"Předpokládejme, že kapitálový trh je v rovnováze. Je dáno" "= 0,04," "= 0,10 a" 0.09 a)      Popište a nakreslete přímku kapitálového trhu (CML) b)      Mějme tři CP mající následující kovariance s výnosem tržního portfolia: ", " ", " . Popište a nakreslete přímku SML. Zaneste CP na přímku SML CML 0 0.09 0.04 0.1 SML-covar covar rie 0 0.0081 0.0108 0.12 0.04 0.1 -0.0027 0.02 0.0054 0.08 SML-beta beta 0 1 1.333333333 0.12 0.04 0.1 -0.333333333 0.02 0.666666667 0.08 ##### Sheet/List 2 ##### ri korelace i a M sigma i covar beta rie delta C1 15.5 0.9 20 216 1.5 15.5 0 C2 9.2 0.8 9 86.4 0.6 9.2 0 C3 11.2 0.5 15 90 0.625 9.375 1.825 TP 12 1 12 144 rf 5 0 0 covar 0 144 5 12 ##### Sheet/List 3 ##### den Český Telecom ČEZ Komerční banka UNIPETROL IPB PX50 Český Telecom ČEZ Komerční banka UNIPETROL IPB PX50 1 570 98.4 669.1 53.9 103.5 333.4 0.001757469 0.00203666 -0.064195804 0.001858736 0.004854369 -0.016228976 0.521938407 0.099509907 0.088421784 0.259230025 0.030899876 2 569 98.2 715 53.8 103 338.9 0.009223129 0.016563147 -0.013793103 0.011278195 0.010794897 -0.0227797 Covar_M 3 563.8 96.6 725 53.2 101.9 346.8 -0.019989571 0.001036269 0.012569832 -0.012987013 0.019 -0.002875216 7.08272E-05 6.24638E-06 1.14083E-05 2.54902E-05 -3.72188E-06 4 575.3 96.5 716 53.9 100 347.8 -0.033271719 -0.005154639 -0.012413793 -0.03057554 -0.015748031 -0.008834426 0.000259993 0.000120266 0.000247197 0.000188395 -0.000230774 6.24638E-06 1.16331E-05 -8.33927E-07 4.32332E-06 -3.49146E-07 5 595.1 97 725 55.6 101.6 350.9 -0.012773723 -0.014227642 -0.003436426 -0.024561404 0.003952569 0.008043666 0.000120266 0.001174795 -9.47769E-05 0.000167597 -0.000113549 1.14083E-05 -8.33927E-07 7.92971E-06 4.67416E-06 -4.50073E-06 6 602.8 98.4 727.5 57 101.2 348.1 0.001661682 -0.006060606 0.015210717 0.042047532 -0.007843137 -0.003720664 0.000247197 -9.47769E-05 0.001014235 0.000203919 -0.001647279 2.54902E-05 4.32332E-06 4.67416E-06 2.22717E-05 -2.00168E-06 7 601.8 99 716.6 54.7 102 349.4 0.000831532 -0.060721063 -0.006791407 -0.01618705 0.003937008 -0.013551666 0.000188395 0.000167597 0.000203919 0.000331424 -0.000249892 -3.72188E-06 -3.49146E-07 -4.50073E-06 -2.00168E-06 1.71005E-05 8 601.3 105.4 721.5 55.6 101.6 354.2 -0.02195836 -0.098374679 0.004035625 -0.005366726 -0.000983284 -0.01910828 -0.000230774 -0.000113549 -0.001647279 -0.000249892 0.017909974 9 614.8 116.9 718.6 55.9 101.7 361.1 -0.021174972 -0.022575251 0.001114517 -0.010619469 0.011940299 -0.031124229 Var_p 0.000211232 10 628.1 119.6 717.8 56.5 100.5 372.7 -0.001430843 0.056537102 -0.016038382 0.00177305 -0.028046422 0.002960172 Matice_soust VPS 11 629 113.2 729.5 56.4 103.4 371.6 0.016812156 0.033789954 0.038286365 0.027322404 0.010752688 -0.061379136 0.000519986 0.000240532 0.000494394 0.00037679 -0.000461547 1 0 12 618.6 109.5 702.6 54.9 102.3 395.9 -0.030407524 0.042857143 -0.064198189 -0.001818182 -0.004863813 -0.004275654 0.000240532 0.00234959 -0.000189554 0.000335193 -0.000227098 1 0 13 638 105 750.8 55 102.8 397.6 -0.027439024 0.000953289 -0.049259212 -0.028268551 0.03006012 -0.020930805 0.000494394 -0.000189554 0.00202847 0.000407839 -0.003294557 1 0 14 656 104.9 789.7 56.6 99.8 406.1 -0.009063444 -0.00379867 -0.011763234 -0.005272408 -0.015779093 0.013476416 0.00037679 0.000335193 0.000407839 0.000662847 -0.000499784 1 0 15 662 105.3 799.1 56.9 101.4 400.7 -0.011054676 -0.003784295 -0.007329193 0.016071429 0.004955401 0.010337872 -0.000461547 -0.000227098 -0.003294557 -0.000499784 0.035819947 1 0 16 669.4 105.7 805 56 100.9 396.6 -0.044669616 -0.025806452 -0.074712644 -0.012345679 0.058761805 -0.004018081 1 1 1 1 1 0 1 17 700.7 108.5 870 56.7 95.3 398.2 -0.011706629 -0.01631913 -0.072098976 -0.005263158 