A portfolio consists of $450,000 in Google stock and $600,000 in Disney stock. Volatility on a...
A portfolio consists of $450,000 in Google stock and $600,000 in Disney stock. Volatility on a daily basis are 2.2 % and 1.4% respectively with a correlation coefficient of .35 between the two stocks. What is the three day 99% value at risk for the portfolio? Explain what the number means.
Homework Answers
three day 99% value at risk for the portfolio is $60,673.2
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A portfolio consists of $450,000 in Google stock and $600,000 in
Disney stock. Volatility on a...
Your portfolio consists of 20% stock X and 80% stock Y. The standard deviations of the...
Your portfolio consists of 20% stock X and 80% stock Y. The
standard deviations of the returns on X and Y are 10% and 30%
respectively. What is the standard deviation of your portfolio if
correlation coefficient between X and Y is .5? What is the standard
deviation of your portfolio if correlation coefficient between X
and Y is -1?
Your portfolio consists of 20% stock X and 80% stock Y. The standard deviations of the returns on X and...
98) Which of the following statements is FALSE A) The volatility declines as the number of stocks in a portfolio grows. B) An equally weighted portfolio is a porfolio in which the same amount is...
98) Which of the following statements is FALSE A) The volatility declines as the number of stocks in a portfolio grows. B) An equally weighted portfolio is a porfolio in which the same amount is invested in eadh stock C) As the number of stocks in a portfolio grows large, the variance of the portfolio is determined primarily by the average covariance among the stocks D) When combining stocks into a portfolio that puts positive weight on each stock, unless...
Three-stock Portfolio The information regarding a portfolio consisting of three stocks is given below. Stock A...
Three-stock Portfolio The information regarding a portfolio consisting of three stocks is given below. Stock A Stock B Stock C E(R) 15% 21% Standard Deviation 10% 30% Weight 0.30 0.30 17% 14% 0.40 The correlation coefficient between Stocks A and B is 0.27. The correlation coefficient between Stocks A and C is 0.67. The correlation coefficient between Stocks B and C is 0.12. What is the expected return of the portfolio? Select one: o a. 12.54% b. 10.68% c. 17.60%...
Attention:Due to a bug in Google Chrome, this page may not function correctly. Click hare to...
Attention:Due to a bug in Google Chrome, this page may not function correctly. Click hare to lsarn mare 7. Using historical data to measure portfolio risk and correlation coefficient Aa Aa Michael is an investor who believes that past variability of stocks is a reasonably good estimate of future risk associated with the stocks. Michael works on creating a new portfolio and has already purchased stock A. Now he considers two other stocks, B and C. Michael collected data on...
1. Suppose the volatility of Dell stock is 0.38 while that of Apple stock is 0.54...
1. Suppose the volatility of Dell stock is 0.38 while that of Apple stock is 0.54 while the correlation of Dell with Apple stocks is 0.32. What is the volatility of a portfolio with equal amounts invested in Dell and Apple? 2. Suppose the risk premium is 7% while the risk free rate is 3.6% and that Charlie Inc. has a beta of -0.35. What is the required return on Charlie Inc.? Does your answer make sense? Why or why...
5.2 Risk premium Consider a portfolio consisting of the following three stocks: The volatility of the...
5.2 Risk premium Consider a portfolio consisting of the following three stocks: The volatility of the market portfolio is Correlation with the Market Portfolio 0.35 0.52 0.54 Volatility 13% 28% 11% Portfolio weight 0.26 0.29 0.45 EC Cor Green Midget Alive And Well 10% and it has an expected return of 8%. The risk-free rate is 3% 1. Compute the beta and 2. Using your answer from question (1), calculate the expected return of the portfolio 3. What is the...
please work all parts. 2. Stock A has expected return of 14% and volatility 30%. Stock...
please work all parts.
2. Stock A has expected return of 14% and volatility 30%. Stock B has expected return of 8% and volatility 19%. The correlation between two stocks is -0.2. The risk free interest rate is 4% (a) Find the expected returns, volatilities, and Sharpe ratios of portfolios that maintain 100.0% investment in Stock A and 100(1-x)% in Stock B, where x is given in the following table. Volatility Expected return Sharpe ratio 0.8 0.9 1.0 (b) How...
Section B) A bank has written a call option on one stock and a put option on another stock. For the first option the sto...
Section B) A bank has written a call option on one stock and a put option on another stock. For the first option the stock price is 50, the strike price is 51, the volatility is 28% per annum, and the time to maturity is 9 months. For the second option the stock price is 20, the strike price is 19, and the volatility is 25% per annum, and the time to maturity is 1 year. Neither stock pays a...
The realized returns for stock A and stock B from 2004-2009 are provided in the table...
The realized returns for stock A and stock B from 2004-2009 are provided in the table below Year 2004 2005 2006 2007 2008 2009 Stock A -9% 21% 6% -4% 3% 10% Stock B 23% 9% 32% -1% -6% 27% (a) Calculate the expected returns (as percents) over the next year for the stocks assuming the average annual realized returns and past volatility from 2004-2009 are unbiased estimators of expected returns and future volatility. stock A 4.5 stock B 14...
