Investimentos e Teoria de Portflios

1 Semestre 2015

Investimentos e Teoria de Portflios

Prof. Guido Chagas

Lista de Exerccios 1
Respostas sem justificativa/resoluo sero ignoradas. As listas de exerccios so individuais.
individuais
1.) (2,0 Pontos) Responda verdadeiro ou falso e justifique.
a. Mesmo quando a distribuio de retornos de um ativo apresenta elevada assimetria,
podemos utilizar o desvio padro como uma medida adequada de risco.
b. O modelo CAPM no impe nenhuma hiptese sobre a distribuio dos retornos dos
ativos.
c. Em um portflio diversificado segundo a teoria de Markowitz, usamos o como medida
de risco.
venda a descoberto de uma ao, temos
mos lucro sempre que seu preo
d. Quando realizamos a vend
subir o suficiente para pagar a taxa cobrada pelo seu aluguel.
e. O Risk Premium (RP) corresponde soma do
o retorno de mercado (RM) e do retorno do
ativo livre de risco (RF).

mdia varincia de Markowitz, calcule o retorno esperado e

2.) (1,5 Pontos) Assumindo o modelo de mdia-varincia
o desvio padro dos portflios W, X, Y e Z:
Ativo

Retorno
Esperado

Desvio
Padro

10,00%

5,00%

15,00%

Correlao
A

15,00%

1,00

-0,60

0,00

6,00%

-0,60

1,00

0,60

20,00%

0,00

0,60

1,00

Alocao (i.e., Peso)

A

40,0%

60,0%

0,0%

40,0%

0,0%

60,0%

0,0%

50,0%

50,0%

30,0%

40,0%

30,0%

Retorno
Esperado

Desvio
Padro

3.) (1,5 Pontos) Assumindo o CAPM, calcule o retorno esperado dos ativos A, B e C.

Investimentos e Teoria de Portflios

1 Semestre 2015

Ativo

Retorno
Esperado

Covarincia
com M

20,0%

10,0%

5,0%

RF

5,0%

0,0%

RM

20,0%

15,0%

Dados esses ativos A, B e C, calcule o retorno esperado, o beta e o desvio dos seguintes portflios:
Alocao (i.e., Peso)
A

RF

25,0%

25,0%

50,0%

0,0%

50,0%

50,0%

0,0%

0,0%

0,0%

50,0%

25,0%

25,0%

0,0%

50,0%

0,0%

50,0%

25,0%

25,0%

25,0%

25,0%

Retorno
Esperado

Beta
Portflio

Desvio
Padro

4.) (3,0 Pontos) Exerccios 6 a 10 do Cap. 7 do BKM - 8a Ed (pg. 223)

6. Draw a tangent from the risk-free rate to the opportunity set. What does your graph show
for the expected return and standard deviation of the optimal portfolio?
7. Solve numerically for the proportions of each asset and for the expected return and standard
deviation of the optimal risky portfolio.
8. What is the reward-to-volatility ratio of the best feasible CAL?
9. You require that your portfolio yield an expected return of 14%, and that it be efficient, on
the best feasible CAL.
a. What is the standard deviation of your portfolio?
b. What is the proportion invested in the T-bill fund and each of the two risky funds?
10. If you were to use only the two risky funds, and still require an expected return of 14%, what
would be the investment proportions of your portfolio? Compare its standard deviation to
that of the optimized portfolio in Problem 9. What do you conclude?
5.) (1,0 Ponto) Exerccio 16 do Cap. 8 do BKM - 8a Ed (pg. 275)
16. Based on current dividend yields and expected growth rates, the expected rates of return on
stocks A and B are 11% and 14%, respectively. The beta of stock A is .8, while that of stock B
is 1.5. The T-bill rate is currently 6%, while the expected rate of return on the S&P 500 index
is 12%. The standard deviation of stock A is 10% annually, while that of stock B is 11%. If you
currently hold a passive index portfolio, would you choose to add either of these stocks to
your holdings?
6.) (1,0 Ponto) Exerccio CFA 3 do Cap. 8 do BKM - 8a Ed (pg. 276)
3. The correlation between the Charlottesville International Fund and the EAFE Market Index is
1.0. The expected return on the EAFE Index is 11%, the expected return on Charlottesville
2

Investimentos e Teoria de Portflios

1 Semestre 2015

International Fund is 9%, and the risk-free return in EAFE countries is 3%. Based on this
analysis, what is the implied beta of Charlottesville International?