection,whichcouldnegativelyimpactitsfutureearnings.Thecompanyisalsoinvestingheavilyinresearchanddevelopment(R&D)tomaintainitscompetitiveedge.YouhavegatheredthefollowinginformationaboutPharmaCorp:*Currentstockprice:$50pershare*Earningspershare(EPS)forthepast5years:*Year1:$2.00*Year2:$2.20*Year3:$2.40*Year4:$2.60*Year5:$2.80*Analysts'consensusforecastforEPSforthenext5years:*Year1:$3.00*Year2:$3.20*Year3:$3.40*Year4:$3.60*Year5:$3.80*Analysts'consensusforecastfortheterminalgrowthrateofEPSafterYear5:4%*Yourequireareturnof12%onyourinvestmentinPharmaCorp.Required:a.CalculatetheintrinsicvalueofPharmaCorp'sstockusingadiscountedcashflow(DCF)model.Assumeyouwillusethefreecashflowtoequity(FCFE)approach.b.YouareconsideringusingacomparablecompanyanalysisapproachtovaluePharmaCorp'sstock.YouhaveidentifiedthreepublicpharmaceuticalcompaniesthataresimilartoPharmaCorpintermsoftheirsize,businessfocus,andgrowthprospects.ThefollowingisthecurrentmarketcapitalizationandEPSforthesecompanies:*CompanyX:MarketCap=$20billion,EPS=$4.00*CompanyY:MarketCap=$25billion,EPS=$3.50*CompanyZ:MarketCap=$30billion,EPS=$5.00Calculatetheprice/earnings(P/E)multipleforeachcompany.c.EstimatetheintrinsicvalueofPharmaCorp'sstockusingthecomparablecompanyanalysisapproach.AssumePharmaCorp'sEPSforthenextyearisexpectedtobe$3.00andthattheP/EmultipleyoucalculatedinpartbisapplicabletoPharmaCorp.d.ComparetheintrinsicvaluescalculatedusingtheDCFmodelandthecomparablecompanyanalysisapproach.Explainthepotentialreasonsforanydifferencesbetweenthetwovalues.e.DiscussthestrengthsandweaknessesofeachvaluationapproachinthecontextofvaluingapharmaceuticalcompanylikePharmaCorp,especiallyconsideringthechallengesofestimatingitsfutureearnings.ItemSet7:FixedIncomePortfolioManagementYouareafixedincomeportfoliomanageratapensionfund.ThepensionfundhasalargeportfolioofU.S.Treasurybondswithatotaldurationof7years.Thecurrentyieldtomaturityonthebondportfoliois3%.Thepensionfundisconsideringaddinganewbondtoitsportfolio,BondG,whichisa10-yearU.S.Treasurybondwithacouponrateof4%andacurrentyieldtomaturityof3.5%.Required:a.CalculatetheMacaulaydurationandmodifieddurationofBondG.Assumesemi-annualcouponpayments.b.ExplainthedifferencebetweenMacaulaydurationandmodifiedduration.Howarethesemeasuresusedtomanagetheinterestrateriskofabondportfolio?c.CalculatetheexpectedpercentagechangeinthepriceofBondGfora1%increaseininterestrates.Usethemodifieddurationtoestimatethischange.d.ThepensionfundisconsideringaddingBondGtoitsexistingportfolio.Theportfoliomanagerwantstomaintaintheoveralldurationoftheportfolioat7years.CalculatetheweightofBondGthatshouldbeaddedtotheportfolioifthenotionalamountofBondGis$1million.e.Discussthefactorsthatshouldbeconsideredwhenconstructingafixedincomeportfoliotomeetthepensionfund'sliabilityrequirements.Explainhowdurationmanagementcanbeusedtoachievethisobjective.ItemSet8:HedgeFundStrategiesYouareafinancialanalystatafirmthatspecializesininvestinginhedgefunds.Youarecurrentlyevaluatingahedgefundthatemploysalong/shortequitystrategy.Thefund'smanagerusesfundamentalanalysistoidentifyundervaluedstocks(longpositions)andovervaluedstocks(shortpositions).Thefundhasahighdegreeofleverageandusesvariousderivativestoenhanceitsreturnsandmanageitsrisk.Thefollowingisthehistoricalperformanceofthefundoverthepast5years:*Year1:12%*Year2:-8%*Year3:15%*Year4:5%*Year5:10%Thefund'smanagementfeeis2%oftheaverageassetsundermanagement(AUM)peryear,andtheperformancefeeis20%oftheexcessreturngeneratedovera2%hurdlerate.Required:a.Calculatetheannualreturnsgeneratedbythefundafterdeductingthemanagementfeeandperformancefee.AssumetheAUMofthefundatthebeginningofeachyearwas$100million.b.CalculatetheSharperatioofthefund'sreturns,assumingtherisk-freerateis2%peryear.c.Describethelong/shortequitystrategyusedbythefund.Whatarethepotentialadvantagesanddisadvantagesofthisstrategycomparedtootherhedgefundstrategies?d.Thefundmanagerhasproposedusingoptionsstrategiestoenhancethefund'sreturns.Describetwooptionsstrategiesthatthefundcouldusetoachievethisobjective.Explainhoweachstrategyworksandthepotentialrisksassociatedwitheachstrategy.e.Discusstheroleofleverageinhedgefundstrategies.Explainhowleveragecanamplifybothreturnsandrisksforahedgefund.Whatarethepotentialrisksassociatedwithusinghighleverageinahedgefundstrategy?ItemSet9:DerivativesforRiskManagementYouareariskmanageratamultinationalcorporation.Thecompanyhassignificantexposuretoforeigncurrencyexchangeraterisk.ThecompanyexportsitsproductstoEuropeandimportsrawmaterialsfromAsia.Thecompany'sfinancialstatementsaredenominatedinU.S.dollars,butasignificantportionofitsrevenueandexpensesareinforeigncurrencies.Thecompanyisconcernedaboutthepotentialimpactofexchangeratefluctuationsonitsprofitability.Theriskmanagementcommitteehasdecidedtousederivativestohedgeitsforeigncurrencyexchangeraterisk.Thecompanyisconsideringusingforwardcontracts,futurescontracts,andoptionstohedgeitsexposure.Required:a.Describethedifferencebetweenaforwardcontractandafuturescontract.Whichtypeofcontractistypicallyusedforhedgingpurposes,andwhy?b.ThecompanyisconsideringhedgingitsexpectedrevenuefromitsEuropeanexportsusingaforwardcontract.Thecompanyexpectstoreceive€10millionin6months.Thecurrentspotexchangerateis1USD=0.90EUR,andthe6-monthforwardexchangerateis1USD=0.88EUR.CalculatetheamountofU.S.dollarsthecompanywillreceiveifithedgesitsrevenueusingtheforwardcontract.c.ThecompanyisalsoconsideringhedgingitsexpectedexpenseforitsimportsfromAsiausingacurrencyoption.Thecompanyexpectstopay¥100millionin9months.Thecurrentspotexchangerateis1USD=0.0070JPY,andthe9-monthcalloptiononJPY/USDhasastrikepriceof1USD=0.0065JPYandapremiumof0.0005USDperJPY.CalculatethemaximumamountofU.S.dollarsthecompanywillhavetopayifithedgesitsexpenseusingthecalloption.d.Discusstheadvantagesanddisadvantagesofusingderivativesforhedgingforeigncurrencyexchangeraterisk.Whatarethepotentialrisksassociatedwithusingderivativesforhedgingpurposes?e.Explainhowtheconceptofvalueatrisk(VaR)canbeusedtomeasurethepotentiallossfromforeigncurrencyexchangeraterisk.DescribethestepsinvolvedincalculatingtheVaRforacompany'sforeigncurrencyexchangerateexposure.ItemSet10:RealEstateInvestmentAnalysisYouarearealestateinvestmentanalystatafirmthatspecializesininvestingincommercialrealestate.Youarecurrentlyevaluatingaproposedinvestmentinashoppingmall.Theshoppingmallislocatedinasuburbanareawithastrongeconomicoutlook.Themallhas100,000squarefeetofleasableareaandiscurrently80%leased.Thefollowingistheinformationyouhavegatheredabouttheproposedinvestment:*Initialinvestmentcost:$20million*Estimatedannualoperatingexpenses:$1.2million*Estimatedannualpropertytaxes:$600,000*Estimatedannualinsurance:$200,000*Estimatedannualdepreciation:$1million*Estimatedannualrentalincome:$2million*Themallisexpectedtobefullyleasedin2years.*ThemallisexpectedtobesoldattheendofYear5for$25million.