Assume that the five-day VaR of a portfolio with a confidence level of 95% is $10 million. What is the portfolio's five- day VaR with a confidence level of 99% ? ( The inverse cumulative standard normal distribution of 95% and 99% are 1.645 and 2.326, respectively.)

Consider a portfolio with expected annual return of 21.1% and volatility of 38%. Determine an analytical VaR for one month at 5% for a portfolio worth $100 million. o a. $16,341,597.61 o b. $15,871,500.8 Oc. $14,987,243.87 o d. $17,805,123.64 o e. $17,681,784.87

You are going to invest $20,000 in a portfolio consisting of assets X, Y, and Z, as follows: Asset Annual Return Probability Beta Proportion X 10% 0.50 1.2 0.333 Y 8% 0.25 1.6 0.333 Z 16% 0.25 2.0 0.333 Given the information in Table 5.2, The beta of the portfolio in Table 8.2, containing assets X, Y, and Z is ________.   Select one: a. 1.6 b. 2.0 c. 1.5 d. 2.4

You invest $10,000 in a complete portfolio. The complete portfolio is composed of a risky asset with an expected rate of return of 15% and a standard deviation of 21% and a treasury bill with a rate of return of 5%. How much money should be invested in the risky asset to form a portfolio with an expected return of 11%? A. $6,000B. $4,000C. $7,000D. $3,000

The expected return on a portfolio is 14%, and that the returns have a standard deviation of 10%. Also, the returns are approximately normally distributed. What would be the 1% "value at risk" (VaR) for this portfolio, if the size of the portfolio is $1 million? O $372,500 O $225,500 O $24,500 O $92.500

Suppose that a fund that tracks the S&P 500 has mean E [Rm] = 16% and standard deviation σM = 10%, and suppose that the T-Bill rate is Rf = 8%. Answer the following questions about efficient portfolios:(a) What is the expected return and standard deviation of a portfolio that is totally invested in the risk-free asset?(b) What is the expected return and standard deviation of a portfolio that has 50% of its wealth in the risk-free asset and 50% in the S&P 500?(c) What is the expected return and standard deviation of a portfolio that has 125% of its wealth in the S&P 500, financed by borrowing 25% of its wealth at the risk-free rate?(d) What are the weights for investing in the risk-free asset and the S&P 500 that produce a standard deviation for the entire portfolio that is twice the standard deviation of the S&P 500? What is the expected return on that portfolio?

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Example 9: What is the portfolio standard deviation for a two-asset portfolio comprised of the following two assets if the correlation of their returns is 0.5? Asset A Asset B Expected return Stańdard deviation of expected returns 10% 20% 5% 20% Amount invested 740,000 760,000

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b) The tangency portfolio is 66% in fund S and 34% in fund B. What dollar amounts should be invested in each of the three asset classes ƒ, S, and B if you would like to achieve (for the year 2008) an expected return of 8% with the lowest possible standard deviation? What is the standard deviation of the (percentage) return on this portfolio?