Consider a market model with four scenarios and two risky assets with rates of return Ri...
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Consider a market model with four scenarios and two risky assets with rates of return Ri and R2, respectively. Let the distribution of the rates is as follows: Probability R1 (Retum on Asset 2) R2 (Return on Asset 2) 10% 1% 2% 25% 6% 7% 15% -3% 5% 50% 9% -5% You form a portfolio in these two assets with the allocation weights wi = -30% and wz = 130%. Let R denote the return on the portfolio. (a) Find the expected return i on the portfolio: u = E[R] = % to 2 decimal places (b) Find the risk o for the portfolio: o = VVar[R] % to 2 decimal places %3D Consider a market model with four scenarios and two risky assets with rates of return Ri and R2, respectively. Let the distribution of the rates is as follows: Probability R1 (Retum on Asset 2) R2 (Return on Asset 2) 10% 1% 2% 25% 6% 7% 15% -3% 5% 50% 9% -5% You form a portfolio in these two assets with the allocation weights wi = -30% and wz = 130%. Let R denote the return on the portfolio. (a) Find the expected return i on the portfolio: u = E[R] = % to 2 decimal places (b) Find the risk o for the portfolio: o = VVar[R] % to 2 decimal places %3D
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Related Book For
Financial Theory and Corporate Policy
ISBN: 978-0321127211
4th edition
Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri
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