A portfolio has an expected annual return of 12.2% and a standard deviation of 18.2%. What is the smallest expected loss over the next calendar quarter given a probability of 1%? 17.49% 17.25% 18.87% 18.12% 16.55%

Q: Coca Cola - 25.51% Pfizer - 14% CVS - 32.99% Berkshire Hathaway - 29.66%

A: In this question we will be creating portfolio with different weights of each asset to maximize the…

Q: Value of the portfolio today is $100. Annual mean μ= 20%, variance ?2=10%. Time horizon is one year.…

A: Given: Value of portfolio = $100 Mean = 20% variance = 10%

Q: Portfolio A returned 9.20% p.a. over the evaluation period compared to 5.00% p.a. for the S&P 500.…

A: Portfolio A and S&P 500 are two different investment portfolios with different combinations of…

Q: The analysts at FNB forecasted that the return on DJIA index portfolio over the coming year will be…

A: The degree of risk aversion of the average investors can be denoted as Beta. Variance of returns…

Q: You observe a portfolio for five years and determine that its average return is 12.68% and the…

A: The Z score for the prediction interval with a 95% confidence interval is 1.96. The range will…

Q: If you receive a total return of 6% on your investment portfolio but inflation is running at 3% per…

A: Given the following information: Nominal return: 6% Inflation rate: 3%

Q: Multiple Choice O O O -24.34% -12.61% -59.53% -36.07%

A: Mean return=10.85%Standard deviation=23.46%Find out maximum loss for 2.5% probability.

Q: You want to calculate the 30 Day 95% VaR for the following portfolio. You invest $5 million in the…

A: We have to find the 30 day 95% VaR of a portfolio of two assets.

Q: calculate tracking error if the return from the portfolio is 15.5% and the return from the bench…

A: Tracking error is computed by following formula-Tracking error = Rp - RiWhere,Rp = return from…

Q: Value of the portfolio today is $100. Annual mean u = 20%, variance a2 = 10%. Time horizon is one…

A:

Q: R

A: Formula for expected return: E(r) = R1P1 + R2P2...........RnPn Variance = p1[R1 - E(r))^2…

Q: Problem 1 Suppose it is the start of year 2008. You have $100,000 to invest and decide to invest in…

A: The solution requires understanding of optimal portfolio theory. It also requires use of excel…

Q: What is the expected return on the efficient portfolio with 20% standard dev 20% 11.5% 15.5% 12.5%

A: Beta of stock is risk related to the market and rate of return depends on the beta of stock and risk…

Q: he risk-free rate is 8% and the expected return on a market portfolio is 13%. If a share has a beta…

A: Risk free rate = 8% Market return = 13% Stock beta = 1.20

Q: Portfolio contains of two assets. Asset A has an expected return of 2% and asset B has an expected…

A: Hi There, Thanks for posting the questions. As per our Q&A guidelines, must be answered only one…

Q: The risk free rate is 4% and the expected rate of return on the market portfolio is 10%.  A.…

A: Risk-free rate = 4% Expected rate of return on market = 10%  The required rate of return on security…

Q: An asset has an average return of 11.03 percent and a standard deviation of 21.10 percent. What…

A: Average return = 11.03%Standard deviation = 21.10%Probability = 95%,Z score equivalent to 95%…

Q: The risk premium on the market portfolio is estimated at 8 % with a standard deviation of 22 %. What…

A: Risk premium The greater rate of return you can anticipate from riskier investments, like stocks, as…

Q: Given the market expected return of 10%, standard deviation of market return of 15% and a risk free…

A: In the given question we need to compute the expected return of an efficient portfolio from the…

Q: Your portfolio has provided you with returns of 4.65 percent, 2.33 percent, 11.85 percent, and…

A: Geometric average return refers to the return which is calculated by multiplying the returns for all…

Q: orrelated assets have the same expected return of 10% per year and the same standard deviation of…

A: Portfolio Standard Deviation is the standard deviations of an asset portfolio's interest rate and is…

Q: Suppose 1 -year T-bills currently yield 7.00 % and the future inflation rate is expected to be…

A: Data given: 1 -year T-bills currently yield =7.00 %  Inflation rate =4.70% per year   Required: Real…

Q: If the nominal rate is 10% and the inflation rate is currently 4.2%, what is the real rate of…

