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- What is the beta of a portfolio comprised of the following securities? Stock Amount Invested Security Beta- 0.86 1.76 1.35 A B C $3600 $ 2800 $ 9000 Beta of portfolio to 2 decimal places is Numeric Response(b') Details of the shares held in a portfolio are given below: Securities Beta Expected Return Percentage held Share A 1.1 14% 26% Share B 0.8 10% 18% Share C 1.7 "18% 31% Treasury Bill 2% 25% 2 1 Calculate the expected return and beta of this portfolio. How does the risk of this portfolio compare with that of the market portfolio?Question 1 a. Explain why it is important to have diversification in a portfolio. b. The following table represents a portfolio of two (2) assets: State of Probability of Return of Return of Nature State of Stock Stock B Nature under under Different Different State of State of Nature Nature Вoom 0.3 20% 25% Normal 0.5 10% 20% Recession 0.2 5% 10% i. What is the expected return on Stock A and Stock B? ii. What is the standard deviation of returns of Stock A and Stock B? iii. Which Stock is more volatile? c. Suppose you use J$100 000 to construct a portfolio comprising of Stock A and stock B, such that you invest J$30 000 and J $70 000 in Stock A and Stock B respectively. Also you have done some research and estimated the Beta (B) of the Stocks to be: Stock A=0.75 and Stock B=0.50. Use the expected returns calculated for each stock in (b), above to calculate the following: i. The expected return on the portfolio ii. Calculate the expected beta of the portfolio. , iii. Explain briefly how…
- SHARE B SHARE B P (A) RA (%() P (B) RB (%) 0.05 10 0.05 12 0.25 15 0.25 18 0.40 22 0.40 28 0.25 25 0.25 32 0.05 30 0.05 38 REQUIRED: Assuming you are investing 50% in A and 50% in B, calculate the risk and return of the portfolio.What is the beta of the following two stock portfolio? Security Beta of the security Amount invested A 1.35 $ 20,000 B 0.50 $ 30,000 a. 1.075 b. 1.00 c. 1.19 d. 0.84The following questions are based on the given information from table of probabilitydistributions of returns on investment individual shares and portfolio below:Table 3: Probability distributions of returns on investment for individual shares and portfolio. State ofEconomy Probabilityof theStates Return onShare A(rA) Return onShare B(rB) Return on Portfolio AB(rAB)1 0.20 15% -5% 5%2 0.20 -5% 15% 5%3 0.20 5% 25% 15%4 0.20 35% 5% 20%5 0.20 25% 35% 30% Given: By using the above information, demonstrate the rate of risk (variance and standarddeviation) for each of:(i) Share A (ii) Share B (iii) Portfolio A and B
- Please include the excel formula What are the portfolio weights for a portfolio that has 145 shares of Stock A that sell for $47 per share and 200 shares of Stock B that sell for $21 per share? Input area: Shares of A 145 Share price of A $47 Shares of B 200 Share price of B $21 (Use cells A6 to B9 from the given information to complete this question.) Output area: Portfolio value Weight of A Weight of BWhat is the standard deviation of a portfolio formed of shares A and B? Asset (A) E(R₂) = 9% SDA = 4% W₁ = 0.4 Select one: A. 4.99% B. 4.56% C. 3.68% D. 5.16 Asset (B) E(R₂) = 11% SDB = 6% WB = 0.6 COVA, B = 0.0011Covariance with Mean Return Stock AOL Microsoft Intel AOL .002 .001 15% Microsoft .001 .002 .001 12 Intel 001 .002 10 5.2. Compute the tangency portfolio weights assuming a risk-free asset yields 5 percent.
- b) Calculate the beta of the following portfolio. Amount invested Stock Security Beta A RM6,700 1.58 B RM4,900 1.23 C RM8,500 0.79Consider a portfolio comprise of three securities in the following proportion and with the indicated securities beta. Security Amount Invested Beta Expected return A 1.5million 1.0 12% B 1million 1.5 13.5% C 2million 0.8 9% Calculate the portfolio’s; Beta Expected return Determine whether this portfolio have more or less systematic risk than an average asset.A B с E F Investment Opportunity set for stocks and bonds with varios correlation coeffients SD s SDB 19 8 E(rs) 10 Weight in stocks WS -0.1 0.0 0.1 0.2 0.3 0.4 0.6 0.8 1.0 1.1 D E(TB) 5 Portfolio expected return ws(min) = (GB^2 - OBOSP) / (Os^2 + B^2 - 2*0BÚSP) E(rp) = ws(min) *E(rs)+(1-wg(min))*E(rb) = SDp = G -1 Portfolio Standard Deviation for Given Correlation 0 0.2 0.5 H Minimum Variance Portfolio 1