Question: Q 2 . Implied Correlation i . a portfolio has 1 0 0 equally weighted component; ii . each component has a stdev of 4

Q2. Implied Correlation i. a portfolio has 100 equally weighted component; ii. each component has a stdev of 45; iii. pair-wise correlation is 0.3. a what is the portfolio stdev? (5 points) b If component has iv of 40% and portfolio iv is 20%, what is the implied correlation? (5 points)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Q:

HEW! mammal-(mm v| 11 -iK AJ} E . :2 saw? him - I . '31; 2 gm\" 11?. '13.\": ____ _ ____ _ __ '95 :Hr E1\";- Z ' 'lh( ' ' All Ann m5 v\" | B . I . E :v\\ , tug. 2; 4' Av' H gav lg. .95 luuuljdj am...

Q:

Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 6%, and the markets average return was 14%. Performance is measured using an...

Q:

BACKGROUND An SM bond is a 35-year Australian government bond with a face value of $1. They are marketed to consumers saving for retirement (who buy the S part) and investors (who buy the M part)....

Q:

fin5... 11.8. A-D pricing Consider two 5-year coupon bonds with different coupon rates which are simultaneously traded. Price Coupon Maturity Value Bond 1 1300 8 % 1000 Bond 2 1200 6.5 % 1000 For...

Q:

this is the question about financial economics, my group already finished all of questions and left (g) and (i) . I will upload my word and excel for question data and group work, please add your...

Q:

Provide answers and solutions: 1} You are given the following information about an asset. i] Using 36 years of data1 the average annual asset return is 10%. ii} The volatility of the asset's return,...

Q:

This question is based to the stock data that can be obtained from the following link: http://biz.yahoo.com/r/ "Choose Research Tools" and then "Historical Quotes". Obtain monthly stock data for 5...

Q:

This question is based to the stock data that can be obtained from the following link: http://biz.yahoo.com/r/ "Choose Research Tools" and then "Historical Quotes". Obtain monthly stock data for 5...

Q:

Need help with the 70 multiple choice questions for final exam - if you can, please provide explanation for harder questions. A s ae o . s h r d n. . Surname: ______________________ Q1 Given names:...

Q:

help mi with my questions 21. There are three assets, A, B and C, where A is the market portfolio and C is the risk-free asset. The return on the market has a mean of 12% and a standard deviation of...

Q:

Packages having a mass of 2.5 kg ride on the surface of the conveyor belt. If the belt starts from rest and with constant acceleration increases to a speed of 0.75 m/s in 2 s, determine the maximum...

Q:

Discuss the convergence or the divergence of the series with nth term: (a) 2ne-n, (b) nne-n, (c) e-ln n, (d) (ln n)e-n, (e) n!e-n, (f) n!e-n2.

Q:

What must be included in a broker price opinion ( BPO ) before an active Nevada real estate licensee can collect a fee for its preparation? The contact information of a licensed or certified appraiser

Q:

Can you elucidate the role of molecular chaperones and protein quality control systems in maintaining the integrity and homeostasis of the cytoplasm, particularly under conditions of cellular stress...