Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 20 percent. Annual return standard deviations for these three stocks are 42 percent, 52 percent, and 62 percent. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 5 percent? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places. Answer is complete but not entirely correct. Smallest expected loss -33.22 %
Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 20 percent. Annual return standard deviations for these three stocks are 42 percent, 52 percent, and 62 percent. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 5 percent? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places. Answer is complete but not entirely correct. Smallest expected loss -33.22 %
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
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Transcribed Image Text:Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 20 percent. Annual return
standard deviations for these three stocks are 42 percent, 52 percent, and 62 percent. The return correlations among all three stocks
are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 5 percent?
Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round the z-score value to 3
decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.
Answer is complete but not entirely correct.
Smallest expected loss
-33.22 %
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