Please enter your solutions in the answer boxes for Questions 6 to 10.What is the portfolio weight for BRK/A in the unique fund F?Please express your numerical answer in decimal (not percentage) form andround your answer to two decimal places.What is the portfolio weight for SPX in the unique fund F?What is the portfolio weight for NDX in the unique fund F?What is the portfolio weight for RUT in the unique fund F?What is the portfolio variance of the unique fund F? Consider the following table of annual rates of return, in percentage, for fourcommon risky assets over the time period 2010 to 2019• Berkshire Hathaway (ticker: BRK/A)• S&P 500 Index (ticker: SPX)• NASDAQ 100 Index (ticker: NDX)• Russell 2000 Index (ticker: RUT)YEARBRK/ASPXNDXRUT201021.415.119.2226.852011-4.72.12.7-4.18201216.81616.8216.35201332.732.434.9938.8220142713.717.944.892015-12.51.48.43-4.41201623.4125.8921.31201721.921.831.5214.6520182.8-4.4-1.04-11.0120191131.537.9625.52Now assume there is a risk-free asset available and the annual risk-free rate is2%. Using mean-variance portfolio theory, determine the 4 portfolioweightings and the portfolio variance for the unique fund F defined by thetangent portfolio and the one-fund theorem.Note that the portfolio weights sum to 1 and short selling (negative weights)are permissible.

As per the mean-variance portfolio theory, the investment decisions made by the investor should be…

