0Market DataRisk-Free RateAlphaBetaMarket DataCompany DataResidual standard deviation, o(e)Standard Deviation of Excess ReturnReturnA0.1200.0250.0151.2000.1050.245Standard DeviationB0.2000.0000.0200.8000.1950.235BetaC112 Required:13 Using the data above, please solve for the Sharpe Ratio, Treynor's Measure, and Information Ratio.141.0000.000-0.0051.2500.0670.210E (Use cells A3 to D10 from the given information to complete this question. Negative answers should be input and displayed as a negative5 values. All other answers should be input and displayed as positive values.)5718 Sharpe RatioRisk-Adjusted Performance Measures19 Treynor's Measure20 Information Ratio2122ABCMarket

Market Data Risk-Free Rate Alpha Beta Market Data Company Data Residual standard deviation, o(e) Standard Deviation of Excess Return Return A 0.120 0.025 0.015 1.200 0.105 0.245 Standard Deviation B 0.200 0.000 0.020 0.800 0.195 0.235 Beta C 2 Required: 3 Using the data above, please solve for the Sharpe Ratio, Treynor's Measure, and Information Ratio. 1.000 0.000 -0.005 1.250 0.067 0.210

Market Data Risk-Free Rate Alpha Beta Market Data Company Data Residual standard deviation, o(e) Standard Deviation of Excess Return Return A 0.120 0.025 0.015 1.200 0.105 0.245 Standard Deviation B 0.200 0.000 0.020 0.800 0.195 0.235 Beta C 2 Required: 3 Using the data above, please solve for the Sharpe Ratio, Treynor's Measure, and Information Ratio. 1.000 0.000 -0.005 1.250 0.067 0.210

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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Consider the following POPULATION of returns: 5%, -4%, -3%, and 12%. What is the standard deviation of this population of returns? O A. 0.42% O B. 0.56% OC. 6.50% O D. 7.51%
Comment on the SAS regression output including a-e. Compare and comment on the differences between the two regressions (3- vs. 4-factor model using either OLS or HC results depending upon the White test result) Make conclusions regarding choosing 3- vs. 4-factor model when predicting future stock returns, and explain why.
#7 For context NPV is net present value, IRR is internal rate of return, and ARR is accounting rate of return 3 c Known Amt. ? ? Known Amt. ? Known Amounts What is this chart? What is this chart? What is this chart? What is this chart? ? Known Amounts Describe Compound Interest. What do we mean when we say "discounting"? What are the reasons for using the PVA table? How do NPV and IRR differ from Payback Period and ARR?
Under the stop-loss reinsurance model, suppose the total claim follows exponential distribution with mean 1/λ. For given premium P, (a) Derive the retention level M; (b) Calculate the sum of shared variances Var(X*) + Var.X
2) Calculate the envelope set (frontier) for the following four assets and show that the individual assets all lie within this envelope set. 123456 A B E A FOUR-ASSET PORTFOLIO PROBLEM C Variance-covariance 0.01 0.30 0.06 -0.04 0.10 0.01 0.03 0.05 0.03 0.06 0.40 0.02 D 0.05 -0.04 0.02 0.50 F Mean returns 6% 8% 10% 15%
coefficient variation=.55 positive coeficient of correlation =.20 expected value=$1200 What does standard deviation equal?
C) the internal rate of return is between what two whole discount rates (e.g, between 10%, and 11%, between 11% and 12% between 12% and 13% between 13%and 14% etc)? Can you help me solve this question with the table provided in excel?
Assuming that the rates of return associated with a given asset investment are normally distributed; that the expected return, r, is 18.7%; and that the coefficient of variation, CV, is 1.88, answer the following questions: a. Find the standard deviation of returns, sigma Subscript rσr. b. Calculate the range of expected return outcomes associated with the following probabilities of occurrence: (1) 68%, (2) 95%, (3) 99%.
Internal Rate of Return is the discount rate that sets NPV to 0. True or false?
Suppose two asset returns are described by a two factor model, n = 0% + 11 + 1.82 + e1 2 = -1% + 2/1 + 0.52 + e2 where the volatility of first factor is 30%, the volatility of the second factor is 10%, and the correlation between the two factors is 0.5. Suppose also that the volatilities of the error terms ej and ez are both 10%. What is the covariance of n and r2 ? (Nearest 0.0001).
11-8 The reward-to-risk ratio is also sometimes called the Select one: a. Sharpe ratio. b. risk premium. c. coefficient of variation. d. Treynor index. e. Gordon ratio.
Seidsmong ed liw onon aysh bajosios vimobnsi à to Juo ferit vtilidadorq adi ai tsrW Task 2: Assume that a risk manager estimates the following probabilities of various losses for a certain risk: Amount of Loss, EUR Probability of Loss 0.40 0.60 225 350 1. Given the probability distribution, find the expected loss.

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