Berikut adalah portfolio yang dipegang oleh Suzi: (Following is the portfolio held by Suzi)] Stok [Stock] AA Pelaburan [Investment](RM) 175,300 123,320 200,530 63,400 BB CC DD Nilai beta utk Stok AA adalah 1.530, Stok BB adalah 0.940, Stok CC adalah 1.390 dan Stok DD adalah 1.000. Suzi bercadang untuk menjual Stok AA dan menggantikannya dengan Stock EE, yang mempunyai beta 0.880. Berapa banyak perubahan portfolio beta? Sila bundarkan jawapan anda kepada 3 titik pepuluhan · (The beta value for Stock AA is 1.530, Stock BB is 0.940, Stock CC is 1.390 and Stock DD is 1.000. Suzi plans to sell AA Stock and replace it with EE Stock, which has a beta of 0.880. By how much will the portfolio beta change? Please round your answer to 3 decimal places)

Berikut adalah portfolio yang dipegang oleh Suzi: (Following is the portfolio held by Suzi)] Stok [Stock] AA Pelaburan [Investment](RM) 175,300 123,320 200,530 63,400 BB CC DD Nilai beta utk Stok AA adalah 1.530, Stok BB adalah 0.940, Stok CC adalah 1.390 dan Stok DD adalah 1.000. Suzi bercadang untuk menjual Stok AA dan menggantikannya dengan Stock EE, yang mempunyai beta 0.880. Berapa banyak perubahan portfolio beta? Sila bundarkan jawapan anda kepada 3 titik pepuluhan · (The beta value for Stock AA is 1.530, Stock BB is 0.940, Stock CC is 1.390 and Stock DD is 1.000. Suzi plans to sell AA Stock and replace it with EE Stock, which has a beta of 0.880. By how much will the portfolio beta change? Please round your answer to 3 decimal places)

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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9. Portfolio beta and weights Brandon 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% 1.400 42.00% Li Corp. (LC) 15% 1.300 45.00% Transfer Fuels Co. (TF) 30% 0.500 49.00% Brandon calculated the portfolio’s beta as 0.888 and the portfolio’s required return as 12.6600%. 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 Transfer Fuels Co. The risk-free rate is 6%, and the market risk premium is 7.50%. A. According to Brandon’s recommendation, assuming that the market is in equilibrium, how much will the portfolio’s…
Suppose you manage an equity fund with the following securities. Use the following data to help build an active portfolio. Input Data Vogt Industries Isher Corporation Hedrock, Incorporated Alpha 0.012 0.006 0.016 Beta 0.277 1.015 1.630 Standard Deviation 0.156 0.168 0.181 Residual Standard Deviation 0.117 0.048 0.113 Information Ratio 0.1026 0.1250 0.1416 Alpha/Residual Variance 0.877 2.604 1.253 Market Data S&P 500 Treasury Bills Expected Raturn 12.00% 2.50% Standard Deviation 20.00% 0.00% Required: Using the information in the table above, please first calculate the initial weight of each stock in an active portfolio, using the Treynor Black approach. Then adjust each weight for beta. (Use cells A5 to D14 from the given information to complete this question.) Treynor-Black Model Vogt Industries Isher Corporation Hedrock, Incorporated…
What is the beta of the portfolio held by Blue Co.? Blue Co. has portfolio fund consist of three stock s as follows stock invetsment beta monde 2,500,000 1.3 bdo 1,300,000 average pal 1,200,000 (.50)
Data: S0 = 107; X = 110; 1+r = 1.12. The two possibilities for ST are 155 and 95. (Round to 2 decimal places). a. The range of S is 60 while that of P is 15 across the two states. What is the hedge ratio of the put? Hedge ratio ? b. Form a portfolio of one share of stock and four puts. What is the (nonrandom) payoff to this portfolio? Nonrandom payoff c. What is the present value of the portfolio? Present value d. Given that the stock is currently selling at 107, calculate the put value. Put value
Portfolio beta and weights Brandon 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?…
. Portfolio beta and weights Brandon 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%. Suppose instead of replacing Atteric Inc.’s stock with Baque Co.’s stock, Brandon considers replacing Atteric Inc.’s stock with the equal…
Portfolio beta and weights Rafael is an analyst at a wealth management firm. One of his clients holds a $10,000 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% 0.900 23.00% Arthur Trust Inc. (AT) 20% 1.400 27.00% Li Corp. (LC) 15% 1.100 30.00% Transfer Fuels Co. (TF) 30% 0.300 34.00% Rafael calculated the portfolio’s beta as 0.850 and the portfolio’s required return as 8.6750%. Rafael 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 Transfer Fuels Co. The risk-free rate is 4%, and the market risk premium is 5.50%. According to Rafael’s recommendation, assuming that the market is in equilibrium, how much will the portfolio’s required…
Megan Ross holds the following portfolio: Stock Investment Beta A $150,000 1.40 B 50,000 0.80 C 100,000 1.00 D 75,000 1.20 Total $375,000 What is the portfolio's beta? Group of answer choices 1.06 1.17 1.29 1.42 1.56
Akeem Joffer owns a portfolio that contains U.S. T-bills (15%), Walmart (28%), and Buffalo Wild Wings (57%). If Walmart has the same risk-level as the overall stock market and Akeem Joffer’s portfolio has a beta equal to 1.24, then Buffalo Wild Wing’s beta equals: a. 1.14 b. 1.30 c. 1.42 d. 0.57 e. 1.68
Keith holds a portfolio that is invested equally in three stocks (wDwD = wAwA = wIwI = 1/3). Each stock is described in the following table: Stock Beta Standard Deviation Expected Return DET 0.7 25% 8.0% AIL 1.0 38% 10.0% INO 1.6 34% 13.5% An analyst has used market- and firm-specific information to make expected return estimates for each stock. The analyst’s expected return estimates may or may not equal the stocks’ required returns. The risk-free rate [rRFrRF] is 6%, and the market risk premium [RPMRPM] is 4%. Use the following graph with the security market line (SML) to plot each stock’s beta and expected return. (Note: Click on the points on the graph to see their coordinates.) Stock DETStock AILStock INO00.20.40.60.81.01.21.41.61.82.020181614121086420RATE OF RETURN (Percent)RISK (Beta) A stock is in equilibrium if its required return its expected return. In general, assume that markets and stocks are in equilibrium (or fairly valued),…
Dear Expert, This question is from Investments Twelfth Edition, with ISBN 978-1-260-57115-8, page 326. Chapter 10, Problem Sets 4: Suppose that there are two independent economic factors, F1 and F2. The risk-free rate is 6%, and all stocks have independent firm-specific components with a standard deviation of 45%. Portfolios A and B are both well-diversified with the following properties: Portfolio: A, B; Beta on F1: 1.5, 2.2; Beta on F2: 2.0, -0.2; Expected Return: 31%, 27%. What is the expected return-beta relationship in this economy? Looking forward for your help in your earliest convenience. Best regards, Yunus
Please include the excel formula What are the portfolio weights for a portfolio that has 145 shares of Stock A that sell for $47 per share and 200 shares of Stock B that sell for $21 per share? Input area: Shares of A 145 Share price of A $47 Shares of B 200 Share price of B $21 (Use cells A6 to B9 from the given information to complete this question.) Output area: Portfolio value Weight of A Weight of B

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