0.450532725 -0.006734847 wi ri Rp Sigma_p Beta_i Beta_p Syst_r Nes.r 18 709 110.3 937.6 57 65.7 400.9 -0.005610098 -0.020426288 -0.011804384 0.003521127 -0.339034205 0.004510148 3223.939344 -335.13329 -791.8120866 -2020.816087 -76.17788014 0.521938407 0.521938407 -0.011221162 -0.008420362 0.014533832 -0.248455119 -0.254868811 1.93573E-05 0.013851896 19 713 112.6 948.8 56.8 99.4 399.1 0.007062147 -0.011413521 -0.002837625 0.005309735 0.002016129 -0.004986288 -335.13329 469.3112092 140.7297483 -279.8261448 4.918477283 0.099509907 0.099509907 -0.007099404 -0.067623205 20 708 113.9 951.5 56.5 99.2 401.1 -791.8120866 140.7297483 789.3376772 -196.3367026 58.08136368 0.088421784 0.088421784 -0.017866069 -0.464523111 E(ri) -0.011221162 -0.007099404 -0.017866069 -0.002320156 0.01048737 -0.009537879 -2020.816087 -279.8261448 -196.3367026 2514.995949 -18.01701473 0.259230025 0.259230025 -0.002320156 -0.187255695 0.03 19 -76.17788014 4.918477283 58.08136368 -18.01701473 31.19505391 0.030899876 0.030899876 0.01048737 -0.933502191 0.00012 covar -7.40386E-05 -2.01514E-05 -0.000138426 -5.58014E-05 -0.00027818 0.000297996 0.521938407 0.099509907 0.088421784 0.259230025 0.030899876 -0.000422465 -0.000422465 beta alfa Český Telecom ČEZ Komerční banka UNIPETROL IPB 0.000297996 -0.248455119 -0.013590897 beta -0.248455119 -0.067623205 -0.464523111 -0.187255695 -0.933502191 1 zk 1 0.218381931 0.004219256 alfa -0.013590897 -0.007744386 -0.022296634 -0.004106179 0.001583739 0.070752982 0.015994037 1.294382083 17 0.000331115 0.004348757 n sumaXi sumaYi sumaXi sumaXi^2 sumaYiXi 19 -0.181219693 0.069591381 1.778152446 -0.181219693 0.007092378 1.778152446 186.4306018 VPS -0.213202084 -0.134888671 -0.339455316 -0.044082972 0.199260024 0.000700801 0.000923826 0.000746016 -0.000583968 -0.006907755 Český Telecom ČEZ Komerční banka UNIPETROL IPB alfa -0.013590897 -0.007744386 -0.022296634 -0.004106179 0.001583739 beta -0.248455119 -0.067623205 -0.464523111 -0.187255695 -0.933502191 Tangencialni portfolio VPS 0.000259993 0.000120266 0.000247197 0.000188395 -0.000230774 -0.011341162 0.000120266 0.001174795 -9.47769E-05 0.000167597 -0.000113549 -0.007219404 0.000247197 -9.47769E-05 0.001014235 0.000203919 -0.001647279 -0.017986069 1.301576388 0.168007099 0.343262691 -0.836268808 0.023422631 0.000188395 0.000167597 0.000203919 0.000331424 -0.000249892 -0.002440156 -0.000230774 -0.000113549 -0.001647279 -0.000249892 0.017909974 0.01036737 0.000440454 2.62991E-05 0.000110443 -0.000205062 -7.03544E-06 Zi wi Rp Sigma_p beta_p Syst_r Nest_r 2.62991E-05 3.31602E-05 -5.46584E-06 -2.35472E-05 -4.46835E-07 7737.547597 -424.3853961 -1365.140874 -3401.095093 -76.00458699 -52.624219 1.301576388 -0.019744789 0.022165829 -0.359466928 3.8506E-05 0.02127952 0.000110443 -5.46584E-06 0.000119507 -5.85371E-05 -1.32443E-05 -424.3853961 985.5007731 323.1143213 -437.5310113 24.3936495 -6.792718763 0.168007099 -0.000205062 -2.35472E-05 -5.85371E-05 0.00023178 4.89479E-06 -1365.140874 323.1143213 1615.688693 -284.1597753 129.0974086 -13.87850241 0.343262691 -7.03544E-06 -4.46835E-07 -1.32443E-05 4.89479E-06 9.82576E-06 -3401.095093 -437.5310113 -284.1597753 5348.126072 1.887143427 33.81130244 -0.836268808 -76.00458699 24.3936495 129.0974086 1.887143427 66.91026149 -0.94700369 0.023422631 0.000491324 -40.43114142 1 ##### Sheet/List 4 ##### Cenný papír rie 1.75 16.7 21 1.2 24 16.6 1.3 17.4 17.4 0.75 16 13 0 1 7 15 ##### Sheet/List 5 ##### Rok Tržní portfolio Společnost S1 1 8 8.1 Matice soustavy VPS 2 0 3 10 59.9 34.2 3 14.9 5.3 59.9 542.05 259.6 4 5 1 5 4.1 3.1 0.295799704 -0.032687764 alfa 1.630606443 6 8.9 3 -0.032687764 0.005457056 beta 0.298730143 7 10.1 5 8 5 3.2 9 1.5 1.2 10 2.4 1.3