7 3

ISBN 978-957-41-7812-4

7

7-1

7-2 12%8% 0.5

1w

Var 0

w1

7-3

7-4

0

7-5 CAPM

CAPM

4

ISBN 978-957-41-7812-4

7-6 APT

CAPM

1. 2

1 2 3 4 5 6 7 8 -1% 5% 4% 1% 8% 2% -1% -5%

20% 15% 11% 5% -5% 2% -10% -8%

(1)

(2)

(3) 50%

(4) 2(3)

Ans

(1)1.63%4.07%

3.75%11.03%

(2)

L %)75.3%15(%)63.1%5(%)75.3%20(%)63.1%1[(81

)R,R(Cov 21

%)]75.3%8(%)63.1%5(

0.087%

1938.0%03.11%07.4

%087.0)R(Var)R(Var

)R,R(Cov)R,R(Cor

21

2121

(3)Var

7 5

ISBN 978-957-41-7812-4

%39.0%087.05.05.02)03.11(5.0%)07.4(5.0

),(2)()(2222

212122

212

1

RRCovWWRVarWRVarW

6.24%

(4) 2 7.55%

1

2. 10%

5%-1

Ans :

-1()

22112

2211

212122

22

21

21P

ww)ww(

)1(ww2ww

==

++=

0ww 1P ==

ww1 =

=ww

( w + w =1)

21

10%5%

ww

==

w + w =1

w =1/3 w =2/3

1/3 2/3

3.

6

ISBN 978-957-41-7812-4

Ans :

4.

Ans

(1)

(2)

5.

Ans

( M1M2)

7 7

ISBN 978-957-41-7812-4

6. CAPM APT

Ans

CAPM

APT

CAPM

APT

7. 0

Ans

0

8. 10% 2% 0.5

Ans :

%6%]2[10%5.0%2)E(Ri =+=

9.

Ans : (1) CAPM : ]R)[E(RR)E(R fmifi +=

(2)

fR [ fm R)E(R ](SML)

(3)( fR )

[ )E(R m ]

( )

fR [ fm R)E(R ]

8

ISBN 978-957-41-7812-4

10. APT 1 12% 2

10% 3 8% 2%

b 0.51.20.8

Ans : %4.21%]2%8[8.0%]2%01[2.1%]2%12[5.0%2)R(E i =+++=

11. A B

A 5% 10%

B 10% 20%

0.001

(1) AB

wAwB1

(2)

(3) -0.02

(4)

2009 -

Ans

(1)

81.25%0.0012-20%10%

0.001-20%),(2

),(w 222

BA2B

2A

BA2B

min,A =+=

+

=RRCov

RRCov

18.75%81.25%-1w1w min,Bmin,B ===

(2)81.25%5%+18.75%10%=5.94%

(3) 3

2(-0.02)2-20%10%

(-0.02)-20%),(2

),(w 222

BA2B

2A

BA2B

min,A =+=

+

=RRCov

RRCov

7 9

ISBN 978-957-41-7812-4

31

32-1w1w min,Bmin,B ===

(4)

)R,Cov(Rww2ww BABA2B

2B

2A

2AP ++=

0(-0.02)31

322%

3120%

3210% 22

22 =++=

12. 8% 12%A 1.2

(1)

(2) CAPM A A

(1)

(3) 3%

5% 9% A

(4)

12% 15% 8%(3)

A

2007 -

ANS

(1)

(2) A =8%1.2(12%8%)=12.8%

8% 12.8%

1.2

E(Ri) E(Ri)8%i(12%8%)

i

10

ISBN 978-957-41-7812-4

(3) A =5%1.2(9%5%)=9.8%

(4) A =8%1.2(15%8%)=16.4%

13.

12% 1.00 -1.00 0.20

15% -1.00 1.00 -0.20

10% 0.20 -0.20 1.00

(1) 20% 80%

(2) 40% 20% 40%

(3)

0

5%

9.8%

1.2 i

8%

16.4%

1.2

E(Ri) E(Ri)8%i(15%8%)

i

E(Ri)5%i(9%5%)

7 11

ISBN 978-957-41-7812-4

2007 -

ANS

(1)

9.6%80%15%20%12%wwP ===

(2)

4.7%)2.0(%10%15%40%2022.0%10%1240%40%2

)1(%15%1220%40%2 10%40%15%20%12%40%

),(ww2),(ww2),(ww2www

222222

B

222222

=

+++++

=

++

+++=

RRCovRRCovRRCov

P

(3) 0wwP ==

ww = 45

12%15%

ww

===

( w +w =1)

: 95w = 9

4w =

1. CAPM (A)

(B)(C) (D)

2010Q3

Ans(D)

2.

