Calculate the arithmetic mean, the geometric mean, sample standard deviation, and correlation coefficient of the Bonds...
Calculate the arithmetic mean, the geometric mean, sample standard deviation, and correlation coefficient of the Bonds and Small Cap Stocks.
To really test your skills, calculate the expected return and risk of a 30% Bond & 70% Small Cap Stock portfolio. Estimate the weights of each asset class where you think the Minimum Variance portfolio (MPV) be located on the risk & return graph.
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Calculate the
arithmetic mean, the geometric mean, sample standard deviation, and
correlation coefficient of the Bonds...
Calculate the expected rate of return, variance and standard deviation of bond and common stock
(a) Calculate the expected rate of return, variance and standard deviation of bond and common stock. (b) Do you think the above stocks and bonds is a good combination to form an investment portfolio? Explain why.(c) Assuming you invest in the portfolio with weights of 70% in stock and 30% in bonds. What are the expected rate of return and standard deviation of the portfolio?
3. Consider Table 3 Table 3 Stock Expected Return 10% 5% Standard Deviation 12% 8% Correlation...
3. Consider Table 3 Table 3 Stock Expected Return 10% 5% Standard Deviation 12% 8% Correlation Coefficient 0.40 (a) Consider Table 3. Compute the expected return and standard deviation of return of an equally-weighted portfolio of stocks A and B (b) Consider Table 3. Solve for the composition, expected return and standard deviation of the minimum variance portfolio (c) Consider Table 3. Sketch the set of portfolios comprised of stocks A and B (d) Consider Table 3. Suppose that a...
Suppose there are three assets: A, B, and C. Asset A’s expected return and standard deviation are 1 percent and 1 percent. Asset B has the same expected return and standard deviation as Asset A. However, the correlation coefficient of Assets A and B is −0
Suppose there are three assets: A, B, and C. Asset A’s expected return and
standard deviation are 1 percent and 1 percent. Asset B has the same expected
return and standard deviation as Asset A. However, the correlation coefficient of
Assets A and B is −0.25. Asset C’s return is independent of the other two assets.
The expected return and standard deviation of Asset C are 0.5 percent and 1
percent.
(a) Find a portfolio of the three assets that...
6. Calculating a beta coefficient for a single stock Suppose that the standard deviation of returns...
6. Calculating a beta coefficient for a single stock Suppose that the standard deviation of returns for a single stock A IS A = 25%, and the standard deviation of the market return is on = 15%. If the correlation between stock A and the market is PAM - 0.6, then the stock's beta is prns against the market returns will equal the true value of Is it reasonable to expect that the beta value estimated via the regression of...
2. Consider the information in Table1. Table 1 Standard Deviation of Stock Stock Correlation with Market...
2. Consider the information in Table1. Table 1 Standard Deviation of Stock Stock Correlation with Market Portfolio 0.75 0.20 Stock 20% 15% 14% 0% 49% ected Market Return Risk Free Rate Return (a) Consider Table 1 . Calculate betas for Stock 1, Stock 2, and a portfolio consisting of 75% invested in Stock 1 and (b) Consider Table 1. Compute the equilibrium expected return according to the CAPM for Stock 1, Stock 2, and the (c) Consider Table 1 and...
3. Consider Table 2. Table 2 Stock Expected Return 2 12% 6% Standard Deviation 20% 10%...
3. Consider Table 2. Table 2 Stock Expected Return 2 12% 6% Standard Deviation 20% 10% 0.20 Correlation Coefficient (a) Consider Table 2. Compute the expected return and standard deviation of return of an equally-weighted (b) Consider Table 2. Solve for the composition, expected return and standard deviation of the minimum (c) Consider Table 2. Sketch the set of portfolios comprised of stocks 1 and 2. Be sure to include the portfolios (d) Consider Table 2. Suppose that a risk-free...
8. Calculate the PORTFOLIO Expected Return and standard deviation of a 60/40 Portfolio of Asset A...
8. Calculate the PORTFOLIO Expected Return and standard deviation of a 60/40 Portfolio of Asset A and asset B. ASSET A 60% ASSET B 40% Return in State Return in State R (A) R(B) PORTFOLIO Rport in Sate S R(P)i Deviation R(P)i Pr Portfolio (Deviation Portfolio 2 State S Squared Dev*Pr Pr State P 0.4 0.6 E(R) E(R) Portfolio Portfolio Var Portfolio sd - 9. Compare the Risk-Return of the two stocks ALONE and the joint risk in the portfolio...
Calculate the arithmetic average return, the geometric average return, and standard deviation of yearly returns for...