*Yourequireareturnof12%onyourinvestmentinthisproject.Required:a.Calculatethenetoperatingincome(NOI)fortheshoppingmallforeachyearoftheproject.b.Calculatethecashflowfortheshoppingmallforeachyearoftheproject.c.Calculatetheinternalrateofreturn(IRR)fortheshoppingmallproject.d.Calculatethenetpresentvalue(NPV)oftheshoppingmallprojectusingadiscountrateof12%.e.Discussthefactorsthatshouldbeconsideredwhenevaluatingacommercialrealestateinvestmentproject.Explainhowtheconceptsofcashflow,IRR,andNPVcanbeusedtomakeaninvestmentdecision.试卷答案SectionAItemSet1:EthicalDilemmaatApexInvestmentsa.TheethicaldilemmaiswhethertoproceedwiththeacquisitionofSolarSolutionsLtd.,whichcouldgenerateshort-termgainsbutpotentiallyharmApexInvestments'long-termreputationduetoenvironmentalconcerns,despitetheCEO'spressureforshort-termreturnsandthefirm'sstatedcommitmenttoESGinvesting.b.TherelevantethicalissuesincludeconflictsofinterestbetweentheCEO'spressureforshort-termgainsandthefirm'slong-termcommitmenttoESGinvesting,aswellasthepotentialharmtothefirm'sreputationandtheenvironment.Theconflictofinterestarisesbetweenmaximizingshareholdervalueintheshorttermandupholdingthefirm'sethicalstandardsandlong-termsustainability.c.TheCFAInstituteCodeandStandardsapplicabletothissituationincludeStandardI(A)–DutytoClientsandStandardII(A)–DutyofLoyalty.StandardI(A)–DutytoClientsrequiresplacingtheclient'sinterestsbeforeone'sownandactingforthebenefitofclients.StandardII(A)–DutyofLoyaltyrequiresavoidingconflictsofinterestordisclosingthemifunavoidableandmanagingthemintheclient'sinterest.Applyingthesestandards,theportfoliomanagermustprioritizethelong-terminterestsoftheclientsandthefirm,whichincludemaintainingtheESGcommitment,overtheCEO'sshort-termprofitgoals.ThemanagershoulddisclosetheconflictofinteresttotheCEOandtheboardandrecommendagainsttheacquisitionornegotiatestringentenvironmentalsafeguards.d.Thestepstoaddresstheethicalconcernsandmakeadecisioninclude:1)Conductathoroughassessmentoftheenvironmentalimpactoftheacquisitionandthefeasibilityofmitigatingpotentialharm.2)EngageinadetaileddiscussionwiththeCEOandtheboard,providingaclearanalysisoftheethicalimplicationsandpotentiallong-termconsequences.3)Explorealternativeinvestmentopportunitiesthatalignwiththefirm'sESGgoalsandprovidesimilargrowthpotential.4)Iftheacquisitionisdeemednecessarydespitetheenvironmentalconcerns,negotiatestrongenvironmentalprotectionmeasuresanddisclosurerequirementswithSolarSolutionsLtd.5)MonitortheenvironmentalperformanceofSolarSolutionsLtd.closelyaftertheacquisitionandtakecorrectiveactionifnecessary.ItemSet2:ValuingaStart-UpCompanya.TocalculatetheintrinsicvalueusingtheDCFmodel,firstcalculatethepresentvalueofthefreecashflowsforthenextthreeyears:*PVofYear1FCF:$5million/(1+0.15)^1=$4.3478million*PVofYear2FCF:$10million/(1+0.15)^2=$7.5614million*PVofYear3FCF:$15million/(1+0.15)^3=$9.7392million*PVofTerminalValue:TocalculatetheterminalvalueattheendofYear3,usetheperpetuitygrowthmodel:*TerminalValue=Year3FCF*(1+g)/(r-g)=$15million*(1+0.05)/(0.15-0.05)=$150million*PVofTerminalValue:$150million/(1+0.15)^3=$101.6286million*IntrinsicValue=PVofFCFs+PVofTerminalValue=$4.3478million+$7.5614million+$9.7392million+$101.6286million=$123.277millionb.Tocalculatetheenterprisevalue/EBITDAmultipleforeachcompany:*CompanyA:EV/EBITDA=$200million/$8million=25.0*CompanyB:EV/EBITDA=$150million/$6million=25.0*CompanyC:EV/EBITDA=$250million/$10million=25.0c.Toestimatetheintrinsicvalueusingthecomparablecompanyanalysisapproach:*AverageEV/EBITDAmultiple:(25.0+25.0+25.0)/3=25.0*IntrinsicValueofInnovatechSolutions:$8million*25.0=$200milliond.ThedifferencebetweentheDCFvalue($123.277million)andthecomparablecompanyvalue($200million)couldbeduetoseveralfactors:1)TheDCFmodelassumesthecompanywillonlygrowataconstantrateafterYear3,whilethecomparablecompaniesmayhavedifferentgrowthprospects.2)TheDCFmodelusesarequiredreturnof15%,whichmightbehigherthantheimpliedrequiredreturninthecomparablecompanymultiples.3)Thecomparablecompanyanalysismightbelessaccurateforastart-upcompanyduetothelackofcomparablepubliccompanieswithsimilarriskprofiles.4)TheDCFmodelmightbemoreappropriateforacompanywithpredictablecashflows,whilethecomparablecompanyanalysismightbemoreappropriateforacompanywithhighgrowthpotentialbutuncertainfutureperformance.e.ThestrengthsoftheDCFmodelarethatitisbasedonthecompany'sownfuturecashflowsandgrowthprospects,anditprovidesatheoreticallysoundvaluationframework.Theweaknessesarethatitreliesonsubjectiveassumptionsaboutfuturecashflows,growthrates,anddiscountrates,anditcanbesensitivetochangesintheseassumptions.Thestrengthsofthecomparablecompanyanalysisarethatitisbasedonmarketmultiplesandprovidesarelativevaluation,whichcanbemoreobjective.Theweaknessesarethatitreliesontheassumptionthatthecompanyissimilartothecomparablecompanies,whichmightnotbethecase,anditcanbedifficulttofindtrulycomparablecompanies.ItemSet3:AnalyzingaMutualFundPortfolioa.Tocalculatetheexpectedreturnofthemutualfundportfolio,usetheweightedaverageoftheexpectedreturnsoftheindividualstocks:*ExpectedReturn=(0.20*12%)+(0.30*10%)+(0.25*14%)+(0.15*11%)+(0.10*9%)=11.45%b.Tocalculatetheportfolio'sbeta,usetheweightedaverageoftheindividualstockbetas:*PortfolioBeta=(0.20*1.2)+(0.30*0.8)+(0.25*1.5)+(0.15*1.0)+(0.10*0.9)=1.125c.UsingtheCapitalAssetPricingModel(CAPM),calculatetherequiredrateofreturnforthemutualfundportfolio:*RequiredReturn=Risk-FreeRate+Beta*MarketRiskPremium=2%+1.125*6%=9.75%d.TocalculatethenewexpectedreturnandbetaoftheportfolioafteraddingStockF:*NewExpectedReturn=(0.20*12%)+(0.30*10%)+(0.25*14%)+(0.15*11%)+(0.05*13%)=11.15%*NewPortfolioBeta=(0.20*1.2)+(0.30*0.8)+(0.25*1.5)+(0.15*1.0)+(0.05*1.3)=1.135e.Theportfolio'sbetaof1.125indicatesthattheportfolioismorevolatilethanthemarket,asitsbetaisgreaterthan1.Therequiredrateofreturnof9.75%reflectsthehigherriskoftheportfolio.Thefundmanagercanusetheconceptofbetatoconstructaportfoliothatmeetstheinvestmentobjectivesofthefund'sinvestorsbyadjustingtheweightsoftheindividualstocksintheportfolio.Forexample,toreducetheportfolio'sbetaandmakeitlessvolatile,themanagercouldincreasetheweightsofstockswithlowerbetasanddecreasetheweightsofstockswithhigherbetas.ItemSet4:OptionsStrategiesandPricinga.Theprotectiveputstrategyinvolvesbuyingastockandsimultaneouslybuyingaputoptiononthestock.Themainpurposeofthisstrategyistoprotectthevalueofthestockinvestmentagainstadeclineinthestockpricewhilestillallowingtheinvestortobenefitfromanypotentialincreaseinthestockprice.b.Fortheprotectiveputstrategyusingthegivenoptionpricesandthecurrentvalueoftheclient'sstockportfolio($1million):*MaximumProfit:Themaximumprofitoccursifthestockpricerisesindefinitely.Theprofitisthedifferencebetweenthestockpriceandtheputoptionstrikepriceminustheputoptionpremium,multipliedbythenumberofshares(assumingtheportfolioisfullyinvestedinthestock).However,sincetheportfoliovalueis$1millionandtheputoptionpremiumis$40pershare,thenumberofsharesis$1,000,000/$50=20,000shares.Max