An investor invests 100 dollars in a stock. The return
X (in dollars) after 10 years has
MGF given by M(t) = exp(180t + 800(t^2)).
(a) Find the mean, variance and standard deviation of the
return.
(b) Find the probability that the return is more than the initial
investment.
(c) Find the probability that the return is in between 150 and 200
dollars.
(d) If Y = e^(X−100), find the density of Y .
An investor invests 100 dollars in a stock. The return X (in dollars) after 10 years...
4-) (20 points) Rf=2%, Rm= 10% According to the CAPM model Expected Return X= 10 Expected Return Y= 6 Portfolios: A portfolio of stock X and rf with a 50% equal weighted investment yielded a STANDARD DEVIATION of 3. A portfolio of stock Y and rf with a 25% investment in stock Y yielded a STANDARD DEVIATION of 1. A portfolio of the market and rf with a 50% investment in the market yielded a STANDARD DEVIATION of 1. An...
3. (15 points) Suppose an investor invests $100 in a stock that in each period can either double or half with equal probability. The returns in each period are uncorrelated a. Calculate the variance of the investors' dollar position after one period. b. Calculate the variance of the investor's dollar position after holding the stock for two periods c. Suppose there are two independent stocks: each stock can either double or half with equal probability. Assume the investor invests 850...
Investor A wants to maximize his expected return by investing some proportion in Stock Z which has expected rate of return of 18% and standard deviation of 25%. He invests remaining proportion in T-bills. Return of T-bill is 6.5%. The standard deviation on overall portfolio should not be more than 21%. The investment proportion in Stock Z and expected return on overall portfolio are: a) 16.00% and 16.16% respectively b) 84.00% and 16.16% respectively c) 84.00% and 15.12% respectively d)...
P.14 An investor holding a portfolio consisting of two stocks invests 25% of assets in Stock A and 75% into Stock B. The return RA from Stock A has a mean of 4% and a standard deviation of A = 8%. Stock B has an expected return E(RB) = 8% with a standard deviation of ob = 12%. The portfolio return is P = 0.25RA +0.75RB. (a) Compute the expected return on the portfolio. (b) Compute the standard deviation of...
Excel Online Structured Activity: Evaluating risk and return Stock X has a 10.0% expected return, a beta coeficient of 0.9, and a 30% standard deviation of expected returns. Stock Y has a 12.0% expected return, beta coefficient of 1.1, and a 20.0% standard deviation. The risk-free rate is 6%, and the market risk premium is 5%. The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the questions...
The investor is presented with the two following stocks: Expected Return Standard Deviation Stock A 10% 30% Stock B 20% 60% What is the expected return on the portfolio that invests 30% in stock A? A. 15% B. 17% C. 27% D. 23%
these SUCI 8-19 KAND RETURN Stock X has a 10% expected return, a beta coefficient of EVALUATING 0.9. and a 35% standard deviation of expected returns. Stock Y has a 12.5% expected return a beta coefficient of 1.2, and a 25% standard deviation. The risk-free rate is 6%, and the market risk premium is 5%. a. Calculate each stock's coefficient of variation. b. Which stock is riskier for a diversified investor? c. Calculate each stock's required rate of return. d....
EVALUATING RISK AND RETURN Stock X has a 9.5% expected return, a beta coefficient of 0.8, and a 35% standard deviation of expected returns. Stock Y has a 12.5% expected return, a beta coefficient of 1.2, and a 20.0% standard deviation. The risk-free rate is 6%, and the market risk premium is 5%. Calculate each stock's coefficient of variation. Round your answers to two decimal places. Do not round intermediate calculations. CVx = CVy = Which stock is riskier for...
Assume an investment manager is considering to invest in a portfolio composed of Stock (A) and Stock (B). Stock (A) has an expected return of 10% and a Variance of 100 (Standard Deviation=10), while Stock (B) has an expected return of 20% and a Variance of 900 (Standard deviation=30).1- Calculate the expected return and variance of the portfolio if the proportion invested in Sock (A) is (0, .2, .3,.5. .6,.7,1) .The Correlation Coefficient is .4.2- If the Correlation Coefficient is...
EVALUATING RISK AND RETURN Stock X has a 9.5% expected return, a beta coefficient of 0.8, and a 40% standard deviation of expected returns. Stock Y has a 12.5% expected return, a beta coefficient of 1.2, and a 20.0% standard deviation. The risk-free rate is 6%, and the market risk premium is 5%. a. Calculate each stock's coefficient of variation. Round your answers to two decimal places. Do not round intermediate calculations. CVx = ________ CVy = ________ b. Which...