(A) 100% (B) 100% (C) 0 100% (D) 0

12

ISBN 978-957-41-7812-4

2010Q3 Ans(D)

3. A 0.5B 1.5

(A)B A (B)B

A (C)B (D)B

A

2010Q3 Ans(B)

4. Markowitz

(A) W (B) X (C)

Y (D) Z

2010Q3

Ans(B)

5. U=E(R)1.5(S2)

(E(R)) (S) (A)12%20% (B)10%

15%(C)10%10% (D)8%10%

2010Q3

Ans(C)

6. (/)

(A) (B)(C)

(D)

7 13

ISBN 978-957-41-7812-4

2010Q2

Ans(B)

13.00 8.50

21.50(A)0.125 (B)0.195 (C)0.285

(D)0.365

2010Q2

Ans(B)

7. (Capital Asset Pricing Model)

15.5% 3.5% 1.2(implied

market risk premium)(A)6.5% (B)12.0% (C)10.0% (D)15.5%

2010Q2

Ans(C)

8. (A)

(B)

(C)

(D)

2010Q2

Ans(D)

9. (capital allocation line)(A)

(expected profit)(B)(C)

(D)

2010Q2 Ans(D)

11. 0(A)

14

ISBN 978-957-41-7812-4

0(B) 0(C) 0(D)

-1

2010Q2

Ans(D)

12. C12. 5%

6% 1.2 0.7

17%(A)6.0% (B)6.5% (C)6.8%

(D)7.4%

2010Q2

Ans(C)

13. (marginal utility)

(A) (B) (C) (D)(A)(B)(C)

2010Q1

Ans(C)

14. 0.2 0.005

0.5(A)0.1 (B)0.05 (C)0.15 (D)0.2

2010Q1

Ans(B)

15. (CML)(SML) .CML

SML .CML

SML .CML SML

(A) (B) (C) (D)

2010Q1

Ans(A)

7 15

ISBN 978-957-41-7812-4

16. (Capital Asset Pricing Model)(A)

beta (B) alpha (C) beta (D) alpha

2010Q1

Ans(D)

17. ?(A)

(B)

(C)(D)

2010Q1

Ans(D)

18. ?(A)

(B)(C)(D)

2010Q1

Ans(A)

19. A B A

B (A)

(B) (C) (D)

2009Q4

Ans(A)

20. (short sale)

(A)+1.00 (B)0.00 (C)-1.00

(D)0.5

009Q4

16

ISBN 978-957-41-7812-4

Ans(C)

21.

(A) (B) (C) (D)

2009Q4

Ans(A)

22. (CAPM)

V

(A)V (B) (C) V (D)

2009Q4

Ans(C)

23. P

7 17

ISBN 978-957-41-7812-4

10 5 P W

0.002 P 0.8 P Beta

P W (A)1.250.66 (B)1.250.76 (C)1.050.66 (D)1.05

0.76

2009Q4

Ans(D)

24. A. B. 0

0C. 1(A) B. (B)

A.C.(C) B.C. (D)A.B.C.

2009Q3

Ans(A)

25. 14% 8%

13% 25%

(A)9% (B)30% (C)36% (D)40%

2009Q3

Ans(C)

26.

SML(A) (B) (C)

(D)

2009Q2

Ans(B)

18

ISBN 978-957-41-7812-4

27. (Beta)

(A) (B) (C) (D)

2009Q2

Ans(C)

28.

(A) (B)

(C) (D)

2009Q2

Ans(B)

29. (CAPM) (A) CAPM

(B) CAPM (Capital

Market Line CML) (Security Market Line SML)

(C)

(D) CML SML

2009Q2

Ans(C)

30. ()

7 19

ISBN 978-957-41-7812-4

A B -1 rB =

a0 + a1rA a1 A B

B

(A) -2 0.4 (B) -1.5 0.4 (C) -2 0.6 (D)-1.5 0.6

2009Q2

Ans(B)

31. E(r) = 25 S = 20 5

U = E(r) (A/3)S2 A

(A) 13 (B) 14 (C)15 (D) 16

2009Q2

Ans(C)

32. APT ?

APT (efficient portfolio)

APT

(factor beta)

APT

(A) (B)(C) (D)

2009Q2

Ans(C)

33. (zero-beta portfolio)

(A) (B)

(C) (D)

20

ISBN 978-957-41-7812-4

2009Q2 Ans(C)

1. A B

(1)AB (2)AB (3)AB (4)()35%A65%B()

2010Q3

Ans

(1) E(RA)=0.158%+0.2013%+0.1512%+0.314%+0.216%=13%

E(RB)=0.158%+0.207%+0.156%+0.39%+0.211%=8.4%

(2) =

=n

1ss

2s Prob]E(R)[R

2.45%0.2013%)-(16%0.3013%)-(14%

0.1513%)-(12%0.2013%)-(13%0.1513%)-(8%22

222

A =++

++=

1.66%0.208.4%)-(11%0.308.4%)-(9%

0.158.4%)-(6%0.208.4%)-(7%0.158.4%)-(8%22

222

B =++

++=

(3)

7 21

ISBN 978-957-41-7812-4

0.59

1.66%2.45%0.208.4%)-(11%13%)-(16%

0.308.4%)-(9%13%)-(14%0.158.4%)-(6%13%)-(12%0.208.4%)-(7%13%)-(13%0.158.4%)-(8%13%)-(8%

