State ofEconomyBustBoonState ofEconomyBustBoomProbability ofState of Economy.20.80Calculate the expected return on a portfolio of 60 percent Roll and 40 percent Ross by filling in the following table: (A negative valueshould be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2decimal places.)Probabilityof State ofEconomy20.80Portfolio Return ifState Occurs%%Security Returns ifState OccursE(R)Roll-13424Ross17%6Product%%%

The expected return of a portfolio as a whole is determined or calculated with the help of the…

State of Economy Bust Boom Probability of State of Economy .20 .80 State of Probability of State of Economy Economy Bust Boom 20 80 alculate the expected return on a portfolio of 60 percent Roll and 40 percent Ross by filling in the following table: (A negative value hould be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 ecimal places.) Portfolio Return if State Occurs ER Security Returns if State Occurs % % Roll -13% 24 Ross 17% Product % % %

State of Economy Bust Boom Probability of State of Economy .20 .80 State of Probability of State of Economy Economy Bust Boom 20 80 alculate the expected return on a portfolio of 60 percent Roll and 40 percent Ross by filling in the following table: (A negative value hould be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 ecimal places.) Portfolio Return if State Occurs ER Security Returns if State Occurs % % Roll -13% 24 Ross 17% Product % % %

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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Consider the following information: State of Economy Boom Good Poor Bust Probability of State- of Economy a. 15 .55 .25 .05 a. Expected return b-1. Variance b-2. Standard deviation Rate of Return if State Occurs Stock A Stock B Stock C .39 .49 .29 .15 .20 .08 -.09 -.07 -.24 -.10 Your portfolio is invested 24 percent each in A and C, and 52 percent in B. What the expected return of the portfolio? (Do not round intermediate calculations a enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b-1. What is the variance of this portfolio? (Do not round intermediate calculations an round your answer to 5 decimal places, e.g., .16161.) b-2. What is the standard deviation? (Do not round intermediate calculations and ent your answer as a percent rounded to 2 decimal places, e.g., 32.16.) -.01 -.20 % %
5. Consider the following portfolio (assume an equal probability of a boom or a bust): Asset Port. Weight ReturnBoom ReturnBust .25 15% .25 20% .50 35% A B D 5% 10% -10% (a) what is the expected portfolio return given the following information? (b) what is the portfolio's variance? What is its standard deviation?
Consider the following information: State of Economy Boom Good Poor Bust Probability of State- of Economy 15 .55 a. Expected return b-1. Variance b-2. Standard deviation 25 .05 Rate of Return if State Occurs Stock A Stock B Stock C .33 .43 .23 .18 14 .12 -.05 -.13 a. Your portfolio is invested 26 percent each in A and C, and 48 percent in B. What is the expected return of the portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b-1. What is the variance of this portfolio? (Do not round intermediate calculations and round your answer to 5 decimal places, e.g., .16161.) b-2. What is the standard deviation? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) % -.08 -.18 % -.06 -.10
11.9
please answer this two ASAP QUESTION 73 What is the VaR of a $10 million portfolio with normally distributed returns at the 5% VaR? Assume the expected return is 13% and the standard deviation is 20%. -13% 19.90% 13% -19.90% QUESTION 74 The geometric average of -12%, 20% and 25% is ________. 18.88% 11% 8.42% 9.7%
INV 2 -1 You are considering an investment in a portfolio P with the following expected returns in three different states of nature: Recession Steady Expansion Probability 0.10 0.55 0.35 Return on P -15% 20% 40% The risk-free rate is currently 4%, and the market portfolio M has an expected return of 16% and standard deviation of 20%, and its correlation with P is .7. Is P an efficient portfolio relative to the market?
Security Returns if State Occurs State of Economy Bust Boom Probability of State of Economy Roll Ross .60 40 -15% 19% 26 6 Calculate the expected return on a portfolio of 70 percent Roll and 30 percent Ross by filling in the following table: (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.) State of Economy Probability of State of Economy Portfolio Return if Product State Occurs Bust .60 % Boom 40 % E(Rp) % % 5.12%
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9. You are currently holding portfolio M. You are considering combining M with se- curity X, Y, or Z. There are three possible scenarios listed in the table below. (For instance, in scenario 1 which happens with 20% probability, M will deliver a return of -20%). Scenarios 1 3 Probability 20% 50% 30% Return of M -20% 0% 30% 15% 5% -5% Return of X -10% 0% 5% 5% 5% 0% Return of Y Return of Z (a) Which of X, Y, and Z is a risk-free security when considered on a standalone basis? (b) Now, you are considering investing 90% in your current portfolio M and in- vesting 10% into X, or Y, or Z.' Suppose your goal is only to reduce portfolio risk and you do not care about portfolio return. Which of X, Y, or Z will you choose, and why? (c) Recall that you can short securities in forming your new portfolio. Is it pos- sible to reduce portfolio risk by combining M and X by choosing appropriate portfolio weights? If so, please give examples of such portfolio weights. 'For instance, if you choose X,…
2 Problem 2: Consider a market composed of only two risky assets, A and B, with the following properties: a StockA Expected return 25%, SD 20% StockB Expected return 15%, SD 25% a) Suppose their correlation is 0.8. What is the expected return of the following portfolios: one that invests 0% in A, one that invests 10% in A, 20% in A and so on until 100%? Plot the portfolio frontier formed by these portfolios.b) Repeat part (1) under the assumption that the correlation is -0.8.c) Explain in detail what is the intuition behind the difference across the answers you found for part (1) and part (2).
The following portfolio has an expected return of Security XYZ O 10.87; 1.08 O 10.87: 1.11 11.03; 1.07 O 11.03; 1.10 O 11.11; 1.09 Amount Invested $12,000 18,000 10,000 Expected Return 16.7% 7.8 94 percent and a beta of Beta 1.42 88 1.02
Consider the following scenario analysis: Scenario Recession Normal economy Boom Required A Probability 0.3 0.4 0.3 Assume a portfolio with weights of 0.60 in stocks and 0.40 in bonds. a. What is the rate of return on the portfolio in each scenario? b. What are the expected rate of return and standard deviation of the portfolio? Rate of Return Stocks Bonds 12% 7 3 Complete this question by entering your answers in the tabs below. Required B Expected return Standard deviation -4% 13 22 What are the expected rate of return and standard deviation of the portfolio? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places % %

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