An investment has a 20% chance of producing a 25% return, a 60%chance of producing a 10% return, and a 20% chance of producinga 215% return. What is its expected return? (8%) What is itsstandard deviation? (12.9%)
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An investment has a 20% chance of producing a 25% return, a 60%
chance of producing a 10% return, and a 20% chance of producing
a 215% return. What is its expected return? (8%) What is its
standard deviation? (12.9%)
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- The expected annual returns are 15% for investment 1 and 12% for investment 2. The standard deviation of the first investment’s return is 10%; the second investment’s return has a standard deviation of 5%. A.) Which investment is less risky based solely on standard deviation? (Investment 1 or Investment 2)B.) Which investment is less risky based on coefficient of variation? (Investment 1 or Investment 2)C.) Which is a better measure given that the expected returns of the two investments are not the same? (Coefficient of Variation or Standard Deviation)The expected annual returns are 15% for investment 1 and 12% for investment 2. The standard deviation of the first investment’s return is 10%; the second investment’s return has a standard deviation of 5%. Which investment is less risky based solely on standard deviation? investment 1 or 2 Which investment is less risky based on coefficient of variation? investment 1 or 2Asset K has an expected return of 10 percent and a standard deviation of 28 percent. Asset L has an expected return of 7 percent and a standard deviation of 18 percent. The correlation between the assets is .40. What are the expected return and standard deviation of the minimum variance portfolio?
- Suppose that the returns on an investment are normally distributed with an expected return of 16% and standard deviation of 3%. What is the likelihood of receiving a return that is equal to or less than 19%? (Hint: the area under a curve for 1 std dev is 34.13%, 2 std dev is 47.73% and 3 std dev is 49.87%.).An asset has a beta of 0.9, The variance of returns on a market index, cr#, is 90. If the variance of returns for the asset is 120, what proportion of the asset's total risk is systematic, and what proportion is residual risk?The risk-free rate is 3 percent, the expected return on the PSEi is 13 percent, and its standard deviation is 23 percent. XYZ co, has a standard deviation of 50 percent and a correlation of 65 with the market. Calculate XYZ beta and expected return then explain the role of a security’s beta in the calculation of expected returns
- . Using 625 trading days of data, you estimated the daily log return follows a normal distribution with a mean of 5 bps and and a stdev of 125 bps. Q1a. based on information above, what is the probability of true daily log return average is 0? can you reject the true mean is 0? can you reject the true mean is 10 bps? Q1b. what is the 90, 95, and 99% confidence interval for your mean return estimate? Q1c. what is the mean log return and stdev of log return over one year period and four year period (assuming 252 trading days per year)? Q1d. based on Q1c what is the probably of losing money (negative log return) or doubling your money (total log return = ln(2)) over 1 year and 4 year period?Suppose the risk-free rate is 5.1 percent and the market portfolio has an expected return of 11.8 percent. The market portfolio has a variance of .0472. Portfolio Z has a correlation coefficient with the market of .37 and a variance of .3375 According to the capital asset pricing model, what is the expected return on Portfolio Z?A firm is considering an investment that has an expected return of 25% and a standard deviation of 43%. What is the investment's coefficient of variation? Do not round your intermediate calculations. Round the final answer to 2 decimal places.
- An asset has an average return of 11.45 percent and a standard deviation of 24.36 percent. What is the most you should expect to lose in any given year with a probability of 2.5 percent?Your investment has a 40% chance of earning a 15% rate of return, a 50% chance of earning a 10% rate of return and a 10% chance of losing 3%. What is the standard deviation of this investment?Asset A has an expected return of 37% and a standard deviation of 40%. The risk-free rate is 13%. What is the reward-to-variability ratio?