An investor, wants to know how two portfolios are performing in the market: 7% Y (3%)...
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An investor, wants to know how two portfolios are performing in the market: 7% Y (3%) 12% Probability Market portfolio 0.40 0.20 15% 0.40 Beta factor 10% 18% Portfolio X 1.30 10% 8% 4% 0.75 1 The market pays a 12% return on risk-free assets(RFR). Portfolio Required: i) Compute Each Portfolio Expected returns (PR) and the standard deviation (S.D) ii) What is the Expected return of the market(RM) (5 marks) marks) (15 iv) Comment on which portfolio is performing well? (5 Marks) iii) Compute the Sharpe's Measure,Jensen Measure and the Treynor Measure comment on the portfolio performance (15 marks) An investor, wants to know how two portfolios are performing in the market: 7% Y (3%) 12% Probability Market portfolio 0.40 0.20 15% 0.40 Beta factor 10% 18% Portfolio X 1.30 10% 8% 4% 0.75 1 The market pays a 12% return on risk-free assets(RFR). Portfolio Required: i) Compute Each Portfolio Expected returns (PR) and the standard deviation (S.D) ii) What is the Expected return of the market(RM) (5 marks) marks) (15 iv) Comment on which portfolio is performing well? (5 Marks) iii) Compute the Sharpe's Measure,Jensen Measure and the Treynor Measure comment on the portfolio performance (15 marks)
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Answer rating: 100% (QA)
i Compute Each Portfolio Expected Returns PR and Standard Deviation SD To compute the expected returns and standard deviation for each portfolio we will use the given probabilities and returns We will ... View the full answer
Related Book For
College Mathematics for Business Economics Life Sciences and Social Sciences
ISBN: 978-0321614001
12th edition
Authors: Raymond A. Barnett, Michael R. Ziegler, Karl E. Byleen
Posted Date:
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