INVESTMENTS(LL)W/CONNECT
INVESTMENTS(LL)W/CONNECT
11th Edition
ISBN: 9781260433920
Author: Bodie
Publisher: McGraw-Hill Publishing Co.
Question
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Chapter 26, Problem 16PS
Summary Introduction

(a)

To calculate:

By using a misestimated beta of 0.5 , ascertain the standard deviation of the (now imperfect) hedged portfolio.

Introduction:

Standard deviation is a measure to calculate the deviation from the mean which is also called as a measure of dispersion. It helps in analyzing the performance of the fund.

Summary Introduction

(b)

To calculate:

By taking the expected market return value of 1% and a standard deviation of market 5% , ascertain the probability of incurring losses in the next month and compare the same with the probability calculated in problem 16 .

Introduction:

Standard deviation is a measure to calculate the deviation from the mean which is also called as a measure of dispersion. It helps in analyzing the performance of the fund.

Summary Introduction

(c)

To calculate:

By taking the data of problem 17 and using a misestimated beta of 0.5 , ascertain the probability of incurring losses in the next month and compare the same with the probability calculated in part (b).

Introduction:

Standard deviation is a measure to calculate the deviation from the mean which is also called as a measure of dispersion. It helps in analyzing the performance of the fund.

Summary Introduction

(d)

To determine:

The reason for explaining the fact that the misestimated beta affects more to 100 stocks portfolio than a one stock portfolio.

Introduction:

Standard deviation is a measure to calculate the deviation from the mean which is also called as a measure of dispersion. It helps in analyzing the performance of the fund.

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