Input Data Alpha Beta Residual Standard Deviation Market Data Expected Return Standard Deviation Required: Vought Hammer Roxxon International LexCorp Industries Energy 1.20% 0.60% 1.60% 2.50% 0.877 1.015 1.63 1.25 21.70% 14.80% 21.30% 25.70% S&P 500 Treasury Bills 12.00% 24.00% 3.00% 0.00% Note: Use cells A2 to C11 from the given information to complete this question. Using the information in the table above, using the Treynor-Black model, please take all necessary steps to create an optimal risky portfolio, including discovering initial individual weights and the beta-adjusted active portfolio weight. Then, calculate the risk premium and variance of the optimal risky portofolio. Active Positions Initial Position (Not Scaled) Scaled Initial Position Vought International Hammer Roxxon LexCorp Industries Energy 25.48% 27.39% 35.27% 37.85% 20.23% 21.74% 27.99% 30.04%
Input Data Alpha Beta Residual Standard Deviation Market Data Expected Return Standard Deviation Required: Vought Hammer Roxxon International LexCorp Industries Energy 1.20% 0.60% 1.60% 2.50% 0.877 1.015 1.63 1.25 21.70% 14.80% 21.30% 25.70% S&P 500 Treasury Bills 12.00% 24.00% 3.00% 0.00% Note: Use cells A2 to C11 from the given information to complete this question. Using the information in the table above, using the Treynor-Black model, please take all necessary steps to create an optimal risky portfolio, including discovering initial individual weights and the beta-adjusted active portfolio weight. Then, calculate the risk premium and variance of the optimal risky portofolio. Active Positions Initial Position (Not Scaled) Scaled Initial Position Vought International Hammer Roxxon LexCorp Industries Energy 25.48% 27.39% 35.27% 37.85% 20.23% 21.74% 27.99% 30.04%
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
Related questions
Question
Calculated using excel
Transcribed Image Text:Input Data
Alpha
Beta
Residual Standard Deviation
Market Data
Expected Return
Standard Deviation
Required:
Vought
Hammer
Roxxon
International
LexCorp
Industries
Energy
1.20%
0.60%
1.60%
2.50%
0.877
1.015
1.63
1.25
21.70%
14.80%
21.30%
25.70%
S&P 500
Treasury Bills
12.00%
24.00%
3.00%
0.00%
Note: Use cells A2 to C11 from the given information to complete this question.
Using the information in the table above, using the Treynor-Black model, please take all necessary steps to create an optimal risky
portfolio, including discovering initial individual weights and the beta-adjusted active portfolio weight. Then, calculate the risk
premium and variance of the optimal risky portofolio.
Active Positions
Initial Position (Not Scaled)
Scaled Initial Position
Vought
International
Hammer
Roxxon
LexCorp
Industries
Energy
25.48%
27.39%
35.27%
37.85%
20.23%
21.74%
27.99%
30.04%
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