The portfolio consists of 40% BHP and 60% WOW. Boom Moderate Recession Probability 30% 50% 20% Return on BHP 12% 5% -2% Return on WOW a) Calculate Portfolio Return & Portfolio Standard Deviation b) Calculate Beta of BHP 8% 6% 1% Return on Market 10% 5% -3%
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- Set up the complete formula for Dollar Weighted Return (DWR) for the following portfolio including final value of the portfolio. Year 0 1 2 3 4 Actions at the ending of the year (Yr0)Starting with $1000 (Yr1)Adding $100 (Yr2)Withdrawing $200 (Yr3)Adding $300 (Yr4)Ending Value = ? ROR during each Yr (Yr0) - (Yr1) 8% (Yr2)-4% (Yr3) 9% (Yr4) 3% A. Calculate the time weighted return (TWR) Complete Questions with respect to ExcelUSE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Asset (A) Asset (B) E(RA)=10% E(RB) = 15% (σA)=8% (GB) = 9.5% WA = 0.25 WB = 0.75 COVA.B = 0.006 What is the standard deviation of this portfolio? O 13.75% O 8.79% O 12.5% O 7.72%e. Calculate the Portfolio Return when you know that its composition is as follows: Asset A: Weight 25%, Return 11% Asset B: Weight 45%, Return 14% Asset C: Weight 30%, Return 16%
- Portfolio consists of two independent risky assets AA and BB with expected returns 4\%4% and 5\%5% and standard deviations 2\%2% and 6\%6%. Share of asset AA is 60\%60% Standard deviation of the portfolio return is:Example 9: What is the portfolio standard deviation for a two-asset portfolio comprised of the following two assets if the correlation of their returns is 0.5? Asset A Asset B Expected return Stańdard deviation of expected returns 10% 20% 5% 20% Amount invested 740,000 760,000Two investments, X and Y, have the characteristics shown below. E(X) = $70, E(Y)3D$120, o =7,000, a = 14,000, and ory =7,500 If the weight of portfolio assets assigned to investment X is 0.3, compute the a. portfolio expected return and b. portfolio risk. a. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio expected retum is $ (Type an integer or a decimal.) b. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio risk is approximately $. (Round to two decimal places as needed.)
- What is the standard deviation for a portfolio invested 50% in A, 50% in B? Probability 0.5 0.25 0.25 Return A (weight =50%) 10% 0% 20% Return B (weight =50%) 25% -10% 0%What is the expected return on a portfolio with 45% investment in asset A and the remainder in asset B? (Assume that the expected return for asset A and asset B are 15% and 9% respectively? a. 11.7% b. 14.6% c. 13.2% d. 12.9%1. Given the following summary statistics, Mean S.D. 1.235 0.997 Asset A 0.52 Asset B. 0.44 (a) If the correlation between the two financial series is 0.25. What are the optimal portfolio weights to minimize risk? (b) What are the expected return and standard deviation of the optimal port- folio? (c) Compute the 1% Value-at-Risk for the next 5 days (d) Compute the expected shortfall
- You are going to invest $20,000 in a portfolio consisting of assets X, Y, and Z, as follows: Asset Annual Return Probability Beta Proportion X 10% 0.50 1.2 0.333 Y 8% 0.25 1.6 0.333 Z 16% 0.25 2.0 0.333 Given the information in Table 5.2, The beta of the portfolio in Table 8.2, containing assets X, Y, and Z is ________. Select one: a. 1.6 b. 2.0 c. 1.5 d. 2.4Given there are two assets making up a portfolio where each asset has the following characteristics: Asset Risk (standard deviation) Expected return 10% 1 4% 2 16% 11% The correlation between the two assets is -1. (a) Given that the proportion invested in each asset is 50%, compute the expected return of the portfolio. (b) Given that the proportion invested in each asset is 50%, compute the portfolio risk, i.e. standard deviation of the portfolio. (c) Without using a graph paper, scratch a diagram to illustrate the portfolio diversification. Show the portfolio risk for perfect positive correlation and perfect negative correlation. (d) If the proportion invested in asset 1 is , compute the new expected return of the portfolio. Show the new expected return in the same diagram in part (c).Description Provide the portfolio percentages to accomplish the following: 1. 5% chance of loosing at most $50,000 2. 5% chance of losing at most $75,000 3. Maximize the value of "Expected returns - 0,1*VaR"