The average historical annual return on a stock is 7.16%, with a standard deviation of 44.35%. What is the 97.5% annual value-at-risk (VaR) on a $1 million investment in this stock?
Select one:
a. -$371,900
b. -$443,000
c. -$815,400
d. -$975,000
e. -$1,000,000
The average historical annual return on a stock is 7.16%, with a standard deviation of 44.35%....
xyz stock has an average annual return of 15% with an annual return standard deviation of 50%. what loss level can we expect over a two-year investment horizon with a probability of 17%? A) -35.00% B) -28.12% C) -25.05% D) -40.71%
A stock has an average historical return of 11.3% and a standard deviation of 20.2%. Which range of returns would you expect to see approximately 68% (two-third) of the time? A. +4.6% TO +33.8% B. -3.9% TO +32.5% C. -23.8% TO +53.0% D. -8.9% TO +31.5%
(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...
1) A stock has generated an annual average return of 9.5% with a standard deviation of 40.7% during the last 10 years. If the average risk-free rate was 1.7%, what was this stock's Sharpe Ratio? Round to two decimal places. 2) The standard deviation of a stock's annual returns is 40.4%. The standard deviation of market returns is 24.3%. If the correlation between the returns of the stock and the market is 0.3, what is this stock's beta? Round to...
last chance
A stock has generated an annual average return of 8.0% with a standard deviation of 45.0% during the last 10 years. If the average risk-free rate was 1.6%, what was this stock's Sharpe Ratio? Round to two decimal places. Numeric Answer: 14.22 You are incorrect 14.22
a.
What is the average annual return on each investment?
b.
What is the standard deviation of the return on investments X and
Y?
c.
Based on the standard deviation, which investment was
riskier?
Investment X 10% 20 30 20 10 Investment Y 19X0 19X1 19X2 19X3 19X4 1696 18 15 20 21
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?
2. (30pts) Consider a portfolio which consists of single asset. The return of the asset is normally distributed with annual mean return 5% annual standard deviation 5%. The value of portfolio today is S80 million. Suppose the time horizon is one year, a) Determine the mean and standard deviation of the portfolio at the end of the year. b) What is the probability that the end of year loss is more than $10 million? b) What is the probability that...
2. Given the following historical returns, calculate the average return and the standard deviation: Year Return 14% 10% 15% 11%