Consider a portfolio of 2 assets. Exposure Recovery Rate A 100000 B 150000 50% 70% If each of the assets is independent of each other and each of them has a probability of 10% of going default, find the 99% relative VaR of the portfolio
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- Consider a position consisting of a $100,000 investment in asset A and a $100,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-day 99% VaR for the portfolio?You invest R100 in a risky asset with an expected rate of return of 15% and a standard deviation of 20% and a T-bill with a rate of return of 4%. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 9%. What is the percentage invested in risky asset ?What is the percentage invested in risk-free asset ?Consider the case of two financial assets and three market conditions (states). The tablebelow gives the respective probability for each market condition and the return of each assetin each one of them. Market Conditions State Recession Normal Expansion Probability of state 30% 40% 30% Return of asset A -30% 20% 55% Return of asset B -10% 70% 0% Consider the portfolio with 50% investment in each of the two assets above. Calculatethe expected return and the standard deviation of the portfolio.
- Consider a position consisting of a K200,000 investment in Asset A and a K300,000 investment in Asset B. Assume that the daily volatilities of the assets are 1.5% and 1.8% respectively, and that the coefficient of correlation between their returns is 0.4. What is the five day 95% Value at Risk (VaR) for the portfolio (95% confidence level represents 1.65 standard deviations on the left side of a normal distribution)?If the T Bill rate is 1.1% and the market risk premium is 10.8%, what is the CAPM-implied expected return on a portfolio invested 50% in the risk-free asset and 50% in the market?Enter your answer as a percentage rounded to 2 decimal places.If E(rX)=0.12 and E(rY)=0.08, what would be the expected rate of return of a portfolio made of 30% of X and 70% of Y? A. 0.080 B. 0.120 C. 0.108 D. 0.092 E. 0.100
- Find the expected portfolio return and standard deviation if you were to invest 50% of your portfolio in Asset B, 50% in Asset C, with no allocation to Asset A. Compute your answers to the nearest tenth of a basis point. (See attached data file) We know that Asset A: B: C: expected return: 1.16 1.35 1.38 expected standard deviation: 2.88 1.58 2.19Set up the complete formula for Dollar Weighted Return (DWR) for the following portfolio including final value of the portfolio. Year 0 1 2 3 4 Actions at the ending of the year (Yr0)Starting with $1000 (Yr1)Adding $100 (Yr2)Withdrawing $200 (Yr3)Adding $300 (Yr4)Ending Value = ? ROR during each Yr (Yr0) - (Yr1) 8% (Yr2)-4% (Yr3) 9% (Yr4) 3% A. Calculate the time weighted return (TWR) Complete Questions with respect to ExcelBay Land, Inc. has the following distribution of returns: StateReturnProbabilityBoom0.30.25Normal0.40.15Bust0.30.30 What is the expected return of the portfolio? What is the standard deviation of the portfolio?
- You have invested $1,000 in a risky asset with an expected rate of return of 0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of 0.04. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.11? What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.20? Calculate the slope of CAL. If the degree of risk aversion A=4, what proportion of the money should be invested in risky asset. Sub Parts to be solvedYou have invested $1,000 in a risky asset with an expected rate of return of 0.17 and a standard deviation of 0.40 and a T-bill with a rate of return of 0.04. What percentages of your money must be invested in the risky asset and the risk-free asset, respectively, to form a portfolio with an expected return of 0.11? What percentages of your money must be invested in the risk-free asset and the risky asset, respectively, to form a portfolio with a standard deviation of 0.20? Calculate the slope of CAL. If the degree of risk aversion A=4, what proportion of the money should be invested in risky asset.The discounted returns on a portfolio are normally distributed with mean 1.2% and volatility 13%. Find the 1% 10-day expected shortfall (ES) assuming the returns are i.i.d. You are given that ϕ(Φ−1(0.01))=0.02265.