You calculated that the average return of your portfolio is 4% and the standard deviation is 16%, what is the value at risk (VaR) at 5% for your portfolio?
You calculated that the average return of your portfolio is 4% and the standard deviation is 16%
Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio. 4. Assume that the total market value of an initial portfolio is $300,000. Suppose that the owner of this portfolio wishes to decrease risk by reducing the allocation to the risky portfolio from y = 0.7 to y = 0.56. How do you reallocate your risky portfolio? 5. Which of the following factors reflect pure market risk for a given corporation? a. Increased short-term interest rates....
The average monthly return of a bond portfolio is 1% with a standard deviation of 4%. On the other hand the average monthly return of a stock portfolio is 2% with standard deviation of 6%. Each portfolio is measured on a period of 24 months. Test if the variance of the stock portfolio is higher at 5% significance level.
You have invested $12,000 in a portfolio with an annual expected return of 5.6% and standard deviation of 7.1%. Compute your portfolio’s 5% VaR. Express your answer both in percentage and dollar term. You have invested $12,000 in a portfolio with an annual expected return of 5.6% and standard deviation of 7.1%. Compute your portfolio's 5% VaR. Express your answer both in percentage and dollar term. You have invested $12,000 in a portfolio with an annual expected return of 5.6%...
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...
(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...
Problem #5 (12 Marks) You have a portfolio with a standard deviation of 30% and an expected return of 18%. You are considering adding one of the two stocks in the table below to your portfolio. After adding the stock, you will have 20% of your money in the new stock and 80% of your money in your existing portfolio. A) Calculate the risk and return of a new portfolio with 20% invested in stock A and 80% in your...
a. The expected rate of return for portfolio A is: The standard deviation of portfolio A is: b. The expected rate of return for portfolio B is: The standard deviation for portfolio B is: (Computing the expected rate of return and risk) After a tumultuous period in the stock market, Logan Morgan is considering an investment in one of two portfolios. Given the information that follows, which investment is better, based on risk (as measured by the standard deviation) and...
a. The expected rate of return for portfolio A is The standard deviation of portfolio A is a. The expected rate of return for portfolio B is The standard deviation of portfolio B is Score: 0 of 1 pt | 4 of 9 (2 complete) HW Score: 22.22%, 2 of 9 pts P8-7 (similar to) :& Question Help (Computing the expected rate of return and risk) After a tumultuous period in the stock market, Logan Morgan is considering an investment...
You have a portfolio with a standard deviation of 28% and an expected return of 17%. You are considering adding one of the two stocks in the following table. If after adding the stock you will have 30% of your money in the new stock and 70% of your money in your existing portfolio, which one should you add? Expected Return 16% 16% Standard Deviation 21% 16% Correlation with Your Portfolio's Returns Stock A Stock B 0.3 0.7 Standard deviation...