Your portfolio allocates equal funds to DW Co. and Woodpecker, Inc., DW Co. stock has an annual return mean and standard deviation of 9 percent and 30 percent, respectively. Woodpecker, Inc., stock has an annual return mean and standard deviation of 20 percent and 46 percent, respectively. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 16 percent? (Negative amounts should be indicated by a minus sign. Round your answer to 2 decimal places. Omit the "%" signs in your response.) Smallest expected loss -12.81

Your portfolio allocates equal funds to DW Co. and Woodpecker, Inc., DW Co. stock has an annual return mean and standard deviation of 9 percent and 30 percent, respectively. Woodpecker, Inc., stock has an annual return mean and standard deviation of 20 percent and 46 percent, respectively. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 16 percent? (Negative amounts should be indicated by a minus sign. Round your answer to 2 decimal places. Omit the "%" signs in your response.) Smallest expected loss -12.81

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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Your portfolio allocates equal funds to the DW Co. and Woodpecker, Inc. DW Co. stock has an annual return mean and standard deviation of 15 percent and 44 percent, respectively. Woodpecker, Inc., stock has an annual return mean and standard deviation of 11.4 percent and 58 percent, respectively. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 16 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.) Smallest expected loss %
Portfolio Risk and Return: You are given the following distributions of returns for assets (single stock or portfolio) A, B, and C. Economic Conditions Probability Return on asset A B C Boom .30 60% 50% 10% Normal .40 40 30 50 Bust .30 20 10 90 Find the expected return (think of this as the mean return) and standard deviation of B and C. (A’s expected return is 40% and its standard deviation is 15.49%)
Consider the following information about three stocks: State of Economy Probability of State of Economy Rate of Return If State Occurs Stock A Stock B Stock C Boom.25.13.29.60 Normal .60.08.11.13 Bust.15.02.18-.45 a-1. If your portfolio is invested 40 percent each in A and B and 20 percent in C, what is the portfolio expected return? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) a-2. What is the variance? (Do not round intermediate calculations and round your answer to 5 decimal places, e.g., .16161.) a-3. What is the standard deviation? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. If the expected T-bill rate is 3.70 percent, what is the expected risk premium on the portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e .g., 32.16.) c-1. If the expected inflation rate is 3.30…
Tyler Trucks stock has an annual return mean and standard deviation of 12.5 percent and 46 percent, respectively. Michael Moped Manufacturing stock has an annual return mean and standard deviation of 12.0 percent and 46 percent, respectively. Your portfolio allocates equal funds to Tyler Trucks stock and Michael Moped Manufacturing stock. The return correlation between Tyler Trucks and Michael Moped Manufacturing is -.50. What is the smallest expected loss for your portfolio in the coming month with a probability of 1.0 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. Smallest expected loss %
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 28% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 6%. Calculate the utility levels of each portfolio for an investor with A-2. Assume the utility function is U = E(r) - 0.5 x Ao². (Do not round intermediate calculations. Round your answers to 4 decimal places. Negative amounts should be indicated by a minus sign.) WBills 0.0 0.2 0.4 0.6 0.8 1.0 Windex 1.0 0.8 0.6 0.4 0.2 0.0 U(A=2)
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 2.60% + 0.90RM + eA RB = -2.00% + 1.20RM + eB OM = 26%; R-squarea = 0.21; R-squareg = 0.12 Assume you create portfolio P with investment proportions of 0.70 in A and 0.30 in B.
Your portfolio allocates equal funds to DW Co. and Woodpecker, Inc. DW Co. stock has an annual return mean and standard deviation of 10 percent and 33 percent, respectively. Woodpecker, Inc., stock has an annual return mean and standard deviation of 21 percent and 47 percent, respectively. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 2.5 percent? (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.) Smallest expected loss %
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You are examining a portfolio consisting of three stocks. Using the data in the table a. Compute the annual returns for a portfolio with 25% invested in North Air, 25% invested in West Air, and 50% invested in Tex Oil. b. What is the lowest annual return for your portfolio in part (a)? How does it compare with the lowest annual return of the individual stocks or portfolios in the table above. a. Compute the annual returns for a portfolio with 25% invested in North Air, 25% invested in West Air, and 50% invested in Tex Oil. The annual return for 2014 will be: (Round to two decimal places.) Year 2014 Year 2016 North Air 21% Year 2018 North Air The annual return for 2015 will be: (Round to two decimal places.) Year 2019 29% 6% Year 2015 The annual return for 2016 will be: (Round to two decimal places.) North Air North Air West Air West Air -6% 8% North Air -1% West Air North Air 21% 8% 6% The annual return for 2017 will be: (Round to two decimal places.) West Air Year 2017 The annual…
Your portfolio allocates equal funds to DW Co. and Woodpecker, Inc. DW Co. stock has an annual return mean and standard deviation of 15 percent and 38 percent, respectively. Woodpecker, Inc., stock has an annual return mean and standard deviation of 10.2 percent and 52 percent, respectively. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 16 percent? (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 8.19 %

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