You calculated that the average retum of your portfolio is 3% and the standard deviation is 22%, what is the value at risk (VaR) at 5% for your portfolio?
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You calculated that the average retum of your portfolio is 3% and the standard deviation is 22%, what is the value at risk (VaR) at 5% for your portfolio?
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- An optimal risk portfolio’s expected return is 14%, standard deviation is 22%. If risk-free rate is 6%, then what would be slope of the best CAL? A) 0.64B) 0.14C) 0.08D) 0.33E) 0.36An investor has preferences represented by the utility function U = E(r) - 20². What is her certainty equivalent return for a portfolio with an expected return of 10% and a standard deviation of 15%? Oa. 1.0% O b. 2.5% O c. 0.5% O d. 5.5% O e. 10.0%What is the Sharpe ratio (S) of your risky portfolio and your client’s overall portfolio? , assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%.
- If a portfolio had a return of 12%, the risk-free asset return was 4%, and the standard deviation of the portfolio's excess returns was 25%, the Sharpe measure would be A. 0.25. B. 0.04. C. 0.12. D. 0.16. E. 0.32.Assume that the covariance between Stock A and Stock B is -28%^2 (0.0028). Compute the expected rate of return and variance of rate of return of Donald’s portfolio.Suppose the risk free return is 6%. The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18%. Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as ___ % ?
- Suppose now that your portfolio must yleld an expected return of 12% and be efficient, that is, on the best feasible CAL. Required: a. What is the standard deviation of your portfolio?An investiment portfolio consists of two securities, X and Y. The weight of X is 30%. Asset X's expected return is 15% and the standard deviation is 28%. Asset Y's expected return is 23% and the standard deviation is 33%. Assume the correlation coefficient between X and Y is 0.37. A. Calcualte the expected return of the portfolio. B. Calculate the standard deviation of the portfolio return. C. Suppose now the investor decides to add some risk free assets into this portfolio. The new weights of X, Y and risk free assets are 0.21, 0.49 and 0.30. What is the standard deviation of the new portfolio?The risk-free rate is 2%, the market risk premium is 8.00%, and portfolio A has a beta of 2. What is the required rate of return on this portfolio?
- Following is the portfolio weights, w, percentage expected return in (%), R, vectors and variance-covariance matrix, VC, for a three-asset portfolio: 0.4 12 100 -45 10 w = [0.3], R = [10] and VC = [-45 64 10] 0.3 8 10 10 36 a. Calculate the expected return and standard deviation of the portfolio. b. Suppose an investor requires a target standard deviation of 4% for the portfolio; using the solver function in Excel, find the portfolio weights w to maximise the expected return subject to the constraints Op = 4 and wi + w2 + w3 = 1|You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 13.5% бр 35.00% 12.5 30.00 7.1 20.00 10.6 4.4 25.00 0 Вр 1.55 1.20 0.80 1.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.70. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places. × Answer is complete but not entirely correct. R-squared 0.9785You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 16.00% бр 32.00% 15.00 27.00 7.30 17.00 11.30 5.80 22.00 0 Bp 1.90 1.25 0.75 1.00 0 Assume that the tracking error of Portfolio X is 13.40 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places. Information ratio