Answered: Question 2 You calculated that the…

Question 2 You calculated that the average return of your portfolio is 3% and the standard deviation is 22%, what is the value at risk (VaR) at 5% for your portfolio? -33.3%

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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9.2- Use the diagrams to answer the question q1- This question relates to Diagrams 1 - 4 from the 9.2 diagrams, each of which shows a set of portfolios plotted on a set of risk/return axes. Which diagram shows (in red) the set of feasible portfolios? Select one: a. Diagram 1 b. Diagram 2 c. Diagram 3 d. Diagram 4
Question 1: Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. Stock A Stock B Stock C 1. Calculate the client expected return on the complete portfolio 2. Calculate the reward-to-variability ratio (Sharpe ratio): Part B A three-asset portfolio has the following characteristics: Expected Return Asset X Y Z 15% 10 6 Standard Deviation What is the expected return on this three-asset portfolio? 27% 33% 40% 22% 8 3 Weight 0.50 0.40 0.10
Haaha
Don't use Excel and pen or paper
INV 1 4a You have invested in a portfolio of 60% in risky assets (Portfolio R) and 40% in T-bills. The risky portfolio is described below: E(rR)=12% σR =15% If the T-bill rate is 3%, what is the expected return on your overall portfolio, including both portfolio R and the T-bills?
Need help on parts 2-7 please.
Portfolio Expected return Standard deviation Q 7.8% 10.5% R 10.0% 14.0% S 4.6% 5.0% T 11.7% 18.5% U 6.2% 7.5% Q) If you are only willing to make an investment with a standard deviation of 7.0%, is it possible for you to earn a return of 7.0%?
Question 3 A portfolio consisting of 5 securities could have its beta factor computed Security % of portfolio Beta factor of A B с D E 20 10 15 20 35 security 0.90 1.25 1.10 1.15 0.70 as follows: Weighted beta factor 0.180 0.125 0.165 0.230 0.245 If the risk-free rate of return is 12% and the expected return on the market is 20%. Determine the expected return of this portfolio.
What is the standard deviation of the portfolio that invests equally in all three assets M, N, and O?
Problem 5 Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate (risk-free rate) is 7%. Your client chooses to invest 70% in the risky portfolio in your fund and 30% in a T-bill money market fund. We assume that investors use mean-variance utility: U = E(r) – 0.5 x Aa?, where E(r) is the expected return, A is the risk aversion coefficient and o? is the variance of returns. a) What is the expected value and standard deviation of the rate of return on your client's portfolio? b) What is the reward-to-volatility ratio (Sharpe ratio) of your risky portfolio? What is the reward-to-volatility ratio (Sharpe ratio) of your client's risky portfolio? Comment on the relationship between these two Sharpe ratio calculated and explain the intuition behind. c) Draw the Capital Allocation Line (CAL) of your portfolio on an expected return- standard deviation diagram. What is the slope of the CAL? Show the position of your…
Question 2 You calculated that the average return of your portfolio is 3% and the standard deviation is 22%, what is the value at risk (VaR) at 5% for your portfolio? -33.3%

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