Description Provide the portfolio percentages to accomplish the following: 1.5% chance of loosing at most $50,000 2.5% chance of losing at most $75,000 3. Maximize the value of "Expected returns - 0,1* VaR"
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- 2. Calculate the expected return and expected risk of the portfolio below given the Asset J and Asset K has a correlation coefficient of +0.8. Asset Asset J Asset K Expected Return 8.0% 14.0% Weighting 60% 40% Risk of each asset 12.0% 21.0%Use the following CAPM equation for a portfolio to answer the questions that follow:E(RP) = RF + βP (RM – RF) = 1 + 0.8 (5 – 1) = 4.2% a) Is the portfolio defensive or aggressive. Why? b) If the actual portfolio return is 6%, what is the portfolio’s alpha?1. Given the following summary statistics, Mean S.D. 1.235 0.997 Asset A 0.52 Asset B. 0.44 (a) If the correlation between the two financial series is 0.25. What are the optimal portfolio weights to minimize risk? (b) What are the expected return and standard deviation of the optimal port- folio? (c) Compute the 1% Value-at-Risk for the next 5 days (d) Compute the expected shortfall
- Using the following data: Scenario Probability return K1 return K2 0.2 -10% 5% W2 0.4 0% 30% W3 0.4 20% -5% compute the weights in the portfolio with minimum risk. What are the expected return and risk of this minimum risk portfolio?2. Assuming the following: Average Return (Risky Portfolio) 3.86% Standard Dev (Risky Portfolio) 10.56% Average Risk Free Rate 2.18% Return on Risk Free Asset Avg 4.15% Using the formula: E(rc)=rf + y* (E(rp) - rf) Solve for: 1. % of Risky Assets (y): 2. % of Risk Free Assets (1-y): Note: You wish to generate a 7% return for your complete portfolio E(rc)You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 11.0% ор 33.00% 10.0 28.00 8.1 10.4 5.2 18.00 23.00 Ө вр 1.45 1.20 0.75 1.00 Ө Assume that the correlation of returns on Portfolio Y to returns on the market is 0.66. 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. R-squared
- Calculate the expected return of portfolio and standard deviation of portfolio of 3 Assets (Security B, C, and D) (Hints: Assume that weights of B, C, and D are , respectively; the expected rate of return for Security B, C, and D is 9.9%, 1.2%, 7.3%, respectively)? Prob. Security A Security B Security C Security D Security E Recession 0.1 3.0% -29.5% 24.5% 3.5% -19.5% Below avg. 0.2 3.0% -9.5% 10.5% -16.5% -5.5% Average 0.4 3.0% 12.5% -1.0% 0.5% 7.5% Above avg. 0.2 3.0% 27.5% -5.0% 38.5% 22.5% Boom 0.1 3.0% 42.5% -20.0% 23.5% 35.5%If the risk-free rate is 4.8 percent and the risk premium is 6.8 percent, what is the required return? (Round your answer to 1 decimal place.) Required Return: ___.__%What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (SDi), covariance (COVij), and asset weight (Wi) are as shown below? Asset (A) E(R₂) = 10% SDA = 8% WA = 0.25 COVAB = 0.006 Select one: A. 13.75% B. 7.72% C. 12.5% D. 8.79% Asset (B) E(RB) = 15% SDB = 9.5% WB = 0.75
- Set up the complete formula for Dollar Weighted Return (DWR) for the following portfolio including final value of the portfolio. Year 0 1 2 3 4 Actions at the ending of the year (Yr0)Starting with $1000 (Yr1)Adding $100 (Yr2)Withdrawing $200 (Yr3)Adding $300 (Yr4)Ending Value = ? ROR during each Yr (Yr0) - (Yr1) 8% (Yr2)-4% (Yr3) 9% (Yr4) 3% A. Calculate the time weighted return (TWR) Complete Questions with respect to ExcelYou 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 0.9785Portfolio Suppose rA ~ N (0.05, 0.01), rB ~ N (0.1, 0.04) with pA,B = 0.2 where rA and rB are CCR’s. a) Suppose you construct a portfolio with 50% for A and 50% for B. Find the variance of the portfolio CCR. b) Find the portfolio expected gross return. c) Find the expected portfolio CCR.