a) Assist Xuemei by finishing the calculations for her. That is, complete the missing figures in the table above. b) Explain to Xuemei why the portfolio standard deviation is not simply the weighted average of the standard deviation of the stocks in the portfolio. c) Find the weight for NAB that would result in the lowest portfolio variance. Do not restrict your enquiry to the five portfolios.
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- The following table reports the percentage of stocks in a portfolio for nine quarters: a. Construct a time series plot. What type of pattern exists in the data? b. Use trial and error to find a value of the exponential smoothing coefficient that results in a relatively small MSE. c. Using the exponential smoothing model you developed in part (b), what is the forecast of the percentage of stocks in a typical portfolio for the second quarter of year 3?You are an active investor in the securities market and you have established an investment portfolio of two stock A and B five years ago.Required: Assume that the following data available for the portfolio, calculate the expected return, variance and standard deviation of the portfolio given stock A accounts for 45% and stock B accounts for 55% of your portfolio?ABExpected return12.5%18.5%Standard Deviation of return15%20%Correlation of coefficient (p)0.4you are an active investor in the securities market and you have established an investment portfolio of two stock A and B five years ago. Assume that the following data available for the portfolio, calculate the expected return, variance and standard deviation of the portfolio given stock A accounts for 45% and stock B accounts for 55% of your portfolio? ABExpected return12.5%18.5%Standard Deviation of return15%20%Correlation of coefficient (p)0.4
- You are an active investor in the securities market and you have established an investment portfolio of two stock A and B five years ago. Required: A)Assume that the following data available for the portfolio, calculate the expected return, variance and standard deviation of the portfolio given stock A accounts for 45% and stock B accounts for 55% of your portfolio?Neha is an analyst at a wealth management firm. One of her clients holds a $7,500 portfolio that consists of four stocks. The investment allocation in the portfolio along with the contribution of risk from each stock is given in the following table: Stock Investment Allocation Beta Standard Deviation Atteric Inc. 35% 0.750 0.53% Arthur Inc. 20% 1.400 0.57% Li Corp. 15% 1.300 0.60% Transfer Fuels Co. 30% 0.300 0.64% Neha calculated the portfolio’s beta as 0.828 and the portfolio’s expected return as 8.55%. Neha thinks it will be a good idea to reallocate the funds in her client’s portfolio. She recommends replacing Atteric Inc.’s shares with the same amount in additional shares of Transfer Fuels Co. The risk-free rate is 4.00%, and the market risk premium is 5.50%. 1. According to Neha’s recommendation, assuming that the market is in equilibrium, how much will the portfolio’s required return change? 0.86% 0.67% 1.07% 0.99%…You are an active investor in the securities market and you have established an investment portfolio of two stocks A and B five years ago.Required: d) Assume that the following data available for the portfolio, calculate the expected return, variance, and standard deviation of the portfolio given stock A accounts for 45% and stockDoes b account for 55% of your portfolio? A BExpected return 12.5% 18.5%Standard Deviation of return 15% 20%Correlation of coefficient (p) 0.4
- Based on five years of monthly data, you derive the following information forthe companies listed: Company SDi rm Padma 11.10% 0.82 Meghna 12.60% 0.63 Jamuna 6.60% 0.45 Karnafully 9.70% 0.70 SD on Market 7.60% 1.00 Assuming a risk-free rate of 9% and expected return for the market portfolio is 16 % compute the expected (required) return for all the stocks.David established an investment portfolio of two blue chips four years ago: Gold share and Silver Bond. Gold share accounts for 65% of his investment portfolio. Required: If David’s portfolio has provided the returns of 9.5%, 11.3%, - 12.5% and 15.6% over the past four years, respectively. Calculate geometric average return of the portfolio for this period? Assume that the below data is available for David’s portfolio performance, calculate the expected return, variance and standard deviation of the portfolio. Gold Share Silver Bond Expected return 26.5% 10.5% Standard Deviation of return 6% 2% Correlation of coefficient (p) 0.55 Assume that expected return of the Gold share in David’s portfolio is 14.5%. The share’s beta coefficient is 1.5. Market risk premium is 7.5. Calculate the risk-free rate using Capital Asset Pricing Model Assume that David bought 2000 of Gold shares in his portfolio for a price of $75 each, the dividend paid for this…You are a portfolio manager at PT. Sukses Selalu Sekuritas. You manage a portfolio of 5 stocks: A, B, C, D, and E. The following table provides the stocks return for the last 5 years: Calculate the Expected Return and Standard Deviation of each stock. Without any inclusion of risk-free assets in the formation of the portfolios, what is the assets proportion of the minimum variance and maximum return portfolios? Calculate the expected return and standard deviation for both portfolios. Suppose there is a risk-free asset with a 5% return and a condition in which short sales are allowed, whilst both the borrowing and lending can be obtained at a risk- free rate. What would be the new portion of each asset, including risk-free assets for the maximum return portfolio? Calculate the portfolio’s expected return and its standard deviation.
- David established an investment portfolio of two blue chips four years ago: Gold share and Silver Bond. Gold share accounts for 65% of his investment portfolio. Required: If David’s portfolio has provided the returns of 9.5%, 11.3%, - 12.5% and 15.6% over the past four years, respectively. Calculate geometric average return of the portfolio for this period? Assume that the below data is available for David’s portfolio performance, calculate the expected return, variance and standard deviation of the portfolio. Assume that expected return of the Gold share in David’s portfolio is 14.5%. The share’s beta coefficient is 1.5. Market risk premium is 7.5. Calculate the risk-free rate using Capital Asset Pricing Model Assume that David bought 2000 of Gold shares in his portfolio for a price of $75 each, the dividend paid for this stock is $7/stock each year. The current market price of this share is $135. Calculate the capital gain yield of this investment after four yearsYou are an active investor in the securities market and you have established an investment portfolio of two stock A and B five years ago. Required: Assume that you bought 200 stock B in your portfolio for total investment of $1200, now the market price of the stock is $75, the dividend paid for this stock is $2 each year. How much is the capital gain of this stock ? Assume that the following data available for the portfolio, calculate the expected return, variance and standard deviation of the portfolio given stock A accounts for 45% and stock B accounts for 55% of your portfolio? A B Expected return 12.5% 18.5% Standard Deviation of return 15% 20% Correlation of coefficient (p) 0.4Brandon is an analyst at a wealth management firm. One of his clients holds a $5,000 portfolio that consists of four stocks. The investment allocation in the portfolio along with the contribution of risk from each stock is given in the following table: Stock Investment Allocation Beta Standard Deviation Atteric Inc. (AI) 35% 0.750 38.00% Arthur Trust Inc. (AT) 20% 1.500 42.00% Li Corp. (LC) 15% 1.100 45.00% Baque Co. (BC) 30% 0.300 49.00% Brandon calculated the portfolio’s beta as 0.818 and the portfolio’s required return as 8.4990%. Brandon thinks it will be a good idea to reallocate the funds in his client’s portfolio. He recommends replacing Atteric Inc.’s shares with the same amount in additional shares of Baque Co. The risk-free rate is 4%, and the market risk premium is 5.50%. According to Brandon’s recommendation, assuming that the market is in equilibrium, how much will the portfolio’s required return change? (Note: Do not round your…