solve for annualized log-return and annualizedvolatility of log returns. Last end of day valuewas $83,251.44. 72 days of dates for average.Average daily log-returnAnnualized log-return-0.255%Standard deviation on daily log-returns3.001%Annualized volatility of log-returnsRisk-free rate (QUOTE)91-day T-bill Price ($)0.020%99.994Effective Annual Yield0.020%thRisk-free rate (in continuous time)foSharpe Ratio (annual)8.485%RiskReturn

Log Return is required for Statistical Evaluation, If we are having an Average Daily log Return…

Answered: solve for annualized log-return and…

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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Similar questions

39. Consider the following information. Assuming this represents the Population. Investment X 4% -10% 8% 8 Year 1 2 3 14% Investment Y -6% 8% 12% -2% Risk Free Rate: 2% The Covariance of Investment X and Investment Y is (Hint: Covariance = 1/nΣ(xi — Xavg)(yi - Yavg) A. -32.60 B. -21.00 C. +144.82 D. -103.50 E. +114.34
A3)
Suppose that the borrowing rate that your client faces is 8% Assume that the equity market index has an expected return of 12% and standard deviation of 28%, that ry - What is the range of risk aversion for which a client will neither borrow nor lend, that is, for which y-1? Note: Do not round intermediate calculations. Round your answers to 2 decimal places. y=1 for SAS
Consider a position consisting of a $315,380 investment in Oracle Corporation (ORCL) and a $271,440 investment in NVIDIA Corporation (NVDA). Suppose that the daily volatilities of these two assets are 4.14% and 5.71% respectively and that the coefficient of correlation between their return is 0.6778. With an assumption that it follows the normally distributed returns, the 27-day 99% Value at Risk (VaR) for NVIDIA Corporation (NVDA) is closest to A. $187,355.52. B. $157,830.54. C. $124,900.63. D. $100,900.64.
Vv.
Compute the annual tracking error from the following information: Quarter Portfolio B's 1 2 3 4 O 1.06% O 2.12% O 3.67% O 4.25% O None Portfolio A's Return (%) 1.15 1.89 1.15 -0.47 Return (%) 1.65 -0.10 0.52 -0.60
Sample Problem: Investment Market Rate 12% 10% ? 15% A B с D Beta 1.5 (.5) 1.0 ? CAPM ? ? 10% 12% If risk free rate is at 2%, supply the missing values of the summarized table for the portfolio of investment.
Consider the following returns and states of the economy for TZ.Com.: Economy ProbabilityReturn Weak 15% Normal 50% Strong 35% -9% 2% 6% What is the standard deviation of TZ's returns? SET YOUR CALCULATOR TO FOUR DECIMAL PLACES AND ROUND TO 2 DECIMAL PLACES AT THE END. DO NOT ENTER THE %. FOR EXAMPLE, IF YOUR ANSWER IS 7.7011% ENTER IT AS 7.70.
Using the following information, calculate the expected return and the standard deviation of Metlock. (Round intermediate calculations to 4 decimal places, e.g. 15.2564 and the final answers to 2 decimal places, e.g. 15.25%.) State of the Metlock stock economy Probability return (%) Depression 0.10 -4.9 Recession 0.15 1.0 Normal 0.40 5.9 Boom 0.35 17.9 Expected return Standard deviation % di do %
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.
Assignant. How to use real Dato to draw the Efficient Frontier? Step: Choose 2 Stocks collect Date for 1 year (daily) Prices Colorlate Returns (daily returns) Pt+1 - Pt Pt R 7,41 STEP 2 6 。Comporte the Expected Return for each stock E(R) = Average Return = Σ Ri - • Compte Risk (6;) => √2 (2:-R)2 R mpute the CORR between the 2 stocks Compute Comply for cov) for
Calculate the correlation coefficient (PAB) for the following situation: (Round intermediate calculations and the final answer to 4 decimal place, e.g. 0.2921.) State of the economy High growth Moderate Recession Probability of occurrence 25% 20% 55% Correlation coefficient Expected return on stock A in this state 44.0% 23.0% -11.0% Expected return on stock B in this state 61.0% 31.0% -21.0%

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