A stock portfolio has a beta of 4 with respect to an equity index risk factor. The 1% annual equity VaR of the portfolio is $15,000. What is the 1% 10-day VaR of the index? Assume both the index and portfolio have zero discounted expected return. Group of answer choices $12,000 $750 $3,750 $60,000
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- You are holding a portfolio with the following investments and betas: Stock Dollar investment Beta A $250,000 1.30 B 200,000 1.70 C 400,000 0.75 D 150,000 -0.30 Total investment $1,000,000 The market's required return is 11% and the risk-free rate is 4%. What is the portfolio's required return? Do not round intermediate calculations. Round your answer to three decimal places.You are holding a portfolio with the following investments and betas: Stock Dollar investment Beta А $250,000 1.25 B 200,000 1.70 с 400,000 0.85 D 150,000 -0.25 Total investment $1,000,000 The market's required return is 10% and the risk-free rate is 3%. What is the portfolio's required return? Do not round intermediate calculations. Round your answer to three decimal places. %Currently the risk-free return is 3 percent and the market risk premium is 8 percent. What is the required rate of return on the following two-stock portfolio? Amount Invested Beta $70,000 1.4 $30,000 0.4
- Suppose you have portfolio of four stocks Stock A, B, C and D, Total investment in these stocks is equal to 2019331015 $, Beta of these stocks is 1.5, (0.5), 1.25, and 0.75 and proportion invested is 22%, 20%, 30%, and remaining in D. If the Risk free rate is 6% and market rate of return is 15%. Calculate a) Investment in each stock. b) Market premium c) Required Rate of return for each stock. d) Required rate of return of Portfolio. e) If expected rate of return of stock A is 10%, what do you think if it is overvalued or undervalued.A portfolio consists of 4 stocks with the following characteristics: $Invested $30,000 $20,000 $17,000 1.15 $13,000 1.08 Right now the risk free rate of return is 4.5% and the expected return of the market is 11.2%. According to the capital asset pricing model, what is the expected return of the portfolio? Stock 1 234 Beta of the Stock 1.36 1.28Currently, the risk-free return is 4 percent, and the expected market rate of return is 14 percent. What is the expected return of the following three-stock portfolio? Do not round intermediate calculations. Round your answer to two decimal places. Investment Beta $ 250,000 1.0 150,000 0.1 600,000 2.3 _______ %
- A stock is selling today for $110. The stock has an annual volatility of 64 percent and the annual risk-free rate is 7 percent. f. Calculate the level of volatility that would make a $95 put option sell for $8. (Use Goal Seek or Solver). Please show work using excelConsider the following scenario analysis for stocks X and Y. Assume that you have a portfolio worth $10,000. You invest $9,000 in Stock X and $1,000 in Stock Y. What is the risk of the porfolio? Bear Market Normal Market Bull Market Probability 0.2 0.5 0.3 Stock X -20% 18% 50% Stock Y -15% 20% 10%Currently, the risk-free return is 4 percent, and the expected market rate of return is 11 percent. What is the expected return of the following three-stock portfolio? Amount Invested Beta $200,000 0.7 $300,00 1.2 $500,000 2.2
- If risk free rate is 7% and the market return is 15%. Compute the expected and required return on each stock, determine the appropriate trading strategy Stock Price today Price in year 1 Dividend in year 1 Beta A 25 27 1 1 B 40 45 2 0.8 C 15 17 0.50 1.2Quantitative Problem: You are holding a portfolio with the following investments and betas: Stock Dollar investment Beta A $300,000 1.30 B 150,000 1.70 C 500,000 0.70 D 50,000 -0.20 Total investment $1,000,000 The market's required return is 11% and the risk-free rate is 5%. What is the portfolio's required return? Do not round intermediate calculations. Round your answer to three decimal places.Assume you have created a 2-stock portfolio by investing $30,000 in stock X with a beta of 0.8, and $70,000 in stock Y with a beta of 1.2. Market risk premium is 8% and risk-free rate is 6%. The followings are the probability distributions of Stocks X and Y’s future returns: State of Economy Probability rx rY Recession 0.1 -10% -35% Below average 0.2 2% 0% Average 0.4 12% 20% Above average 0.2 20% 25% Boom 0.1 38% 45% Calculate the portfolio’s expected rate of return and the standard deviation of its future returns Calculate the required rate of return of your portfolio. Which stock in…