State of Economy Bust Boom State of Economy Probability of State of Bust Boom Economy 0.30 0.70 Probability of State of Economy Security Returns if State Occurs Calculate the expected return on a portfolio of 70 percent Roll and 30 percent Ross by filling in the following table: 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. 0.30 0.70 Roll -17% 17% Portfolio Return if State Occurs Ross 18% % % EUR) 5% Product

es Consider the following information on three stocks: State of Economy Boom Normal Bust Probability of State of Economy .20 .40 .40 Rate of Return If State Occurs Stock A .34 .25 .03 Stock B .46 .23 -.25 Stock C .50 .20 - .42 a-1. If your portfolio is invested 35 percent each in A and B and 30 percent in C, what is the portfolio expected return? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) a-2. What is the variance? (Do not round intermediate calculations and round your answer to 5 decimal places, e.g., .32161.) a-3. 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.) b. If the expected T-bill rate is 4.50 percent, what is the expected risk premium on the portfolio? (Do not round intermediate calculations abd enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. If the expected inflation rate…

The expected returns of a portfolio are influenced by several factors that investors should consider whenconstructing and managing their investment portfolios.   discussesthe factors that affect expected returns of a portfolio.

Based on the given annual returns, calculate the VAR for portfolios A and B to determine which is optimal. Additionally, assume that anything more than a 5% loss is unacceptable. Porfolio A Porfolio B Market T-bills A B Market RF 0.11 0.09 0.14 0.02 -0.04 -0.07 -0.06 0.03 0.13 0.11 0.10 0.03 0.07 0.09 0.05 0.04 0.19 0.16 0.18 0.03 0.09 0.07 0.10 0.03

Could part 2 be answered

Consider the following information: Rate of Return if State Occurs State of Probability of State of Economy Stock A Stock B Stock C Economy Boom 0.15 0.32 0.42 0.33 Good 0.45 0.19 0.13 0.12 Poor 0.30 -0.05 -0.08 -0.06 Bust 0.10 - 0.16 -0.28 0.09 a. Your portfolio is invested 30 percent each in A and C, and 40 percent in B. What is the expected return of the portfolio? (Round your answer to 2 decimal places. (e.g., 32.16)) Expected return % b-1What is the variance of this portfolio? (Do not round intermediate calculations and round your answer to 5 decimal places. (e.g., 32.16161)) Variance b-2What is the standard deviation? (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16)) Standard deviation %

You own a portfolio with the following expected returns given the various states of the economy. What is the overall portfolio expected return? State of Economy Boom Normal Recession 0.0701 O 0.0648 0,0719 O 0.0548 Expected returns in various states of the economy Probability 0.0442 23.00% 70.00% 7.00% 13.00% 7.00% -10.00% Rate of Return

Consider the following scenario analysis: Scenario Recession Normal economy Boom 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? Required A Probability 0.3 0.6 0.1 Required B Recession Normal economy Boom Rate of Return Complete this question by entering your answers in the tabs below. Stocks -5% 13 24 Rate of Return % % 15.6 % Bonds 12% 9 3 What is the rate of return on the portfolio in each scenario? Note: Enter your answer as a percent rounded to 1 decimal place.

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