You are given the following information about a portfolio you are to manage. For the long term, you are bullish, but you think the market may fall over the next monthPortfolio Value$1 millionPortfollo's Beta0845004250If the anticipated market value materializes, what will be your expected loss on the portfolio?Multiple ChoiceOCurrent S&P500 ValueAnticipated S&P500 ValueOO4.44%16.67%15.43%8.57%6.42%

Expected Drop in Index= (4250-4500)/4500= -5.56%

You are given the following information about a portfolio you are to manage. For the long term, you are bullish, but you think the market may fall over the next month $1 million 08 Portfolio Value Portfollo's Beta Current S&P500 Value Anticipated S&P500 Value 4500 4250 If the anticipated market value materialtzes, what will be your expected loss on the portfolio?

You are given the following information about a portfolio you are to manage. For the long term, you are bullish, but you think the market may fall over the next month $1 million 08 Portfolio Value Portfollo's Beta Current S&P500 Value Anticipated S&P500 Value 4500 4250 If the anticipated market value materialtzes, what will be your expected loss on the portfolio?

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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You are going to invest $20,000 in a portfolio consisting of assets X, Y, and Z, as follows: Asset Annual Return Probability Beta Proportion X 10% 0.50 1.2 0.333 Y 8% 0.25 1.6 0.333 Z 16% 0.25 2.0 0.333 Given the information in Table 5.2, The beta of the portfolio in Table 8.2, containing assets X, Y, and Z is ________. Select one: a. 1.6 b. 2.0 c. 1.5 d. 2.4
Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the expected return on this portfolio?
A Moving to another question will save this response. Quèstion 18 What is the expected retum of the following portfolio? E(R) -0.11 0.09 0.05 Stock Beta 1.9 2.0 0.6 Investment $210,000 $30,000 $50,000 B IC O -0.0407% O None of the listed items is correct O 0.0100 O 0.0100% O -0.0407 A Moving to another question will save this response. MacBook Air Sc 20 F3 000 O00 F4 F1 F5 F6 $ 4 Q W E R Y %#3
You want to create a portfolio equally as risky as the market, and you have $1,200,000 to invest. Consider the following information: Asset Stock A Stock B Stock C Risk-free asset What is the investment in Stock C? Investment Investment $300,000 $ 240,000 Investment Beta 0.70 1.10 1.50 What is the investment in risk-free asset?
Consider the following information: Expected Return Portfolio Risk-free Market A Expected return 10% 15.0 11.2 Alpha Required: a. Calculate the expected return of portfolio A with a beta of 0.6. (Round your answer to 2 decimal places.) Beta 0 1.0 0.6 % b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) % Che
You are considering an investment in a portfolio P with the following expected returns in three different states of nature: Recession Steady Expansion Probability 0.20 0.65 0.15 Return on P -20% 18% 32% The risk-free rate is currently 5%, and the market portfolio M has an expected return of 15% and standard deviation of 25%, and its correlation with P is .5. Is P an efficient portfolio relative to the market?
Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the beta of the portfolio? Select one: a. 1.16 b. 0.59 c. 1.34 d. 1.20
The following expected return and the standard deviation of current returns are known: Security (i) Expected Return Standard Deviation βi A 0.20 0.12 1.1 B 0.12 0.10 0.8 T-Bills 0.05 0 0 Market Portfolio 0.20 0.15 1 Required: How will you invest $1000 in riskless T-bills and the risky assets in the Market Portfolio to maintain a standard deviation of 10%.
You are considering an investment in a portfolio P with the following expected returns in three different states of nature: Recession Steady Expansion Probability 0.20 0.65 0.15 Return on P -20% 18% 32% The risk-free rate is currently 5%, and the market portfolio M has an expected return of 15% and standard deviation of 25%, and its correlation with P is .5. Does portfolio P have a positive or negative alpha relative to its required return given its level of risk? Would you characterize P as a buy or sell, and why?
Risk and Rates of Return; Risk in Portfolio Context You are holding a investments and the portfilio with the following Stock A B C D Total Investament Dollar Investment $250,000 150,000 400,000 200,000 $1,000,000 Beta 1.20 1.60 0.85 -0.15 The market's required return is 11% and the risk-free rate is 4%. What is the portfolio's required return? Round your answer to three places. decimal
Assume that you are given the following historical returns for the Market and Security J. Also assume that the expected risk-free rate for the coming year is 4.0 percent, while the expected market risk premium is 15.0 percent. Given this information, determine the required rate of return for Security J for the coming year, using CAPM. Year 1 2 O21.20% 3 4 5 6 O22.34% O 23.49% O24.63% O24.10% Market 10.00% 12.00% 16.00% 14.00% 12.00% 10.00% Security J 12.00% 14.00% 18.00% 22.00% 18.00% 14.00%
1. Given the following summary statistics, Mean S.D. 1.235 0.997 Asset A 0.52 Asset B. 0.44 (a) If the correlation between the two financial series is 0.25. What are the optimal portfolio weights to minimize risk? (b) What are the expected return and standard deviation of the optimal port- folio? (c) Compute the 1% Value-at-Risk for the next 5 days (d) Compute the expected shortfall

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