Task 1. An investor believes that next year he (she) can expect the following probabilistic distribution...
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Task 1. An investor believes that next year he (she) can expect the following probabilistic distribution of asset returns: rate of return (%) -10 probability (%) 0 10 20 30 0,10 0,25 0,40 0,20 0,05 Determine the expected return on the asset. Task 2. An investor purchases asset "A" for $200 thousand and asset "B" for $100 thousand and asset "C" $500. The expected return on asset "A" is 15%, "B" - 18%, and "C" - 22%. Determine expected return of the portfolio. Task 3. The return on the asset for 10 years is presented in the table: Years 1 2 3 4 5 6 7 8910 8 9 10 Returns 11 16 13 -5 -3 2 4 7 6 15 % Determine standard deviation of the asset Task 4. The portfolio is formed from two assets A and B. Standard deviation of assets: A = 20%; B = 30%; weight of asset A in the portfolio WA = 0.25 weight of asset B in the portfolio WB = 0.75; correlation of asset A and asset B PAB = +0.6 Determine the standard deviation of the AB portfolio. Task 1. An investor believes that next year he (she) can expect the following probabilistic distribution of asset returns: rate of return (%) -10 probability (%) 0 10 20 30 0,10 0,25 0,40 0,20 0,05 Determine the expected return on the asset. Task 2. An investor purchases asset "A" for $200 thousand and asset "B" for $100 thousand and asset "C" $500. The expected return on asset "A" is 15%, "B" - 18%, and "C" - 22%. Determine expected return of the portfolio. Task 3. The return on the asset for 10 years is presented in the table: Years 1 2 3 4 5 6 7 8910 8 9 10 Returns 11 16 13 -5 -3 2 4 7 6 15 % Determine standard deviation of the asset Task 4. The portfolio is formed from two assets A and B. Standard deviation of assets: A = 20%; B = 30%; weight of asset A in the portfolio WA = 0.25 weight of asset B in the portfolio WB = 0.75; correlation of asset A and asset B PAB = +0.6 Determine the standard deviation of the AB portfolio.
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