You observe a portfolio for five years and determine that its average return is 12.6% and the standard deviation of its returns in 19.7%. Would a 30% loss next year be outside the 95% confidence interval for this portfolio? The low end of the 95% prediction interval is %. (Enter your response as a percent rounded to one decimal place.)
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- You observe a portfolio for five years and determine that its average return is 11.1% and the standard deviation of its returns in 19.4%. Would a 30% loss next year be outside the 95% confidence interval for this portfolio? The low end of the 95% prediction interval is %. (Enter your response as a percent rounded to one decimal place.) O A. Yes, you can be confident that the portfolio will not lose more than 30% of its value next year. This is because the low end of the prediction interval is less than - 30%. B. No, you cannot be confident that the portfolio will not lose more than 30% of its value next year. This is because the low end of the prediction interval is greater than - 30%. C. Yes, you can be confident that the portfolio will not lose more than 30% of its value next year. This is because the low end of the prediction interval is greater than - 30%. O D. No, you cannot be confident that the portfolio will not lose more than 30% of its value next year. This is because the low…You observe a portfolio for five years and determine that its average return is 11.3% and the standard deviation of its returns in 19.7%. Would a 30% loss next year be outside the 95% confidence interval for this portfolio? C The low end of the 95% prediction interval is%. (Enter your response as a percent rounded to one decimal place.) O B. O A. Yes, you can be confident that the portfolio will not lose more than 30% of its value next year. This is because the low end of the prediction interval is greater than - 30%. No, you cannot be confident that the portfolio will not lose more than 30% of its value next year. This is because the low end of the prediction interval is less than - 30%. O C. No, you cannot be confident that the portfolio will not lose more than 30% of its value next year. This is because the low end of the prediction interval is greater than - 30%. O D. Yes, you can be confident that the portfolio will not lose more than 30% of its value next year. This is because…You observe a portfolio for five years and determine that its average return is 11.8%and the standard deviation of its returns in19.6%.Would a 30% loss next year be outside the 95% confidence interval for this portfolio? The low end of the 95% prediction interval is ...%
- Your portfolio has 1 Standard Deviation of +/- 19% points from the average ATR of +12%. Given this data, A) What is the ATR range for 1 SD and 2 SDs? B) At 2 SDs, you have a ____% confidence level that losses next year will not be greater than ___%. (Show your calculations for both A and B.)You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 9 percent and 14 percent, respectively. The standard deviations of the assets are 25 percent and 33 percent, respectively. The correlation between the two assets is .33 and the risk - free rate is 4.2 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 2.5 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.)Assume the riskless rate of interest is 2% per year, and the expected rate of return on the market portfolio is 8% per year. According to the CAPM, what is the efficient way for an investor to achieve an expected rate of return of 5% per year? If the standard deviation of the rate of return on the market portfolio is 4%, what is the standard deviation of the portfolio producing the 5% expected return? • Plot the CML and locate the foregoing portfolios on the same graph. • Plot the SML and locate the foregoing portfolios on the same graph.
- You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 13 percent and 16 percent, respectively. The standard deviations of the assets are 39 percent and 47 percent, respectively. The correlation between the two assets is 61 and the risk-free rate is 5.3 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 1 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.) Sharpe ratio Smallest expected loss %You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 15 percent, respectively. The standard deviations of the assets are 29 percent and 48 percent, respectively. The correlation between the two assets is .25 and the risk-free rate is 5 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 2.5 percent?Year End Index Realized Return 2000 23.6% 2001 24.7% 2002 30.5% 2003 9.0% 2004 -2.0% 2005 -17.3% 2006 -24.3% 2007 32.2% 2008 4.4% 2009 7.4%
- Security F has an expected return of 10 percent and a standard deviation of 43 percent per year. Security G has an expected return of 15 percent and a standard deviation of 62 percent per year. a. What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent of Security G? b. If the correlation between the returns of Security F and Security G is 25, what is the standardJerome J. Jerome is considering investing in a security that has the following distribution of possible one-year returns: Probability of occurrence 0.10 0.20 0.30 0.30 0.10 Possible return −0.10 0.00 0.10 0.20 0.30 a. What is the expected return and standard deviation associated with the investment?I. Consider the following information about K oll and Nell for one-time period: Suppose that the correlation coefficient between the returns for Koll and Nell is -0.40'. If you invest 30% in Koll and 70% in Nell, what are the expected return and standard deviation of the portfolio? Interpret your results. II. The investor achieved the following annual rate of returns over the last four-year period: 25% in Y1, 15% in Y2, 20% in Y3, 10% in Y4. (a) Calculate the geometric average rate of return for the whole 4 year period. (b) Calculate the logarithmic average rate of return for the whole 4 year period. III. Suppose you have a portfolio of IBM and Dell with a beta of 0.4 and 1.1, respectively. If you put 40% of your money in IBM, 55% in Dell and 5% in the risk-free asset, calculate and interpret the beta of your portfolio. IV. Suppose that the beta value for Kei is 1.5, and the risk-free rate of interest is 4%. The investor wishes to (i) have a shareholding in only one company, Kei, and…