3.8 CAPM: The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolioare normally distributed. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn't change, anegative return means that the portfolio loses money, and a positive return means that the portfolio gainsmoney.(please round answers to within one hundredth of a percent)(a) What percent of years does this portfolio lose money, i.e. have a return less than 0%?%(b) What is the cutoff for the highest 15% of annual returns with this portfolio?%

Let X be the random variable defined by returns on a portfolio follows normal distribution with mean…

Answered: (a) What percent of years does this…

(a) What percent of years does this portfolio lose money, i.e. have a return less than 0%? (b) What is the cutoff for the highest 15% of annual returns with this portfolio? %

A First Course in Probability (10th Edition)

10th Edition

ISBN:9780134753119

Author:Sheldon Ross

Publisher:Sheldon Ross

Chapter1: Combinatorial Analysis

Section: Chapter Questions

Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...

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The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn’t change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. (a) What percent of years does this portfolio lose money, i.e. have a return less than 0%? (b) What is the cutoff for the highest 15% of annual returns with this portfolio?
The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn’t change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. What percent of years does this portfolio lose money, i.e. have a return less than 0%? What is the cutoff for the highest 15% of annual returns with this portfolio?
Hi! I was working on the question below: The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn’t change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. And question (a) looks like: What percent of years does this portfolio lose money, i.e. have a return less than 0%? I got a z-score of -0.4455, which corresponds to the p value of 0.3264 on the z-table; I don't understand why the correct answer should be 0.3280 as said by one of the solutions, and I cannot locate such a number on the z-table. Thank you so much!
The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. (please round answers to within one hundredth of a percent) (a) What percent of years does this portfolio lose money, i.e. have a return less than 0%? (b) What is the cutoff for the highest 15% of annual returns with this portfolio?
3.8 CAPM: The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money.(please round answers to within one hundredth of a percent)(a) What percent of years does this portfolio lose money, i.e. have a return less than 0%? %(b) What is the cutoff for the highest 15% of annual returns with this portfolio? %
( Previous Ne CAPM The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 11.5% (i.e. an average gain of 11.5%) with a standard deviation of 38.5%. A return of 0% means the value of the portfolio doesnt change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. (a) What percent of years does this portfolio lose money, i.e. have a return less than 0%? (b) What percent of years does this portfolio return more than 15%? (c) What percent of years does this portfolio return between 18% and 35%? (d) What is the cutoff for the highest 40% of annual returns with this portfolio? Submit answer M US V 0 10: acer
the capital asset pricing model is a financial model that assumes returns on a portfolio are normally distributed. suppose a portfolio has an average annual return of 14.7% (an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. a)what percent of years does this portfolio lose money, (have a return less than 0%)? b)what is the cutoff for the highest 15% of annual returns with this portfolio?
Use the basic equation for the capital asset pricing model (CAPM) to Find the risk-free rate for a firm with a required return of 15% and a beta of 1.25 when the market return is 14%
The Capital Asset Price Model (CAPM) is a financial model that attempts to predict the rate of return on a financial instrument, such as a common stock, in such a way that it is linearly related to the rate of return on the overal market. Specifically, RStockAiBo + BR Markets + e You are to study the relationship between the two variables and estimate the above model: R StockAi-rate of return on Stock A for month i, i = 1,2,---, 59. RMarket-market rate of return for month i, i=1,2,..., 59. B₁ represent's the stocks 'beta' value, or its systematic risk. It measure's the stocks volatility related to the market volatility. Bo represents the risk-free interest rate. The data in the .csv file contains the data on the rate of return of a large energy company which will be referred to as Acme Oil and Gas and the corresponding rate of return on the Toronto Composite Index (TSE) for 59 randomly selected months. Therefore Re, represents the monthly rate of return for a common share of Acme Oil…
A stock has monthly returns of 9%, 22%, 15%, and 28%. What is the stock's geometric average return?
The ABC Company is involved in the production and selling of consumer goods, particularly beauty products such as bath soap and shampoo and had registered a positive profit growth for the last 10 years. However, the current year seems to be different from those years as the company is expecting a decline in profit; which is estimated to be about 70% below the target. The manager now is in a dilemma … asking himself/herself “What happened, why this decline in profit?” The Manager then asked the company Accountant to give him/her the data on sales and advertising cost for the last 10 years – he/she wants these data to determine whether the company can live without advertising, as advertising cost happens to be substantial. Justify your answer by doing as step-by-step procedure in Correlation Analysis using a 0.05 level of significance. The data are as follows –
The accompanying data represent the annual rates of return of two companies' stock for the past 12 years. Complete parts (a) through (k). O A. OB. 0.50- 0.50- 0.00- 0.00- -0.50- -0.50- -0.3 RR of Company 2 0.0 0.3 -0.3 0.0 0.3 RR of Company 1 OC. 0.30- 0.50- 0.00- 0.00- -0.30- -0.50- o.0 0'5 0.0 0.3 -0.5 RR of Company 2 0.5 -0.3 RR of Company 1 (b) Determine the correlation coefficient between rate of return of Company 1 and Company 2. The correlation coefficient is 0.966. (Round to three decimal places as needed.) (c) Based on the scatter diagram and correlation coefficient, is there a linear relation between rate of return of Company 1 and Company 2? Yes No (d) Find the least-squares regression line treating the rate of return of Company 1 as the explanatory variable. y=x+O (Round to four decimal places as needed.) RR of Company 1 RR of Company 1 RR of Company 2 RR of Company 2