)R,Cov(R

BA

BA2,A

=

+++

+

=

=

(4) E(RP)=35%13%+65%8.4%=10.01%

1.73%0.591.66%2.45%65%35%21.66%65%2.45%35% 2222P =++=

2. 10%

16% 8% 12%(1)

(global minimum variance portfolio)

(2)

2010Q2

Ans

(1) :

wwP =

0wwP ==

ww = 43

16%12%

ww

===

( w +w =1)

: 73w = 7

4w =

(2) E(RP)= 7310%+

748%=8.86%

3. (separation theorem)(utility theory)

22

ISBN 978-957-41-7812-4

2010Q2

Ans

:

(1)

()

(2)

4. (Capital Asset Pricing Model)(Arbitrage Pricing

Model)

2010Q1

Ans

(1)APT :APT

(2) APT :

5.X Y Z

(1) X Y Z 12%16% 25%

(2) X Y Z 12%14% 18% X

Y 0.6Y Z 0.2X

Z -0.3

2007Q1

Ans

(1) = %67.17%)25%16%12(31

=++

7 23

ISBN 978-957-41-7812-4

(2)

%9298.0

%18%12)3.0(31

312%18%142.0

31

312

%14%126.031

312)

31(%18)

31(%14)

31(%12 222222

=

++

+++=

6.

0.6 2 1.0

3 1.6 5

5% 11.1%

0.8

2006Q3

Ans :

22.1532

56.1532

31532

26.0 =++

+++

+++

5% 11.1% CAPM

%]}5)[E(R22.1%5%{1.11 m += 10%)E(R m =

0.82

82.0532

58.0532

31532

26.0 =++

+++

+++

9.1% %1.9%]5[10%82.0%5)E(Ri =+=

7. CAPM

2006Q3

Ans :

24

ISBN 978-957-41-7812-4

(1) CAPM

(2) CAPM

(3) CAPM

8. Chen,Roll&Ross APTFama&French CAPM

Merton CAPM( ICAPM)

2006Q1

Ans

(1) APT

APT

]R)E(R[b.......]R)E(R[b]R)E(R[bR)R(E fnn,if22,if11,ifi ++++=

(2) CAPM CAPM (Firm Size)

(Book-to-Market Ratio) E(HML)HE(SMB)S]R)[E(RR)E(R iifmifi +++=

E(SMB)(Size Premium) iS i E(HML)

(Value Premium) iH i CAPM

(3) CAPM CAPM CAPM(Intertemporal CAPM

ICAPM)

7 25

ISBN 978-957-41-7812-4

CAPM

CAPM

ICAPM

=

+=n

1jfjji,fi ]R)[E(RR)E(R

)E(R j j ji, i

j ICAPM

9.

(1)

(2)

(3)

(4)

2001Q4

Ans

(1)

(2)

(3)

26

ISBN 978-957-41-7812-4

(4)

10.CAPM CAPM

Security Market Line

2000Q4

Ans

(Security Market Line)

B

B

(B*)

Ri

i

B

B*

A*

A

E(Ri)

7 27

ISBN 978-957-41-7812-4

11.

CAPM

CAPM rF M (1) A C A C

(2) B C

B C

(3) 12% 8%

AB C A, B C

2000Q4

Ans

(1)

6%6%(11%6%)AA0

14%6%(11%6%)CC1.6

(2) CAPM B C

B C

(3) (RZ)8%(Rm)

12% A B

C

M

C

B

A

0.5 0.7 0.9

0.14

0.11

rF=0.06

28

ISBN 978-957-41-7812-4

RARfA (RmRf)A 0

RBRfB (RmRf)B0.83

RCRzC (RmRz)C1.50

12. 18 22 10

30

(1)

(2)(1)

1996Q1

Ans

(1)

(2)

13.

(1)

(2)

1995Q2

Ans

(1)

n

li

n

lj)ji(ijjj

2i

n

li

2i

2P WWW

= ==

n

li

n

lj)ji(ijiijji

2i

n

li

2i WWW

= ==

7 29

ISBN 978-957-41-7812-4

ij 1

n

1iiiP W

=

ij 1

(2)

A.

B.

C.

Mini-Case

(1980 ~1993 )

()

15.70% 21.1% 1.00 0.37 0.53 0.26 0.43 0.73 0.44 21.70% 25.0% 0.37 1.00 0.47 0.36 0.29 0.36 0.63

30

ISBN 978-957-41-7812-4

18.30% 23.5% 0.53 0.47 1.00 0.43 0.50 0.54 0.51 17.30% 26.6% 0.26 0.36 0.43 1.00 0.26 0.29 0.42 14.80% 27.6% 0.43 0.29 0.50 0.26 1.00 0.56 0.34 10.50% 23.4% 0.73 0.36 0.54 0.29 0.56 1.00 0.39 17.20% 26.6% 0.44 0.63 0.51 0.42 0.34 0.39 1.00

1.

2.

EXCEL