Assume there are two stocks in an index: Stock A B Price 100 100 What would the change in the index value be for: A value weighted index 10% For a price weighted index 10% Market Cap $500 million $2 billion Price Change 10% 20%

Consider the following information on two stocks: P(State) Stock A Stock B Boom 20% 30% 20% Normal 50% 12% -5% Slow 15% 4% 8% Recession 15% -10% 10% $Investment Beta Asset A $35,000 1.45 Asset B $15,000 0.85 Q1. Calculate the weight of A in the portfolio. (Enter percentages as decimals and round to 4 decimals) Q2. Calculate the expected return on the portfolio. (Enter percentages as decimals and round to 4 decimals) Q3. Calculate the standard deviation of the portfolio. (Enter percentages as decimals and round to 4 decimals).

Covariance 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.

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es The following three defense stocks are to be combined into a stock index in January 2022 (perhaps a portfolio manager believes these stocks are an appropriate benchmark for his or her performance): Douglas McDonnell Dynamics General International Rockwell Index value Shares (millions) 420 450 250 2022 return 2023 return a. Calculate the initial value of the index if a price-weighting scheme is used. 1/1/22 $ 63 53 82 Price 1/1/23 $ 67 47 71 % % b. What is the rate of return on this index for the year ending December 31, 2022? For the year ending December 31, 2023? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. 1/1/24 $ 84 61 87

Stock Expected Return Dollar Invested Microsoft 12.00% 25000 IBM 11.50% 25000 GE 10.00% 25000 Exxon 9.50% 25000 10.75% 100000 What is the portfolio's return?

Review the following market information: Current Stock Market Return                    11.25% Current T-Bill Price                                       $979.43 Historic T-Bill Average Return                   2.80% Historic Stock Market Average Return     8.10% Stock Beta                                                     1.23 What is the required return (rounded to two places)?

What is the expected return of a portfolio consisting of $6,000 stocks G and $4,000 stock H ? State of Probability of Returns if State Occurs Economy State of Economy Stock G (" Stock H ")/(11%) Boom 22% 14% 1% Normal 78% 7% 9% a. 7.2% b. 7.6% c. $7.9% d. 8.3% e. $8.9% 33. Joel Foster is the portfolio manager of the SF Fund, a $1 million hedge fund that contains the following stocks. The required rate of return on the market is 10% and the risk-free rate is 4%. What rate of return should investors expect (and require) on this fund? Stoo Amount bar(A) 270,000 B 330,000 1.4 bar(C) 400,000 0.7 $1,000,000 a. 8.756% b. 9.382% c. 9.921%

Colonel Motors (C) Separated Edison (S) Expected Return 10% 8% Standard Deviation 6% 3% Please represent graphically all potential combinations of stocks C and S, if the correlation coefficient between the returns of stocks C and S is: A) 1 B) 0 C) -1 Please report these investment opportunity sets in the corresponding Excel sheets.

4 Skipped Use the following data for Questions 3-5: Value 12500 17500 20000 Stock A B C Exp. Return 8.5% 9.2% 10.6% Beta 0.8 1.2 1.4 Question 4: What is the portfolio's Beta? ENTER YOUR ANSWER ROUNDED TO 2 DECIMAL PLACES