Calculate the arithmetic average return, the geometric average return, and standard deviation of yearly returns for each of the assets over the entire period. Which asset had the highest return? Highest risk? Year-by-Year Total Returns Year Large Company Stocks Small Company Stocks Long-term Corporate Bonds Long-term Government Bonds Intermed-term Government Bonds U.S. Treasury Bills Inflation Political Party 1926 11.62 0.28 7.37 7.77 5.38 3.27 -1.49 R 1927 37.49 22.10 7.44 8.93 4.52 3.12 -2.08 R 1928 43.61 39.69 2.84...
Please show also the formulas in excel. Calculate also exp return, risk, corr coefficient, optimal weight...
Please show also the formulas in excel. Calculate also exp
return, risk, corr coefficient, optimal weight and weights for
portfolio and equity portfolio. Thank you for your time!
1 The fund manager has invested! 0 million euros into a bond portfolio which has expected annual return of 13% and 2 expected risk of 8.5% 3 To reduce his overall risk, porfolio manager decided to invest into equity portfolio 4 with expected annual return of 19% and risk 22%. 5 The...
6. Consider the following information for Stocks 1 and 2: Expected Standard Stock Return Deviation 1...
6. Consider the following information for Stocks 1 and 2: Expected Standard Stock Return Deviation 1 20% 40% 2 12% 20% NE a. The correlation between the returns of these two stocks is 0.3. How will you divide your money between Stocks 1 and 2 if your aim is to achieve a portfolio with an expected return of 18% p.a.? That is, what are the weights assigned to each stock? Also take note of the risk (i.e., standard deviation) of...
3. Consider Table 3 Table 3 Stock Expected Return 10% 5% Standard Deviation 12% 8% Correlation Coefficient 0.40 (a) Consider Table 3. Compute the expected return and standard deviation of return of an equally-weighted portfolio of stocks A and B (b) Consider Table 3. Solve for the composition, expected return and standard deviation of the minimum variance portfolio (c) Consider Table 3. Sketch the set of portfolios comprised of stocks A and B (d) Consider Table 3. Suppose that a...
6. Calculating a beta coefficient for a single stock Suppose that the standard deviation of returns for a single stock A IS A = 25%, and the standard deviation of the market return is on = 15%. If the correlation between stock A and the market is PAM - 0.6, then the stock's beta is prns against the market returns will equal the true value of Is it reasonable to expect that the beta value estimated via the regression of...
2. Consider the information in Table1. Table 1 Standard Deviation of Stock Stock Correlation with Market Portfolio 0.75 0.20 Stock 20% 15% 14% 0% 49% ected Market Return Risk Free Rate Return (a) Consider Table 1 . Calculate betas for Stock 1, Stock 2, and a portfolio consisting of 75% invested in Stock 1 and (b) Consider Table 1. Compute the equilibrium expected return according to the CAPM for Stock 1, Stock 2, and the (c) Consider Table 1 and...
3. Consider Table 2. Table 2 Stock Expected Return 2 12% 6% Standard Deviation 20% 10% 0.20 Correlation Coefficient (a) Consider Table 2. Compute the expected return and standard deviation of return of an equally-weighted (b) Consider Table 2. Solve for the composition, expected return and standard deviation of the minimum (c) Consider Table 2. Sketch the set of portfolios comprised of stocks 1 and 2. Be sure to include the portfolios (d) Consider Table 2. Suppose that a risk-free...
8. Calculate the PORTFOLIO Expected Return and standard deviation of a 60/40 Portfolio of Asset A and asset B. ASSET A 60% ASSET B 40% Return in State Return in State R (A) R(B) PORTFOLIO Rport in Sate S R(P)i Deviation R(P)i Pr Portfolio (Deviation Portfolio 2 State S Squared Dev*Pr Pr State P 0.4 0.6 E(R) E(R) Portfolio Portfolio Var Portfolio sd - 9. Compare the Risk-Return of the two stocks ALONE and the joint risk in the portfolio...
Please show also the formulas in excel. Calculate also exp
return, risk, corr coefficient, optimal weight and weights for
portfolio and equity portfolio. Thank you for your time!
1 The fund manager has invested! 0 million euros into a bond portfolio which has expected annual return of 13% and 2 expected risk of 8.5% 3 To reduce his overall risk, porfolio manager decided to invest into equity portfolio 4 with expected annual return of 19% and risk 22%. 5 The...
6. Consider the following information for Stocks 1 and 2: Expected Standard Stock Return Deviation 1 20% 40% 2 12% 20% NE a. The correlation between the returns of these two stocks is 0.3. How will you divide your money between Stocks 1 and 2 if your aim is to achieve a portfolio with an expected return of 18% p.a.? That is, what are the weights assigned to each stock? Also take note of the risk (i.e., standard deviation) of...
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