19. Consider four risky assets with expected rates of return µ10.08, µ20.02, o-0.0002, 0240.1, µ30.006, and co-0, 034||0.04, o-0.004, 0230.02, variances o?0.03, o?0.05, µ4variances ơ120.001, 0 13 = –0.002, 014-0.005. There is a risk-free asset with rate of return rf = 0.015.||(a) Find the risky fund M which can be combined with the risk-free asset.(b) Find the combined portfolio that will give you the best expected rate of return for agiven risk (defined by the std of the combined portfolio) of oc =expected rate of return.0.03. Calculate the

Expected Return variances 1 0.08 0.03 2 0.1 0.04 3 0.05 0.02 4 0.02 0.006 rf = 0.015

Answered: Consider four risky assets with…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

See similar textbooks

Similar questions

Suppose that a portfolio consists of two assets A and B whose returns are givenby RA = RM + uA and RB = 2RM + uB, where RM is the market return, which isuncertain, and where uA and uB are uncorrelated shocks with expected value of zeroand variance of 0.01. Suppose RM has expected value of 0.05 and a variance of 0.01. Calculate theexpected return and variance of both assets A and B.
How robust standard errors help to handle heteroskedasticity?
Suppose that the relevant equilibrium model is CAPM with unlimited borrowing and lending at a riskless rate of interest. Compute the missing values (a*, b*, c*, d*, e*) in the following table, showing all intermediate steps. Expected Standard Residual Asset Return Deviation Beta Variance A 0.08 0.1 a* 0 B 0.12 b* 2 0.49 C c* d* 1 0 D 0.05 e* 0 0.36
5. What is Heteroskedasticity? Is it a limitation of the Pearson model?
Suppose that the unknown X is uniformly distributed between 0 and 1. What is the expected value of (X^4+2x+1)?
How do you know multple varibles predict another? In other terms, what statisitcs will tell you if your results are stastically significant?
a) Genenesis Dispensary is contemplating of opening a new branch in Mwanza. If the medical for medical service is favourable, Genesis could realize a net profit of Tsh.100 million. On the other hand, if the market turn out to be unfavourable, it can end up losing Tsh. 40 million. Of course, Genesis may opt not to persue this option of expanding its operations. In the absence of data from which to base its decision, te best guess for Gensis is equally likely that the dispensary will either be successful or unsuccessful Required: i) Use the decison tree approach, what decison should Genesis Dispensary take b) Market research firm named, Easy Market Access approach Genesis with an offer to undertake a study of Mwanza medical service market at a fee of Tsh. 5 million. Easy Market Access claims that their experience enables them to use Bayes’ Theoremn to make the following statements about different state of the market: ▪ Provide that the study is favourable, the probability of favourable…
What is the difference between heteroskedasticity and homoskedasticity
For an initial investment of 100, an investment yields returns of Xi at the end of period i for i = 1,2, where X1 and X2 are independent normal random variables with mean 60 and variance 25. What is the probability the rate of return of this investment is greater than 10 percent?
Suppose that the unknown Xis uniformly distributed between 0 and 2. What is the expected value of
Calculate Expected rate of return on portfolio basis of the following companies accorgieg, to is investment weights: Company APPLE Expected Return Beta 12% 1.5 McDonalds RENAULT 13% 1.1 11% 15% 1.3 1.9 Samsung Total investment in the above mentioned portfolio is 5000,000 dollars. 1.5 million is invested in APPLE, 2.0 million in McDonalds, 1,5 million in RENAULT and rest in Samsung, ) Explain the concept of Coefficient Beta and its importance in CAPM?
The operator of a pumping station has observed that demand for water during early afternoon hours has an approximately exponential distribution with mean 1000 cfs (cubic feet per second). b) What water-pumping capacity should the station maintain during early afternoons so that the probability that demand will be below the capacity on a randomly selected day is 0.995? c) Of the three randomly selected afternoons, what is the probability that on at least two afternoons the demand will exceed 700 cfs?

SEE MORE QUESTIONS

Recommended textbooks for you

MATLAB: An Introduction with Applications

Statistics

ISBN:

9781119256830

Author:

Amos Gilat

Publisher:

John Wiley & Sons Inc

Probability and Statistics for Engineering and th…

Statistics

ISBN:

9781305251809

Author:

Jay L. Devore

Publisher:

Cengage Learning

Statistics for The Behavioral Sciences (MindTap C…

Statistics

ISBN:

9781305504912

Author:

Frederick J Gravetter, Larry B. Wallnau

Publisher:

Cengage Learning

MATLAB: An Introduction with Applications

Statistics

ISBN:

9781119256830

Author:

Amos Gilat

Publisher:

John Wiley & Sons Inc

Probability and Statistics for Engineering and th…

Statistics

ISBN:

9781305251809

Author:

Jay L. Devore

Publisher:

Cengage Learning

Statistics for The Behavioral Sciences (MindTap C…

Statistics

ISBN:

9781305504912

Author:

Frederick J Gravetter, Larry B. Wallnau

Publisher:

Cengage Learning

Elementary Statistics: Picturing the World (7th E…

Statistics

ISBN:

9780134683416

Author:

Ron Larson, Betsy Farber

Publisher:

PEARSON

The Basic Practice of Statistics

Statistics

ISBN:

9781319042578

Author:

David S. Moore, William I. Notz, Michael A. Fligner

Publisher:

W. H. Freeman

Introduction to the Practice of Statistics

Statistics

ISBN:

9781319013387

Author:

David S. Moore, George P. McCabe, Bruce A. Craig

Publisher:

W. H. Freeman

SEE MORE TEXTBOOKS