An investor wishes to measure the estment risk shown by an asset that has e following distribution: ate of the nature Probability Return or Economy 0.5 - 2%

MATLAB: An Introduction with Applications
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ISBN:9781119256830
Author:Amos Gilat
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Chapter1: Starting With Matlab
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(a) An investor wishes to measure the
investment risk shown by an asset that has
the following distribution:
State of the nature Probability Return
Poor Economy 0.5 - 2%
Average Economy 0.3 4.5%
Good Economy 0.2 9%
(i) Evaluate the risk of the asset using semi-
variance.
(ii) Calculate the probability of shortfall when
the benchmark return L is 6%.
(iii) Compute the expected shortfall when the
benchmark return L is 6%.
(iii) Compute the expected shortfall when the
benchmark return L is 6%.
Transcribed Image Text:(a) An investor wishes to measure the investment risk shown by an asset that has the following distribution: State of the nature Probability Return Poor Economy 0.5 - 2% Average Economy 0.3 4.5% Good Economy 0.2 9% (i) Evaluate the risk of the asset using semi- variance. (ii) Calculate the probability of shortfall when the benchmark return L is 6%. (iii) Compute the expected shortfall when the benchmark return L is 6%. (iii) Compute the expected shortfall when the benchmark return L is 6%.
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