Ariel holds a $7,500 stock portfolio that consists of 4 stocks. 8. Portfolio risk and return...
Ariel holds a $7,500 stock portfolio that consists of 4
stocks.
8. Portfolio risk and return Ariel holds a $7,500 portfolio that consists of four stocks. Her Investment in each stock, as well as each stock's beta, is listed in the following table: Beta 0.80 Standard Deviation 9.00% Stock Omni Consumer Products Co. (OCP) Zaxatti Enterprises (ZE) Three Waters Co. (TWC) Mainway Toys Co. (MTC) Investment $2,625 $1,500 $1,125 $2,250 1.50 1.10 0.30 11.00% 16.00% 22.50% Suppose all stocks in...
Your portfolio consists of 20% stock X and 80% stock Y. The
standard deviations of the returns on X and Y are 10% and 30%
respectively. What is the standard deviation of your portfolio if
correlation coefficient between X and Y is .5? What is the standard
deviation of your portfolio if correlation coefficient between X
and Y is -1?
Your portfolio consists of 20% stock X and 80% stock Y. The standard deviations of the returns on X and...
98) Which of the following statements is FALSE A) The volatility declines as the number of stocks in a portfolio grows. B) An equally weighted portfolio is a porfolio in which the same amount is invested in eadh stock C) As the number of stocks in a portfolio grows large, the variance of the portfolio is determined primarily by the average covariance among the stocks D) When combining stocks into a portfolio that puts positive weight on each stock, unless...
Three-stock Portfolio The information regarding a portfolio consisting of three stocks is given below. Stock A Stock B Stock C E(R) 15% 21% Standard Deviation 10% 30% Weight 0.30 0.30 17% 14% 0.40 The correlation coefficient between Stocks A and B is 0.27. The correlation coefficient between Stocks A and C is 0.67. The correlation coefficient between Stocks B and C is 0.12. What is the expected return of the portfolio? Select one: o a. 12.54% b. 10.68% c. 17.60%...
Attention:Due to a bug in Google Chrome, this page may not function correctly. Click hare to lsarn mare 7. Using historical data to measure portfolio risk and correlation coefficient Aa Aa Michael is an investor who believes that past variability of stocks is a reasonably good estimate of future risk associated with the stocks. Michael works on creating a new portfolio and has already purchased stock A. Now he considers two other stocks, B and C. Michael collected data on...
1. Suppose the volatility of Dell stock is 0.38 while that of Apple stock is 0.54 while the correlation of Dell with Apple stocks is 0.32. What is the volatility of a portfolio with equal amounts invested in Dell and Apple? 2. Suppose the risk premium is 7% while the risk free rate is 3.6% and that Charlie Inc. has a beta of -0.35. What is the required return on Charlie Inc.? Does your answer make sense? Why or why...
5.2 Risk premium Consider a portfolio consisting of the following three stocks: The volatility of the market portfolio is Correlation with the Market Portfolio 0.35 0.52 0.54 Volatility 13% 28% 11% Portfolio weight 0.26 0.29 0.45 EC Cor Green Midget Alive And Well 10% and it has an expected return of 8%. The risk-free rate is 3% 1. Compute the beta and 2. Using your answer from question (1), calculate the expected return of the portfolio 3. What is the...
please work all parts.
2. Stock A has expected return of 14% and volatility 30%. Stock B has expected return of 8% and volatility 19%. The correlation between two stocks is -0.2. The risk free interest rate is 4% (a) Find the expected returns, volatilities, and Sharpe ratios of portfolios that maintain 100.0% investment in Stock A and 100(1-x)% in Stock B, where x is given in the following table. Volatility Expected return Sharpe ratio 0.8 0.9 1.0 (b) How...
The realized returns for stock A and stock B from 2004-2009 are provided in the table below Year 2004 2005 2006 2007 2008 2009 Stock A -9% 21% 6% -4% 3% 10% Stock B 23% 9% 32% -1% -6% 27% (a) Calculate the expected returns (as percents) over the next year for the stocks assuming the average annual realized returns and past volatility from 2004-2009 are unbiased estimators of expected returns and future volatility. stock A 4.5 stock B 14...
Ariel holds a $7,500 stock portfolio that consists of 4
stocks.
8. Portfolio risk and return Ariel holds a $7,500 portfolio that consists of four stocks. Her Investment in each stock, as well as each stock's beta, is listed in the following table: Beta 0.80 Standard Deviation 9.00% Stock Omni Consumer Products Co. (OCP) Zaxatti Enterprises (ZE) Three Waters Co. (TWC) Mainway Toys Co. (MTC) Investment $2,625 $1,500 $1,125 $2,250 1.50 1.10 0.30 11.00% 16.00% 22.50% Suppose all stocks in...
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