A: Irving Fisher developed the economic theory known as the "Fisher Effect," which explains how…

Q: security A and B is 0.25. The risk free rate is 3%. The weight of security A in the tangency…

A: Risk and return are essential financial principles. The term “risk” refers to the uncertainty and…

Q: The expected return on the market is 15% with a standard deviation of 12.5% and the risk-free rate…

A: Explanation : If the Expected return from the stock is equal to actual return from the stock it…

Q: Investors expect to earn a return of 24.3% on Amalgamated Industries this year. Treasuries currently…

A: Expected return = 24.3% Treasuries yield = 3.4%

Q: If the 1% percentile of an annual return distribution is - 2%, the risk free rate is 2% and the mean…

A: Variance is a statistical measure that gauges the dispersion of values within a dataset, providing…

Q: The market portfolio has an expected 9.0% return and 20% standard deviation. The risk-free as rate…

A: Expected return of a portfolio consisting of two assets With return of asset 1 (r1), return of asset…

Q: You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the…

A: To address this question initially, we must calculate the weight of each asset using the following…

Q: Security F has an expected return of 10 percent and a standard deviation of 43 percent per year.…

A: The expected return of the company is the return of security adjusted with the volatility with…

Q: n asset has an average return of 11.51 percent and a standard deviation of 24.45 percent. What is…

A: Investment in the stock market is subjected to risk and there are many possible outcomes and chance…

Q: Asset Expected Return (%) Standard Deviation (%) 1 15 10 20 15 18 20 4 12 10 10 5 14 10 16 20 What…

A: A portfolio is a collection of financial investments such as stocks, bonds, commodities, cash and…

Q: An investor with a risk aversion of 3.5 can buy a risk-free asset with an expected return of 3% and…

A: A portfolio is a collection of assets such as stocks, bonds, and cash equivalents held by an…

Q: Suppose 1-year T-bills currently yield 7.40% and the future inflation rate is expected to be…

A: The theoretical rate of return on an investment or loan that bears no danger of financial loss owing…

Q: Suppose the quarterly arithmetic average return for a security is 5% per quarter and the security…

A: The sum of all returns is the arithmetic mean. divided by the total number of time periods utilized…

Q: Your portfolio returned 11.6% last year, with a beta equal to 1.6. The market return was 9.0%, and…

A: Jensen measure = Realized return - ( RF + beta * ( rm - rf ) Realized return portfolio =11.6% Beta =…

Q: The estimated annual return I, of a hedge fund for the next 12 years is either 5%, 6%, 7.5% or 9%…

A: Please note that whether the annual return varies or remains constant for the entire 12 year period…

Q: Using single-period arithmetic returns, calculate the value after two periods for the realized…

A: The amount that a present investment will gain in value over time when kept in a compound interest…

Q: on A Return on B Boom .20 20% 5% Normal .50 10% 8% Bust .30 8% 12% What is the variance of a…

A: Portfolio management is the process of selecting, prioritizing, and controlling an organization's…

Q: I. Consider the following information about K oll and Nell for one-time period: Suppose that the…

A: The first part of the question is asking for the expected return and standard deviation of a…

Q: Please correct answer and don't use hand rating

A: Correct Option: B. This illustrates a fixed cost changing to a variable cost.  Incorrect Options: A.…

Q: Assume that expected return of the stock A in Rachel’s portfolio is 13.6% this year. The risk…

A: The risk-free rate represents the interest an investor would expect from an absolutely risk-free…

Q: Give typing answer with explanation and conclusion to all parts The real risk-free rate, r*, is 2%,…

A: All the determinants of yields have been provided. The treasury yield for 3 years, and 6 years…

Q: Suppose you invest equal amounts in a portfolio with an expected return of 16% and a standard…

A: Solution:- Standard deviation of returns of portfolio means the average variability of returns of…

Risk and return

Before understanding the concept of Risk and Return in Financial Management, understanding the two-concept Risk and return individually is necessary. 

Capital Asset Pricing Model

Capital asset pricing model, also known as CAPM, shows the relationship between the expected return of the investment and the market at risk. This concept is basically used particularly in the case of stocks or shares. It is also used across finance for pricing assets that have higher risk identity and for evaluating the expected returns for the assets given the risk of those assets and also the cost of capital.