You have the following data on a portfolio. You have decided to invest 11% of your money in Asset A and 89% in Asset B. Find the return on your portfolio. Asset Returns in Bust and Boom Economy Probability Return A Bust 13% 17% Boom 87% 20% Return B 5% 36%

103.

Use the data below to answer the following question.  If you have a risk-aversion factor of 2.5 and the risk-free rate is 2%, you would invest _______% of your money in the risky portfolio.   Year Return 2014 -15% 2015 -5% 2016 30% 2017 -10% 2018 35%

State the return rate (in %) for your optimal portfolio.

Could part 2 be answered

4. Consider the following information. Your portfolio is invested 30 percent each in A and C, and 40 percent in B. What is the expected return and standard deviation of this portfolio? (10 marks) State of Probability of Rate of Return if State Occurs Economy State of Economy Stock A Stock B Stock C Boom 0.15 0.30 0.45 0.33 Good 0.45 0.12 0.10 0.15 Poor 0.35 0.01 -0.15 -0.05 Bust 0.05 -0.06 -0.30 -0.09

Current Attempt in Progress You have just invested in a portfolio of three stocks. The amount of money that you invested in each stock and its beta are summarized below. Stock A B C Investment $190,000 285,000 475,000 Beta of the portfolio Beta Expected rate of return 1.45 0.60 Calculate the beta of the portfolio and use the Capital Asset Pricing Model (CAPM) to compute the expected rate of return for the portfolio. Assume that the expected rate of return on the market is 17 percent and that the risk-free rate is 6 percent. (Round beta answer to 3 decimal places, e.g. 52.750 and expected rate of return answer to 2 decimal places, e.g. 52.75%.) 1.30 %

How can you work this out in Excel? Suppose that we have an investment with an annual return of 10% and an annual standard deviation of 25%. Over a one-year period, what range of returns can we expect with approximately 95% confidence? 1.-15.36% to 55.36% 2.5% to 45% 3.-23.45% to 56.78% 4. -40% to 60%

Solve step by step

Consider a position consisting of 200,000 investment in asset A and  300,000 investment in asset B. Assume that the daily volatility of the assets are 1.5% and 1.8% respectively, and that coefficient of correlation between their returns is 0.4. What is the five day 95% VAR for the portfolio (given 95% confidence level represents 1.65 standard deviations on the left side of the normal distribution)?