Answered: Consider the following table of annual…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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The following information is related to X corporation: X's Beta was 1.3, market index 1 January 2020 was 100, market index 31 December 2020 was 110 and interest on treasury bills was 0.03 (risk free). Stock returns using the capital assets pricing model Question 20Answer a. 0.132 b. 0.143 c. 0.112 d. 0.121
Stocks A and B have the following historical returns:YearStock A's Returns, raStock B's Returns, ra2016(18.60%)(14.50%)201734.2520.40201814.7539.902019(1.00)(9.70)202026.7520.05a. Calculate the average rate of return for each stock during the period 2016 through 2020. Round your answers to two decimal places.Stock A:11.23%Stock B:11.23%b. Assume that someone held a portfolio consisting of 50% of Stock A and 50% of Stock B. What would the realized rate of return on the portfolio have been each year? Round your answers to two decimal places. Negative values should be indicated by a minus sign.YearPortfolio2016-16.55%201727.33201827.33%2019-5.35202023.40What would the average return on the portfolio have been during this period? Round your answer to two decimal places.11.23c. Calculate the standard deviation of returns for each stock and for the portfolio. Round your answers to two decimal places.Stock AStock BPortfolioStandard Deviationd. Calculate the coefficient of variation for each…
Directions: Compute the returns, average of returns and standard deviation of the following stocks and the PSEI. 1. 2. AGI SM Year Stock Return x x (x--x)² Year Stock Return x x (x-x)² Price Price 30/1/2014 27.100 30/1/2014 704.500 28/2/2014 30.000 28/2/2014 694.000 31/3/2014 28.500 31/3/2014 705.000 30/4/2014 31.150 30/4/2014 725.000 30/5/2014 29.650 30/5/2014 786.000 30/6/2014 29.100 30/6/2014 816.000 31/7/2014 26.350 31/7/2014 797.000 29/8/2014 24.600 29/8/2014 772.000 30/9/2014 26.000 30/9/2014 803.500 31/10/2014 25.300 31/10/2014 783.500 28/11/2014 24.800 28/11/2014 804.500 29/12/2014 22.550 29/12/2014 815.000 PSEI Year Stock Return x X (x-X)? 30/6/2014 6,844.31 Price 31/7/2014 6,864.82 30/1/2014 6,041.19 29/8/2014 7,050.89 3. 28/2/2014 6,424.99 30/9/2014 7,283.07 31/10/2014 7,215.73 31/3/2014 6,428.71 28/11/2014 7,294.38 30/4/2014 6,707.91 29/12/2014 7,230.57 30/5/2014 6,647.65
The following table lists the closing levels of the S&P 500 Index and the share price of Amazon stock. Year 2017 2018 2019 2020 2021 Relative Return S&P 500 Index 2043.94 % 2238.83 2673.61 2506.85 3230.78 AMZNt AMZNt-1 What was the lowest annual return to two decimal points. The annual return of AMZN relative to the S&P 500 Index can be expressed using the formula: AMZN S&P 500 t S&P 500 t-1 675.89 768.66 1169.47 1501.97 1847.84 AMZN relative to the S&P 500 Index from 2018 to 2021? Round your answer
Assume these are the stock market and Treasury bill returns for a 5-year period: Year 2016 2017 2018 2019 2020 Stock Market Return (%) 33.30 13.20 -3.50 14.50 23.80 Required: a. What was the risk premium on common stock in each year? b. What was the average risk premium? c. What was the standard deviation of the risk premium? (Ignore that the estimation is from a sample of data.) 3 Required A Required B T-Bill Return Complete this question by entering your answers in the tabs below. Standard deviation (%) 0.12 0.12 0.12 0.07 0.09 x Answer is complete but not entirely correct. Required C What was the standard deviation of the risk premium? (Ignore that the estimation is from a sample of data.) Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. 13.69 X % घ
1. What is the required rate of return for the common equity shareholders using CAPM? 2. Use the year-end 2020 data to compute the market-to-book ratio. 3. What is the implied value to book ratio?
Stocks C and F have the following historical returns:Year return (HPY) of C return (HPY) of F2016 −18.00% −14.50%2017 33.00% 21.80%2018 15.00 % 30.50%2019 −0.50% −7.60%2020 27.00% 26.30%Required i. Calculate the geometric rate of return for each stock during the 5-year period. ii. Calculate the standard deviation of returns for each stock. iii. Calculate the coefficient of variation for each stock. iv. If you are a risk-averse investor then, assuming these are your only choices, discusswhether you would prefer to hold Stock C or Stock F.
Intro You've collected the following historical rates of return for stocks A and B: Year (t) FA,t FB,t 2016 0.02 0.01 2015 0.08 0.05 2014 0.17 0.07
The following stock price information has been collected for stock XYZ: \table[[End of year,Closing price],[2023,$127
Below are the annual returns of the stock A, B, C and D and the market portfolio for the period 2018-2022. Find the expected return and standard deviation of the stock A, B, C, D and the market portfolio. Asset A Asset D | 15,00 13,00 | 10,00 13,00 Prob. Asset B 9,00 Year 2018 2019 2020 2021 2022 Asset C 12,00 Market 14,00 12,00 |11,00 0,20 0,25 | 13,00 9,00 | 11,00 8,00 0,10 0,20 0,25 15,00 | 11,00 11,00 | 9,00 12,00 12,00 9,00 12,00 15,00 10,00 12,00 13,00
Consider the following annual closing prices of stock A, values of market index (S&P 500) and Treasury bills rate. 1 2 3 45678 A B C D Date Stock A Prices (in $) Market Index Value Risk Free Rate (in %) Period 1 112 12102 Period 2 95 10773 120 12680 99 10487 121 11475 128 12318 90 8587 105 9914 129 11772 110 9987 121 12042 102 10613 Period 3 Period 4 Period 5 Period 6 Period 7 9 Period 8 10 Period 9 11 Period 10 12 Period 11 13 Period 12 14 15 What is the value of CAPM beta for stock A? 1.45 1.24 1.36 1.4 1.67 1.41 1.69 1.72 1.24 1.08 1.52 1.71
Q7) Stock Index: Calculate Index Returns Using the price data below for a three-stock index, calculate the Price Weighted Index Return (e.g., DJIA) and a Market Value Weighted Index Return (e.g., SP500) from day t=1 to day t=2. Stock ABC XYZ RLK Market Shares 100,000 500,000 250,000 t=1 Price 70 30 100 t=2 Price 75 29 110

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