Assume that you are long 15 futures of class "A" maturity Feb21 and you are long 20 futures of class "B" maturity Feb 21. The value of future class "A" price is $16.88 and value of future class " B" is $ 15.50 1) what is 10day VAR 1% (or 99% confidence interval ) in dollar for your portfolio 2) what is the limits of the risk measure ? Information: Standard deviation A - 2.89% Standard Deviation B - 2.56% Correlation A,B= 0.92

Assume that you are long 15 futures of class "A" maturity Feb21 and you are long 20 futures of class "B" maturity Feb 21. The value of future class "A" price is $16.88 and value of future class " B" is $ 15.50 1) what is 10day VAR 1% (or 99% confidence interval ) in dollar for your portfolio 2) what is the limits of the risk measure ? Information: Standard deviation A - 2.89% Standard Deviation B - 2.56% Correlation A,B= 0.92

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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The following portfolio has an expected return of Security XYZ O 10.87; 1.08 O 10.87: 1.11 11.03; 1.07 O 11.03; 1.10 O 11.11; 1.09 Amount Invested $12,000 18,000 10,000 Expected Return 16.7% 7.8 94 percent and a beta of Beta 1.42 88 1.02
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You are given the following information for Securities J and K for the coming year: State of Nature Probability Return J 20.00% 14.00% 50.00% 19.00% 30.00% 16.00% 1 2 3 Return K 14.00% 16.00% 25.00% You create a portfolio, with 40 percent of your money invested in Security K, and the rest of your money invested in Security J. Given this information, determine the standard deviation of this portfolio for the coming year. O 0.0301 O 0.0239 O 0.0195 O 0.0263 O 0.0154
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An investor has preferences represented by the utility function U = E(r) - 20². What is her certainty equivalent return for a portfolio with an expected return of 10% and a standard deviation of 15%? Oa. 1.0% O b. 2.5% O c. 0.5% O d. 5.5% O e. 10.0%
H2. Using the Black-Scholes model (BSOPM), compute the standard deviation that is implied by the following call option data as: the time to the option's maturity is 0.25 years, the price of the underlying option asset is RM30, the continuously compounded risk-free interest rate is 0.12. the exercise or striking price is RM30, and the cost or premium of the call is RM1.90.
Consider a portfolio that offers an expected rate of return of 11% and a standard deviation of 26%. T-bills offer a risk-free 7% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Kindly explain all steps please, concept plsss stepwise.
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Consider a portfolio that offers an expected rate of return of 9% and a standard deviation of 26%. T-bills offer a risk-free 2% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Maximum level of risk aversion must be less than
Asset B has a beta of 1.2 and an expected return of 16%. The risk-free rate is 4%. If you wish to hold a portfolio with a beta equal to 1.0, what is the expected return of the portfolio? 13.0% 10.0 % 15.0 % 12.0% 14.0%

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