Consider two asset classes: Stocks and Bonds. You estimate the following parameters for these two asset class funds. correlation matrix b/n Stocks and Bonds E(r ) sd(r) Stocks Bonds Stocks 19% 28% 10.5 Bonds 10% 8% 0.5 1 Consider a $80,000 portfolio consisting of $60,000 in Stocks and $20,000 in Bonds. So, the portfolio is 75% in Stocks and 25% in Bonds. Given the expected return on the portfolio is 16.75%, and the standard deviation of the portfolio return is 22.07%, what is the 2.5% value at risk (note: the 95% confidence interval lower limit on the portfolio value is the value of the portfolio at this level of loss)? (use 2 decimals without $, so a loss of -$10.00 is -10.00) Answer:Question 2 - 21205.76 Feedback The correct answer is: -21908.92 expain

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Suppose you manage an equity fund with the following securities. Use the following data to help build an active portfolio.                   Input Data Vogt Industries Isher Corporation Hedrock, Incorporated   Alpha 0.012 0.006 0.016   Beta 0.277 1.015 1.630   Standard Deviation 0.156 0.168 0.181   Residual Standard Deviation 0.117 0.048 0.113   Information Ratio 0.1026 0.1250 0.1416   Alpha/Residual Variance 0.877 2.604 1.253             Market Data S&P 500 Treasury Bills     Expected Raturn 12.00% 2.50%     Standard Deviation 20.00% 0.00%               Required:         Using the information in the table above, please first calculate the initial weight of each stock in an active portfolio, using the Treynor Black approach. Then adjust each weight for beta.           (Use cells A5 to D14 from the given information to complete this question.)                   Treynor-Black Model Vogt Industries Isher Corporation Hedrock, Incorporated…

Two investments, X and Y, have the characteristics shown below. E(X) = $70, E(Y)3D$120, o =7,000, a = 14,000, and ory =7,500 If the weight of portfolio assets assigned to investment X is 0.3, compute the a. portfolio expected return and b. portfolio risk. a. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio expected retum is $ (Type an integer or a decimal.) b. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio risk is approximately $. (Round to two decimal places as needed.)