The following estimates are for two risky assets A and B, and one risk free asset C.AReturn(r)6%5%1%SD(0)Cov(RA, RB)=0.0021) What is the optimal weight of the risk portfolio. (that consists of A and B)?2) Compute the expected return and standard deviation (SD) of the optimal riskportfolio. (%:Round to the third dec3) Given that U=E(r)-10o?, what is the optimal weight of C (when we construct theoptimal portfolio using A, B and C)?10%6%0%mal place)

Answered: Image /qna-images/answer/aeb6d7a3-d4f4-4749-9ad4-deb581059ce6.jpg

Answered: The following estimates are for two…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Captain Holt is 50 years old and he purchases a ten-year endowment insurance with ten annual premiums of $150,000 (not using the equivalence principle). The death benefit of $2,000,000 is paid at the end of year of death. Find the expected loss at issue if his mortality follows De Moivre with w = 100 and v = 0.9.
Two risky assets: A and B. The expected return for A is 10% and for B 30%. The variance for returns for A is 400(%2) and for B is 3600(%2). The covariance between A and B returns is -0.05. T-bills give a return of 5% with a standard deviation of 0%. The investor has a risk aversion index, A=5.0. Show all work. 1. calculate the correlation between A and B 2. calculate portfolio return / standard deviation for global mvp 3. optical risky portfolio, P (expected return and SD) 4. slope of CAL 5. how much will the investor invest (A=4) in T-bills, assets A and B?
A local diner has determined that 20% of their customers spend $8.00, 35% spend $10.00, 40% spend $12.00, and 5% spend $15.00 for lunch. Fill in the table of values below to find the expected expenditure per customer at the diner. (please Enter X as a whole number, P(X) as a decimal with two decimal digits, and X*P(X) as a decimal with two decimal digits) X1 = P(X1) = X1*P(X1) = X2 = P(X2) = X2*P(X2) = X3 = P(X3) = X3*P(X3) = X4 = P(X4) = X4*P(X4) =
In exercise 37,find the expected net gain to the player for one play of the game.If x is the net gain toa player in a game of chance,then E(x)is usually negative.This value gives the average amount per game the player can expect to lose. 38.A charity organization is selling $5 raffle tickets as part of a fund-raising program.The first prize is a trip to Mexico valued at $3450,and the second prize is a weekend spa package valued at $750. The remaining 20 prizes are $25 gas cards. The number of tickets sold is 6000.
The graph shows that: A) to attain a higher expected return the investor has to tolerate higher risk B) there is a positive linear relationship between expected return and risk C) the mean-return compensations of equal-std-increments decline as we target higher and higher risk D) answers 1 and 3 are correct E)answers 1 and 2 are correct
(A) 0.22 (B) 0.28 (C) 0.33 (D) 0.40 (E) 0.46 You are given the following about 100 insurance policies in a study of time to policy surrender: (i) The study was designed in such a way that for every policy that was surrendered, a new policy was added, meaning that the risk set, r,, is always equal to 100. (ii) Policies are surrendered only at the end of a policy year. (ii) The number of policies surrendered at the end of each policy year was observed to be: 1 at the end of the 1ª policy year 2 at the end of the 2nd policy year 3 at the end of the 3d policy year n at the end of the n" policy year (iv) The Nelson-Aalen empirical estimate of the cumulative distribution function at time n, F(n) , is 0.542. What is the value of n?
5% Coupon 10% Coupon 15% Coupon Average Yield-to-Maturity of 5 Years to Maturity Bonds . 9.01% 9.03% Average Yield-to-Maturity of 8 Years to Maturity Bonds 9.47% . 9.28% I am having trouble finding the missing value for Maturity 5 through linear interpolation. YTM, x = 9.01% + [ (15-10)/(15-5) * (9.03%-x) ] I saw this solution but I have no idea when they got the answer 8.99% from that. Please help
The Arrow-Pratt measures of absolute and relative risk aversion respectively describe the willingness of a consumers to risk a fixed amount of wealth or a fixed fraction of their wealth. This problem will demonstrate this by setting up a simple investment problem. Suppose that consumers begin with initial wealth Wo and may buy shares of a risky asset whose payoff per share is given by 2. (1 w/ prob. P, X = 1-1 w/ prob.1– p. Therefore buying { shares of the risky asset yields final wealth W = Wo +X. Suppose that each consumer may buy an unlimited number of shares, and seeks to maximize expected utility of final wealth max E[u(W)]. (a) Expand the consumer's expected utility maximization problem, and find the first order condition. (b) Let Cara be a consumer whose utility function exhibits constant absolute risk aver- sion UA(W) = 1– e-aW Find Cara's optimal number of shares and show that it does not depend on her starting wealth Wo-
3(ii) A bank sets up a Special Purpose Vehicle (SPV) for a CDO issue. The SPV wants to understand the risks that they may face, so they run simulations of the annual cash flows out of their portfolio. Selected results of the simulation are shown in the table below. Annual Portfolio Cash Flows Mean Std. Dev. Min. 5th 10th Percentiles 15th 85th 90th (1,172) 16,651 (7,760) (6,800) (4,880) (3,920) 2,480 95th Max. 14,320 15,280 26,400 The SPV wants to hold risk capital to cover its losses to the 95th percentile, and expected CDO payouts for the next five years add up to $100m. How much capital would you advise them to hold, and why?
Consider the rate of return of stocks ABC and XYZ. Year 1 2 SAWN T 3 4 5 FABC 24% 10 17 4 1 ABC XYZ a. Calculate the arithmetic average return on these stocks over the sample period. (Round your answers to 2 decimal places.) rxyz 34% 12 18 1 -9 Arithmetic Average ABC XYZ % % b. Which stock has greater dispersion around the mean return?
Ef 53.
6

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