consider the following scenario analysis recession20 -6 17% normal economy 0.60 19% 9% boom0.20 30 % 5 %. calculate the expected rate of returnand standard deviation for each investment

(A) for Bond : rate of return(r)Probablitity p(r)Expected return (r×p(r))=μr−μ(r−μ)2p(r)×(r−μ)2-6…

Answered: consider the following scenario…

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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1 Given the following historical prices calculate a distribution of possible prices for the next time period: Time 1 Price 2 80 3 4 5 6. 7 8 10 11 50 100 60 20 30 40 60 40 30 50 What is the 85% VaR? What is the 85% expected Shortfall? Using an exponentially weighted moving average with lambda=0.5 calculate and estimate of the volatility at the current time.
Consider the following information: Probability of Rate of Return If State of Economy State of Economy State Occurs Recession Normal Boom .20 .45 .35 Expected return Calculate the expected return. Note: Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16. -.14 .10 .36 %
Nikul
Consider the following information: Rate of Return. If State Occurs State of Economy Recession Normal Boom Probability of State of Economy 24 45 .31 -.09 11 30 Calculate the expected return. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return %
es Consider the following information: State of Economy Recession Boom Probability of State of Expected return Economy .28 72 Portfolio Return if State Occurs Calculate the expected return. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) -.13 .23 %
If the probability of a recession is 0.3, normal growth is 0.4 and a boom is 0.3, and the payoff in the event of a recession is $100, normal growth is $300 and boom is $500, what is the expected payoff? a. $300 b. $400 c. $200 d. $500
Consider the case of two financial assets and three market conditions (states). The tablebelow gives the respective probability for each market condition and the return of each assetin each one of them. Market Conditions State Recession Normal Expansion Probability of state 30% 40% 30% Return of asset A -30% 20% 55% Return of asset B -10% 70% 0% Consider the portfolio with 50% investment in each of the two assets above. Calculatethe expected return and the standard deviation of the portfolio.
How can you work this out in Excel? Suppose that we have an investment with an annual return of 10% and an annual standard deviation of 25%. Over a one-year period, what range of returns can we expect with approximately 95% confidence? 1.-15.36% to 55.36% 2.5% to 45% 3.-23.45% to 56.78% 4. -40% to 60%
Please Solve In 20mins
Expected return is,
Expected Return Compute the expected return given these three economic states, their likelihoods, and the potential returns: Economic State Probability Return Fast Growth .2 30.8 % Slow Growth .5 6.40 % Recession .3 -2.40 %

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consider the following scenario analysis recession 20 -6 17% normal economy 0.60 19% 9% boom 0.20 30 % 5 %. calculate the expected rate of return and standard deviation for each investment