ch of the folowing models CANNT be applied to measure the Value-at-Risk of a cash-flow portfolio?   A.Normal linear VaR   B.Monte Carlo VaR   C.None of the answers is correct   D.Historical VaR

Q: Optimal portfolios can be obtained without diversification. True or false?

A: optimal portfolio are the one that minimises the risk for given level of return.

Q: hich one of the following is not a property of a pure arbitrage portfolio? a. Zero investment. b.…

A: Arbitrage is buying and selling of securities in two different markets to take advantage of…

Q: What does the efficient frontier reflect? Discuss the efficient frontier using insights from the…

A: Investors invest their money in certain securities in the market. But, these securities or the…

Q: Which two portfolios lie on the same indifference curve? Ignore feasibility. Expected Return, E(r) N…

A: The theory of Efficient Frontier is concerned with considering a cluster of investments and then…

Q: Economy Probability Stock A Stock B Recession -30% -20% 10% 5% 40% 15% Average Boom 0.25 0.50 0.25…

A: Formula for standard deviation in every state of economy is SD =(A-A bar)2*P where A=Return of stock…

Q: Portfolio which consists of perfectly positive correlated assets having no effect of A. negativity B…

A: A portfolio is built to accomplish a particular investment objective, whether or not or not it's…

Q: What is the relationship between correlation and the risk of the portfolio's rate of return? i.…

A: Correlation represents the degree of relationship between the movement of prices of assets in a…

Q: _______ is a measure of risk while _______ is a measure of risk and liquidity.

A: Capital budgeting is the process of distributing the resources(finance) of the organization in…

Q: Portfolio standard deviation is negatively associated with the covariance among the assets in the…

A: The portfolio standard deviation is the financial measure which computes the investment risk and…

Q: (4) What is a replicating portfolio? What isarbitrage?

A: Replicating Portfolio It's a pool of assets generated for replicating the pool of liabilities' cash…

Q: Which of the following statements about payback (payback period) is most correct?   a.  Payback…

A: Payback period is a financial metric that measures the length of time it takes for an investment to…

Q: Some assumptions of  Markowitz Portfolio Theory are said to be : (a)   Investors consider each…

A: Markowitz Portfolio Theory, developed by Harry Markowitz in 1952, is a mathematical framework for…

Q: VaR can be estimated on portfolios as well as single assets. Select one: True False

A: VAR is a measure of risk of investment which measures the maximum loss which an investment may…

Q: The desired rate of return on an investment should reflect the degree of risk involved. A.   True…

A: Riskier investments may give higher returns to the investors as they provide favorable ratio of risk…

Q: What is the expected return on a portfolio? How can the expected return on a portfolio be…

A: Expected Return on Portfolio  =( Weights of Stock 1 * Return of Stock 1) + ( Weights of Stock 2 *…

Q: Another name for the expected value of an investment would be: a. The mean value b. The risk-free…

A: The expected value (EV) is an anticipated value for investment at some point in the future. In…

Q: The VIX measures Select one: a.Realized volatility B. Current volatility C. Historical volatility D.…

A: The VIX stands for volatility index. Volatility index was the first benchmark which was created by…

Q: What are the risk implications for an investor for a returns series that exhibits fat tails?

A: Fat tails means that there are more than three standard DEVIATION movements more than normal…

Q: This is a generalized framework for analyzing the relationship between risk and return: a. capital…

A: Risk refers to the uncertainty related to the investment within the future. Risk arises within the…

Q: 1. The diversifiable risk of a portfolio: a. Is correlated with systematic risk. b. Can be made…

A: Since you have asked multiple questions, we will solve the first question for you. If you want any…

Q: Why does standalone risk differ from portfolio risk? Explain and give examples! Relates your answer…

A: While making an investment, an investor is required to thoroughly examine all types of risks and…

Q: True or false: The most important characteristic in determining the expected return of a…

A: Portfolio diversification is a strategic approach to risk management in investment that involves…

Q: explain the assertion that the relationship between the standard deviation on a portfolio an the…

A: Answer: The relationship between the standard portfolio deviation and the standard portfolio…

Q: Q3. Explain the following A) Measure of historical returns (Single Asset) B) Measure of historical…

A: Return= Total gain/loss on an asset over a given period of time.

Q: It is the uncertainty of future returns

A: A return can be defined as the money made on money invested over some period of time. A return can…

Q: Under prospect theory, the shape of the utility function implies that investors are

A: Under prospect theory, the shape of the utility function implies that investors are: (A) Always risk…

Q: What are the factors in determining the expected rate of return of LPs? Group of answer choices a.…

A: Limited partners (LPs) are investors in a limited partnership, such as a venture capital (VC) fund…

Q: Describe the relation between Risk and Returns that was introduced by Harry Markowitz

A: Modern portfolio theory, or MPT, is referred to as the method for portfolio management for reducing…

Q: Beta is which of the following: A) standard deviation. B) total risk. C) Beta is the relationship…

A: option C is correct  Beta is the relationship which is between an investment's return, and the…

Q: isk that affects at most a small num a. total risk b. portfolio risk c. unsystematic risk D

A: Risk refers to the form of uncertainties linked to a business proposal, investment, or even in the…

Q: if asset A has lower volatility than asset B, then it contributes less to the overall volatility…

A: Volatility is change in expected rate of assets from the mean return and it shows the risk involved…

Q: a) discuss the relationship between the up-factor (u), down-factor (d), risk-free rate (r), and…

A: In the binomial model, the up-factor (u) and down-factor (d) represent the possible movements of an…

Q: The risk associated with the overall market is referred to as _____ risk. a. unsystematic b.…

A: (a) Unsystematic risk also known as nonsystematic risk which refers to the risk that is unique for…

Q: an efficient portolio ...... 1) minimise return for a given level of risk 2) minimise risk for a…

A: The chances or probability for investment including portfolio and real assets that they will lose…

Q: A beta of 1.0 represents an asset that O is less responsive than the market portfolio has the same…

A: A beta of 1.0 represents an asset that has the same response as the market portfolioBeta…

Q: According to modern portfolio theory, the idea that investors with different indifference curves…

A: Option Explanation a. Separation Theorem is a theory that postulates that, given efficient capital…

Q: Consider the following linear regression model: (R₁-r) = a + b(RMkt - rf) + e; The b, in the…

A: In the this linear regression model (Ri-rf) =  + bi(RMkt -rf) + ei, Ri is the expected return of…

Q: Can the standard deviation of a portfolio be zero? Explain your answer.

A: Standard deviation of a portfolio measures the volatility of returns,i.e. how much the returns…

Q: in a Statistical sense, the Single Index Model is best characterized by: the Capital Market Line The…

A: The single index model is the security pricing model which shows the relationship between security's…