Xuemeihas been managing five portfolios for the last year. She has collected the following information and...
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Xuemeihas been managing five portfolios for the last year. She has collected the following information and has begun to make several calculations for five two stock portfolios: 1 12345 rate of return on NCP = 12% rate of return on NAB = 10% standard deviation of NCP = 15% standard deviation of NAB = 19% covariance = 0.0064 Portfolio Weight in NAB Portfolio Returns. 30% 40% 60% 55% 20% Portfolio Variance Portfolio Standard Deviation. a) Assist Xuemei by finishing the calculations for her. That is, complete the missing figures in the table above. b) Explain to Xuemei why the portfolio standard deviation is not simply the weighted average of the standard deviation of the stocks in the portfolio. c) Find the weight for NAB that would result in the lowest portfolio variance. Do not restrict your enquiry to the five portfolios. The table below shows the investor's portfolio holdings of shares with prices at the beginning and at the end of the month. There are no inflows or outflows during this month. a) Stock A B C D Shares 1000 1500 300 600 Price begin month $15.00 $36.00 $12.50 $10.00 Price end month $13.30 $34.00 $14.75 $21.00 Determine the portfolio's discrete rate of return for the month. b) Determine the portfolio's annualised rate of return. You have established a ten-security portfolio and are interested in assessing the variance of this portfolio. How many variance and covariance terms must you consider? Briefly explain or show working. Xuemeihas been managing five portfolios for the last year. She has collected the following information and has begun to make several calculations for five two stock portfolios: 1 12345 rate of return on NCP = 12% rate of return on NAB = 10% standard deviation of NCP = 15% standard deviation of NAB = 19% covariance = 0.0064 Portfolio Weight in NAB Portfolio Returns. 30% 40% 60% 55% 20% Portfolio Variance Portfolio Standard Deviation. a) Assist Xuemei by finishing the calculations for her. That is, complete the missing figures in the table above. b) Explain to Xuemei why the portfolio standard deviation is not simply the weighted average of the standard deviation of the stocks in the portfolio. c) Find the weight for NAB that would result in the lowest portfolio variance. Do not restrict your enquiry to the five portfolios. The table below shows the investor's portfolio holdings of shares with prices at the beginning and at the end of the month. There are no inflows or outflows during this month. a) Stock A B C D Shares 1000 1500 300 600 Price begin month $15.00 $36.00 $12.50 $10.00 Price end month $13.30 $34.00 $14.75 $21.00 Determine the portfolio's discrete rate of return for the month. b) Determine the portfolio's annualised rate of return. You have established a ten-security portfolio and are interested in assessing the variance of this portfolio. How many variance and covariance terms must you consider? Briefly explain or show working.
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Related Book For
Intermediate Financial Management
ISBN: 978-1285850030
12th edition
Authors: Eugene F. Brigham, Phillip R. Daves
Posted Date:
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