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- Given the following, calc Exp Return & Variance STOCKA STOCK B Exp Ret Variance Std...
Lawrence Corporation is considering these three projects whose returns are normally distributed: Project Investment Exp. Ret...
Lawrence Corporation is considering these three projects whose returns are normally distributed: Project Investment Exp. Ret Std. Dev. Corr. Coeff. A $20,000 12% 20% A, B = 0.4 B $30,000 14% 20% A, C = 0.5 C $50,000 16% 30% B, C = 0.6 Find the probability that the return on the portfolio is more than 20%
Consider the following information. a) Your portfolio is invested 25% each in Stock A and C,...
Consider the following information. a) Your portfolio is invested 25% each in Stock A and C, and 50% in Stock B. What is the expected return of the portfolio? b)What is the variance of this portfolio? What is the standard deviation? I'd like to learn how to do this in excel please. ROR if State Occurs State of Economy Probability A B C Boom 0.15 0.35 0.45 0.33 Good 0.5 0.12 0.1 0.17 Poor 0.25 0.01 0.02 -0.05 Bust 0.1...
Year 2015 2016 2017 5 Exp Return 6 Std Dev 7 Covariance 8 Correlation Stock 1...
Year 2015 2016 2017 5 Exp Return 6 Std Dev 7 Covariance 8 Correlation Stock 1 13.00% 17.00% 8.00% 12.67% 3.68% 0.002411 Stock 2 -7.00% 14.00% -3.00% 1.33% 9.10% Which formula/function is the correct one to calculate the correlation in B8? =CORREL(B2:B4,C2:C4) All of the above =B7/(16*C6) =((B2-B5)*(C2-C5)+(B3-B5)*(C3-C5)+(B4-B5)*(C4-C5))/(B6*C6*COUNT(A2:44))
Given the following: Stock A Expected return= 0.28, standard deviation = 0.40 Stock B Expected return=...
Given the following: Stock A Expected return= 0.28, standard deviation = 0.40 Stock B Expected return= 0.16, standard deviation = 0.25 If stock A and stock B have a positive correlation of 0.48, which portfolio represent the minimum variance portfolio? Weight of Stock A in the minimum variance portfolio: _____ Weight of Stock B in the minimum variance portfolio: _____ The expected return and standard deviation of this minimum variance portfolio: ______ and ________ show all formulas and calculations please
1. We know the following expected returns for stocks A and B, given different states of...
1. We know the following expected returns for stocks A and B, given different states of the economy: State (s) Probability E(rA,s) E(rB,s) Recession 0.1 -0.04 0.02 Normal 0.5 0.11 0.05 Expansion 0.4 0.19 0.09 a. What is the expected return for stock A? b. What is the expected return for stock B? c. What is the standard deviation of returns for stock A? d. What is the standard deviation of returns for stock B? 2. You've estimated the following...
Consider the following returns of two stocks in conjunction with the market M Std. dev. of...
Consider the following returns of two stocks in conjunction with the market M Std. dev. of stock1 Std. dev. of stock 2 Std. dev. of market Expected return on the market rM 1096 Corr. of stock 1 with the market piM Corr. of stock 2 with the market p2M 0.7 Risk free rate T1 2096 T2 3096 15% 0.4 . According to the CAPM, what should the expected return of stock 1 and stock 2 be? (Note: Your answer should...
Home assignment 4 Consider following information Probability of the state of economy Rate of return if state occurs StockA StockB boom normal a. b. c. 0.2 0.8 0.4 0.2 0.05 Calculate the expected...
Home assignment 4 Consider following information Probability of the state of economy Rate of return if state occurs StockA StockB boom normal a. b. c. 0.2 0.8 0.4 0.2 0.05 Calculate the expected return of Calculate the variance and standard deviation of each stock. Calculate the covariance between stock A and B returns and the correlation coefficient. Calculate the expected return of the portfolio (Portfolio!) consisting 40% of stock A and 60% of stock B. Calculate the variance and standard...
Variance of market portfolio return = 0.07 Given the assumption of a single factor model,...
Variance of market portfolio return = 0.07
Given the assumption of a single factor model, calculate the
following:
The residual variance of each of the above stocks;
The expected return on this 3-stock portfolio;
The beta factor of this 3-stock portfolio;
The variance of this 3-stock portfolio.
be? (10 marks) b) You are given the following table: Securities Weight Beta 1 Expected return 0.7 0.9 0.3 0.4 0.3 2 3 Variance of return 0.06 0.08 0.13 0.6 0.8 1.1...
The following are estimates for 2 stocks. Stock Expected ret. beta firm-specific variance, or Var(e) A...
The following are estimates for 2 stocks. Stock Expected ret. beta firm-specific variance, or Var(e) A 13% 0.9 0.32 B 18% 2.0 0.45 The market index has a standard deviation of 0.23, and the risk-free rate if 0.05 What is the standard deviation of stock A's return?
Rate of Return if State Occurs State of Economy Probability Stock A Stock B Stock C...
Rate of Return if State Occurs State of Economy Probability Stock A Stock B Stock C Boom 0.15 0.30 0.45 0.33 Good 0.45 0.12 0.10 0.15 Poor 0.35 0.01 -0.15 -0.05 Bust 0.05 -0.20 -0.30 -0.09 Your portfolio is invested 30% each in A and C and 40% in B. What is the expected return of the portfolio? What is the variance of this portfolio? The standard deviation?
Year 2015 2016 2017 5 Exp Return 6 Std Dev 7 Covariance 8 Correlation Stock 1 13.00% 17.00% 8.00% 12.67% 3.68% 0.002411 Stock 2 -7.00% 14.00% -3.00% 1.33% 9.10% Which formula/function is the correct one to calculate the correlation in B8? =CORREL(B2:B4,C2:C4) All of the above =B7/(16*C6) =((B2-B5)*(C2-C5)+(B3-B5)*(C3-C5)+(B4-B5)*(C4-C5))/(B6*C6*COUNT(A2:44))
Consider the following returns of two stocks in conjunction with the market M Std. dev. of stock1 Std. dev. of stock 2 Std. dev. of market Expected return on the market rM 1096 Corr. of stock 1 with the market piM Corr. of stock 2 with the market p2M 0.7 Risk free rate T1 2096 T2 3096 15% 0.4 . According to the CAPM, what should the expected return of stock 1 and stock 2 be? (Note: Your answer should...
Home assignment 4 Consider following information Probability of the state of economy Rate of return if state occurs StockA StockB boom normal a. b. c. 0.2 0.8 0.4 0.2 0.05 Calculate the expected return of Calculate the variance and standard deviation of each stock. Calculate the covariance between stock A and B returns and the correlation coefficient. Calculate the expected return of the portfolio (Portfolio!) consisting 40% of stock A and 60% of stock B. Calculate the variance and standard...
Variance of market portfolio return = 0.07
Given the assumption of a single factor model, calculate the
following:
The residual variance of each of the above stocks;
The expected return on this 3-stock portfolio;
The beta factor of this 3-stock portfolio;
The variance of this 3-stock portfolio.
be? (10 marks) b) You are given the following table: Securities Weight Beta 1 Expected return 0.7 0.9 0.3 0.4 0.3 2 3 Variance of return 0.06 0.08 0.13 0.6 0.8 1.1...
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