You are a Portfolio Manger for a new investment fund. You construct a portfolio P that...
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You are a Portfolio Manger for a new investment fund. You construct a portfolio P that consists of investing 40% into stock A, 25% into stock B, and 35% into stock C. The risk-free rate of return is r;= 4%. Using the information in the tables below, calculate the following: a) Portfolio Statistics: E(rp), V(rp), SD (rp) b) Risk Decomposition: Calculate Market Risk % and Idiosyncratic Risk % c) 95% Confidence Interval for expected returns d) 90% Value at Risk Market Scenario Table State Growth Normal Recession Stock Portfolio Stock A B с Prob Return 30% 0.20 0.10 -0.10 50% 20% Weight 40% 25% 35% Risk-Free Rf= 0.08 0.12 0.14 Beta Return Stdev Variance 0.75 1.25 1.50 4% 0.30 0.40 0.50 Idio² 0.09 0.0675 0.16 0.0975 0.25 0.1600 Normal Distribution Table alpha 0.005 0.010 0.025 0.050 0.100 0.250 z-value -2.5758 -2.3263 -1.9600 -1.6449 -1.2816 -0.6745 You are a Portfolio Manger for a new investment fund. You construct a portfolio P that consists of investing 40% into stock A, 25% into stock B, and 35% into stock C. The risk-free rate of return is r;= 4%. Using the information in the tables below, calculate the following: a) Portfolio Statistics: E(rp), V(rp), SD (rp) b) Risk Decomposition: Calculate Market Risk % and Idiosyncratic Risk % c) 95% Confidence Interval for expected returns d) 90% Value at Risk Market Scenario Table State Growth Normal Recession Stock Portfolio Stock A B с Prob Return 30% 0.20 0.10 -0.10 50% 20% Weight 40% 25% 35% Risk-Free Rf= 0.08 0.12 0.14 Beta Return Stdev Variance 0.75 1.25 1.50 4% 0.30 0.40 0.50 Idio² 0.09 0.0675 0.16 0.0975 0.25 0.1600 Normal Distribution Table alpha 0.005 0.010 0.025 0.050 0.100 0.250 z-value -2.5758 -2.3263 -1.9600 -1.6449 -1.2816 -0.6745
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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