You are given the following information Economic state Boom Recession Probability of state of economy 0.60...
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You are given the following information Economic state Boom Recession Probability of state of economy 0.60 0.40 Returns if state occurs Stock B Stock A 29% -12% 30% -6% Stock C 8% 3% The market return is 7%, and the risk-free rate is 2%. a) How to measure systematical risk? Which stock is riskiest in terms of systematical risk, please show the calculation? (5 marks) b) How to measure total risk, which stock is the riskiest in terms of total risk? Please show the calculation? (5 marks) d) Given the portfolio information in (d), what is the portfolio's market beta? e) If the inflation rate is 3%, what's the portfolio's real return? c) If your portfolio has equal investment share the three stocks, what is the portfolio expected return? The standard deviation? (5 marks) (2 marks) (2 marks) You are given the following information Economic state Boom Recession Probability of state of economy 0.60 0.40 Returns if state occurs Stock B Stock A 29% -12% 30% -6% Stock C 8% 3% The market return is 7%, and the risk-free rate is 2%. a) How to measure systematical risk? Which stock is riskiest in terms of systematical risk, please show the calculation? (5 marks) b) How to measure total risk, which stock is the riskiest in terms of total risk? Please show the calculation? (5 marks) d) Given the portfolio information in (d), what is the portfolio's market beta? e) If the inflation rate is 3%, what's the portfolio's real return? c) If your portfolio has equal investment share the three stocks, what is the portfolio expected return? The standard deviation? (5 marks) (2 marks) (2 marks)
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a Systematic risk is typically measured by beta which measures the sensitivity of a stocks returns to the overall market returns The formula to calcul... View the full answer
Related Book For
International Financial Reporting and Analysis
ISBN: 978-1408075012
5th edition
Authors: David Alexander, Anne Britton, Ann Jorissen
Posted Date:
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