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Le taux de rendement du march pour lanne prochaine atteindrait 14% selon les prvisions fiables....

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Accounting

Le taux de rendement du march pour lanne prochaine atteindrait 14% selon les prvisions fiables. Le taux dintrt sans risque serait de 9,5%.
Vous possdez quatre titres a propos desquels les informations suivantes sont disponibles :
Titre Montant investi Rendement attendu par la firme cart-type du rendement du titre Bta
130 M$ 15%0,351,2
218 M$ 14%0,270,8
360 M$ 12%0,401,0
412 M$ 18%0,301,5
a) Calculez le taux de rendement exig sur chacun de ces titres ainsi que celui du portefeuille qui les regrouperait et dtablir si les prix de ces titres sont survalus ou sous-valus.
b) De dterminer la relation ou lquation de la ligne dquilibre des titres (LET), de la reprsenter graphiquement et de calculer le bta du portefeuille form par les quatre titres indiqus ci-dessus.

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