1.
=Prob(R<0%)
=Prob(Z<(0-10%)/25%)
=Pr(Z<-0.4)
=0.34457826
2.
=Prob(R>25%)
=1-Prob(Z<(25%-10%)/25%)
=1-Prob(Z<0.6)
=1-0.72574688
=0.27425312
3.
=Prob(0%<R<20%)
=Prob(R<20%)-Prob(R<0%)
=Prob(Z<(20%-10%)/25%)-Prob(Z<(0%-10%)/25%)
=Prob(Z<0.4)-Prob(Z<-0.4)
=0.65542174-0.34457826
=0.31084348
P.S.: I am not allowed to answer more than 1 question per post
The return on a portfolio is normally distributed with a mean of 10% and a standard...
A. The return on treasury bills is 4%. The return on a mutual fund is normally distributed with a mean of 10% and a standard deviation of 20%. An investor forms a portfolio, P, by putting 70% of his money into the mutual fund and the remainder into treasury bills. Find the expected return on the investor's portfolio. B. Find the equation of the combination line. Find the standard deviation of the investor's portfolio. Find the standard normal deviate, Zº,...
The return on a portfolio is normally distributed with a mean of 6% and a standard deviation of 5%. Find the following: A. Prob(Rp <0) B. Prob(R, > 10%) c. Prob(1% <R, < 11%)
(20 points) Suppose that the return of stock A is normally distributed with mean 4% and standard deviation 5%, the return of stock B is normally distributed with mean 8% and standard deviation 10%, and the covariance between the returns of stock A and stock B is -30(%)2. Now you have an endowment of 1 dollar, and you decide to invset w dollar in stock A and 1 - w dollar in stock B. Let rp be the overall return...
(20 points) Suppose that the return of stock A is normally distributed with mean 4% and standard deviation 5%, the return of stock B is normally distributed with mean 8% and standard deviation 10%, and the covariance between the returns of stock A and stock B is -30(%)2. Now you have an endowment of 1 dollar, and you decide to İnvset w dollar in stock A and 1 - w dollar in stock B. Let rp be the overall return...
Investors can choose to invest in any combination of portfolio A, portfolio B, and Treasury bills. Portfolio A has an expected return of 15% and a standard deviation of 36%. Portfolio B has an expected return of 10% and a standard deviation of 22%. Treasury bills return 3%. The correlation between portfolio A and B is 0. What risky portfolio would any investor choose to combine with the risk-free asset? What are the weights on portfolio A and B in...
Arisky fund has an expected return of 9% and standard deviation of 15%. The T-Bill rate is 3%. An investor allocates 125% of her retirement portfolio to the risky fund and -25% to T-Bills (recall the negative allocation to T-Bills indicates borrowing at risk free rate). What is the investor's risk aversion coefficient (A)? 0.47 2.13 -2.13 1.40
1.3 (5 points) Two stocks have the following expected returns and standard deviations Stock Stock Expected return Standard Deviation A 10% 12% B 15% 20% Consider a portfolio of A and B, and let w, and wg denote the portfolio weights of these two assets, with W + W, =1. Suppose that the correlation between the expected returns on A and B is equal to 0.3. Use these data to construct the portfolio of A and B with the lowest...
10) The market portfolio has an expected return of 10% and standard deviation of returns of 15%. The riskless interest rate is 4%. What is the maximum standard deviation an investor should accept in order to earn an expected return of 16%? a) 15% b) 20% c) 25% d) 30% e) None of the above
Furnace repair bills are normally distributed with a mean of $273 & a standard deviation of $25. Examples of 100 furnace repair bills are obtained and the mean cost of each sample is recorded. Find the standard deviation of the mean costs. Write the formula you we use, then put the numbers into it then give the answer.
You are given the following information of two assets:AssetReturnWeightingRisk X10%75%3%Y20%25%9%The expected return of the portfolio is _____________.The standard deviation of the portfolio with a (rho) p of +1.0 is _______________The standard deviation of the portfolio with a (rho) p of 0 is ________________The standard deviation of the portfolio with a (rho) p of -1.0 is ______________