Suppose you hold a market capitalization value-weighted portfolio across two stocks, W1t, and w2t. Assume that...
Fantastic news! We've Found the answer you've been seeking!
Question:
![Suppose you hold a market capitalization value-weighted portfolio across two stocks, ( mathbf{w}_{1 mathrm{t},} ) and (](https://dsd5zvtm8ll6.cloudfront.net/si.experts.images/questions/2023/01/63c6897531664_1673955701306.png)
Transcribed Image Text:
Suppose you hold a market capitalization value-weighted portfolio across two stocks, W1t, and w2t. Assume that the market capitalization of the two stocks at time t-1 are V1,1-1, V2,t-1. Question: Show that for any returns in time t equal to r₁t, r2t for each asset, the effective portfolio weight going from t to t+1 is also value-weighted. Hint: Identify the relationship between market capitalization at time t and time t+1 Suppose you hold a market capitalization value-weighted portfolio across two stocks, W1t, and w2t. Assume that the market capitalization of the two stocks at time t-1 are V1,1-1, V2,t-1. Question: Show that for any returns in time t equal to r₁t, r2t for each asset, the effective portfolio weight going from t to t+1 is also value-weighted. Hint: Identify the relationship between market capitalization at time t and time t+1
Expert Answer:
Answer rating: 100% (QA)
The effective portfolio weight going from time t to time t1 is valueweighted if the portfolio is hel... View the full answer
Related Book For
Posted Date:
Students also viewed these accounting questions
-
Assume that the tracking error of portfolio X in Problem 3 is 9.2 percent. What is the information ratio for portfolio X? Data From Problem 3 You are given the following information concerning three...
-
Assume that the zero-beta form of the capital asset pricing model (CAPM) is appropriate. What is the differential return for the funds shown in Problem 1 if Rz = 4%? In Problem 1 Fund Return Standard...
-
Assume that the marginal cost of production is increasing. Can you determine whether the average variable cost is increasing or decreasing? Explain.
-
The labor force participation rate is increasing in Japan because... a) there are fewer unemployed people b) the working age population is increasing c) retirement ages are increasing d) more women...
-
From Problem 13.8, show that the normalized field pattern of a full-wave (? = ?) antenna is given by Sketch the field pattern. cos(7 cos 0) + 1 F(0) sin 0
-
BTB Electronics Inc. manufactures parts, components, and processing equipment for electronics and semiconductor applications in the communications, computer, automotive, and appliance industries. Its...
-
Take the example on p. 633 and give a probability of 50% to the two states of the world. Calculate the value of A, B and G. Calculate the value of C, D and E. What are your conclusions? State of the...
-
Waterways Corporation uses very stringent standard costs in evaluating its manufacturing efficiency. These standards are not "ideal" at this point, but the management is working toward that as a...
-
Researchers at a drug company are testing the duration of a new pain reliever. The drug is normally distributed with a mean duration of 240 minutes (4 hours) and a standard deviation of 40 minutes....
-
Based on the two tables and the attributes below, write SQL commands for each question to retrieve the data from the database. tblSales InvoiceNumber InvoiceDate CustomerNumber Sales OrderNumber...
-
Assume you are on the audit team for a publicly traded company that owns the New York Yankees and writing the memo to the Vice President of the company's accounting department, who has asked your...
-
PC Desk makes an oak desk specially designed for personal computers. The desk sells for 2,000 per unit. Data are as follows: Units Beginning Inventory Units Produced Units Sold Units Ending Inventory...
-
Find the derivative of f(x) = x6e7x. f'(x) =
-
PG Industries' Manufacturing VP Laine Finnegan was so impressed with your work on last week's internal audit that she's asked you to come in to talk to her department about the results. One of your...
-
ILLUSTRATIVE PROBLEM: CVP ANALYSUS WITH CHANGES IN COST STRUCTURE B. The Don Company sold 100,000 units of its products at P20 per unit. Variable costs are P14 unit (manufacturing costs of P11 and...
-
Companies across different industries track interactions with customers to determine what level of service that customer should getthink about wait times when a customer calls customer service or how...
-
Sweet Corporation operates a retail computer store. To improve delivery services to customers, the company purchases four new trucks on April 1, 2020. The terms of acquisition for each truck are...
-
Perform the indicated operations. In designing a cam for a fire engine pump, the expression is used. Simplify this expression. (3) (3 4 32
-
Many lotteries divide the winnings evenly among all those selecting the winning number. Knowing this, how could one use the gambler's fallacy to increase the expected earnings from playing the...
-
Harper is spending a three-day weekend at a beach property. Upon arrival, Harper bought a quart of ice cream and must divide consumption of the quart over each of the three days. Her instantaneous...
-
a. Suppose you display -maxmin expected-utility preferences, with = 1 (fully ambiguity averse). What tax will you choose? What level of social welfare will be realized if a catastrophic climate...
-
How can a profitable business fail? a Because it can't pay its bills b Because it has more current liabilities than current assets c Because it has a bank overdraft d Because it has too much cash
-
When adjusting an operating profit to calculate the 'cash flows from operating activities', an increase in inventories over the financial period would be: a Added to operating profit b Ignored c...
-
Cash has been described as: a The lifebuoy of the business b The lifeboat of the business c The lifeline of the business d The lifeblood of the business
![Mobile App Logo](https://dsd5zvtm8ll6.cloudfront.net/includes/images/mobile/finalLogo.png)
Study smarter with the SolutionInn App