Hand written plz otherwise skip Q9. Given the following probability distributions for the stocks of Celtic plc and Rangers plc calculate the expected return and standard deviation of a portfolio consisting of 40 % Celtic and 60% Rangers. Celtic Rangers Return Probability 1 0.3 0.15 20% 2 0.1 0.2 30% 3 -0.1 0.05 30% 4 0.2 0.05 20%
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- An analyst has modeled the stock of a company using the Fama-French three-factor model. The market return is 10%, the return on the SMB portfolio (rSMB) is 3.2%, and the return on the HML portfolio (rHML) is 4.8%. If ai = 0, bi = 1.2, ci = 20.4, and di = 1.3, what is the stock’s predicted return?Consider a portfolio 30% of which is invested in stock A and 70% invested in ETF mimicking the S&P500. Stock A has an expected return of 27% and a standard deviation of 35%, and ETF has an expected return of 19% and a standard deviation of 21%. Calculate stock A’s beta if correlation between stock A and ETF equals -0.48. 1.15 -1.07 1.95 -0.80Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. For portfolio P with investment proportion of 0.4 in HD and 0.6 in ML, calculate the systematic risk, non-systematic risk, and total risk of P. xx
- Company A’s stock has an expected return of 0.10 and a standard deviation of 0.25. Company B’sstock has an expected return of 0.16 and a standard deviation of 0.40. The correlation coefficientbetween the two stock’s return is 0.2. If a portfolio consists of 40% of Company A and 60% ofCompany B, what’s the expected return of the portfolio?portfolo P consists of 2 stocks 50% is invested on stock A and 50% is invested in stock B. stock A has a standard deviation of 25% and a beta of 1.2, and stock B has a standard deviation of 35% and a beta od 0.80. the correlation between thses stocks is 0.4. what is the standard deviation of portfolio P? what is the beta of plrtfolio P ? which stock is reskier to a diversified investor?Suppose you are given the following information about 2 stocks, what is the return standard deviation of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
- Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the systematic risk of each stock? xxxxxxGiven two stocks with E(r1) = 8%, E(r2) = 10%, σ1 = 15%, σ2 = 20%. Calculate the expectedreturns and standard deviations of a two-stock portfolio under each of the following conditions:(a) w1 = 0.70, w2 = 0.30, ρ = 0.3; (b) w1 = 0.50, w2 = 0.50, ρ = 0; (c) w1 = 0.30, w2 = 0.70, ρ = −0.3. Here wi is the weight of stock i in the portfolio, ρ is the correlation between the two stockreturns.Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the systematic risk of each stock?
- Q7. An ETF of 100 stocks are equally weighted with equal pair-wise correlation. Each stock has stdev of 50%. What is the portfolio stdev if the pairwise correlation is a. 1 b.0 c. 0.4 d. 0.8 Q8. For the above ETF, if implied volatility for the ETF is 25% and the IV for each component stock is is 50%. What is the pairwise implied correlation?Following is the information is available for company Xian and Yancheng, RX =25%,RY=35%,X=15%,Y=20% 5. a) What is the expected return and standard deviation for a portfolio composed of 70 per cent of Yancheng and 30 per cent of Xian assuming a correlation coefficient of – 0.50 between two shares? b) Whatwillbetheexpectedreturnandstandarddeviationforaboveportfolioifthese two shares are perfectly negatively correlated with each other?Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the standard deviation of each stock? (Hint: βi = (ρiM σi) / σM.)