State of Probability of State of Economy Economy 0.40 0.60 Bust Boom State of Economy Bust Boom Calculate the expected return on a portfolio of 55 percent Roll and 45 percent Ross by filling in the following table: Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Probability of State of Economy 0.40 0.60 Portfolio Return if State Occurs Security Returns if State Occurs Roll -10% 28 % % E(R₂) = Product Ross % % % 21% 8

State of Probability of State of Economy Economy 0.40 0.60 Bust Boom State of Economy Bust Boom Calculate the expected return on a portfolio of 55 percent Roll and 45 percent Ross by filling in the following table: Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Probability of State of Economy 0.40 0.60 Portfolio Return if State Occurs Security Returns if State Occurs Roll -10% 28 % % E(R₂) = Product Ross % % % 21% 8

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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State of Economy Boom Normal Bust Variance Probability of State of Economy 0.20 0.50 0.30 Standard deviation Firm Stock A 0.26 0.10 0.01 a-1. If your portfolio is invested 30% each in A and B and 40% in C, what is the portfolio expected return? (Do not round intermediat calculations. Enter the answer as a percent rounded to 2 decimal places.) Portfolio expected return a-2. What is the variance? (Do not round intermediate calculations. Round the final answer to 8 decimal places.) Rate of Return if State Occurs Stock C 0.50 0.06 -0.40 STOCKS a-3. What is the standard deviation? (Do not round intermediate calculations. Enter the answer as a percent rounded to 2 decime places.) % Stock B 0.38 0.08 -0.20 b. If the expected T-bill rate is 3.10%, what is the expected risk premium on the portfolio? (Do not round intermediate calculations. Enter the answer as a percent rounded to 2 decimal places.) 0/ Prev 5 of 7 E Next
es Security Returns if State Occurs State of Economy Probability of State of Economy Roll Ross Bust Boom 1.30 .70 -10% 14% 21 5 Calculate the expected return on a portfolio of 45 percent Roll and 55 percent Ross by filling in the following table: (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Probability State of Economy Portfolio Return if of State of Product State Occurs Economy Bust .30 % % Boom .70 % % E(Rp)= %
Please answer all parts
Weight of B: Return of A: Return of B: Standard deviation of A: Standard deviation of B: Coefficient of variation of A: Return of the portfolio: Covariance between A and B: Correlation between A and B: Standard deviation of the portfolio: tate POOR NORMAL GOOD Weight a 55 probability 40% 35% 25% Return on A -0.08 0.28 0.29 Weight b ? RETURN ON B -0.16 0.2 0.09
State of Economy Boom Bust Probability of State of Economy .58 .42 Rate of Return if State Occurs Stock A Stock B Stock C .22 .40 .06 -.05 0.013340 X .14 .16 a. What is the expected return on an equally weighted portfolio of these three stocks? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the variance of a portfolio invested 22 percent each in A and B and 56 percent in C? (Do not round intermediate calculations and round your answer to 6 decimal places, e.g., .161616.) > Answer is complete but not entirely correct. a. Expected return 12.87% b. Variance
Probability State of of State of Economy Economy 0.40 0.60 Bust Boom State of Economy Bust Boom Calculate the expected return on a portfolio of 55 percent Roll and 45 percent Ross by filling in the following table: Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Security Returns if State Occurs Probability of State of Economy Roll -17% 28% 0.40 0.60 Ross 18% 7% Answer is complete but not entirely correct. Portfolio Return if State Occurs 0.04 % 11.40 % E(Rp)= Product 5.50 X % 5.13 % 10.63 %
Consider the following information: State of Economy Boom Good Poor Bust Probability of State- of Economy a. 15 .55 .25 .05 a. Expected return b-1. Variance b-2. Standard deviation Rate of Return if State Occurs Stock A Stock B Stock C .39 .49 .29 .15 .20 .08 -.09 -.07 -.24 -.10 Your portfolio is invested 24 percent each in A and C, and 52 percent in B. What the expected return of the portfolio? (Do not round intermediate calculations a enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b-1. What is the variance of this portfolio? (Do not round intermediate calculations an round your answer to 5 decimal places, e.g., .16161.) b-2. What is the standard deviation? (Do not round intermediate calculations and ent your answer as a percent rounded to 2 decimal places, e.g., 32.16.) -.01 -.20 % %
State of Economy Probability ABC Company Expected Return Expected Return XYZ Company Very Poor 0.30 -9% -19% Poor 0.25 -8% -6% Good 0.15 8% 9% Very Good 0.30 34% 33% Expected Return 6.70% 4.05% A) Calculate the covariance of the portfolio. Please answer as a decimal to 4 decimal places. Answer:
Description Provide the portfolio percentages to accomplish the following: 1. 5% chance of loosing at most $50,000 2. 5% chance of losing at most $75,000 3. Maximize the value of "Expected returns - 0,1*VaR"
4
What is the risk premium for the following returns if the risk-free rate is 4%? State Probability Return Boom .25 .25 Good .50 .10 Recession .25 0 a. 11.25% b. 7.25% c. 9.25% d. 8.25%
11.9

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