Calculate cumulative probabilities based with assuming normality. You manage a US core equity portfolio that is sector
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Calculate cumulative probabilities based with assuming normality.
You manage a US core equity portfolio that is sectorneutral to the S&P Index its industry sector weights approximately match the S&P s Taking a weighted average of the projected mean returns on the holdings, you forecast a portfolio return of per cent. You estimate a standard deviation of annual return of per cent, which is close to the longrun figure for the S&P For the yearahead return on the portfolio, assuming normality for portfolio returns, what is the probability that your portfolio return will be equal to or less than the oneyear Tbill rate of per cent?
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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