Essentials of Investments (The Mcgraw-hill/Irwin Series in Finance, Insurance, and Real Estate)
10th Edition
ISBN: 9780077835422
Author: Zvi Bodie Professor, Alex Kane, Alan J. Marcus Professor
Publisher: McGraw-Hill Education
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Chapter 5, Problem 1CP
A portfolio of nondividend-paying stocks earned a geometric mean return of 5% between 1, January 1, 2010, and December 31, 2016. The arithmetic mean return for the same period was 6%. If the market value of the portfolio at the beginning of 2010 was $100, 000, what was the market value of the portfolio at the end of 2016? (LO 5-1)
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A portfolio of stocks generates a −9% return in 2016, a 23% return in 2017, and a 17% return in 2018. What is the annualized return (geometric mean) for the entire period?
Stocks for Fumbeshi and Mundashi have the following historical returns:
Year
Fumbeshi
Mundashi
2010
-18%
-14.50%
2011
33%
21.80%
2012
15%
30.50%
2013
-0.50%
-7.60%
2015
27%
26.30%
(i) What is the average return rate of return for each stock during the period 2010 through 2015?(ii) Assuming someone held a portfolio consisting of 50 percent of stocks Fumbeshi and 50 percent stocks of Mundashi, what would have been the realized return on the portfolio during this period? (iii) What is the standard deviation of each stock during the period 2010 through 2015?
(b) Stocks for Fumbeshi and Mundashi have the following historical returns:
Year
Fumbeshi
Mundashi
2010
-18%
-14.5%
2011
33%
21.8%
2012
15%
30.5%
2013
-0.5%
-7.6%
2015
27%
26.3%
(i) What is the average return rate of return for each stock during the period 2010 through 2015? (
(ii) Assuming someone held a portfolio consisting of 50 percent of stocks Fumbeshi and 50 percent stocks of Mundashi, what would have been the realized return on the portfolio during this period?
(iii) What is the standard deviation of each stock during the period 2010 through 2015?
Chapter 5 Solutions
Essentials of Investments (The Mcgraw-hill/Irwin Series in Finance, Insurance, and Real Estate)
Ch. 5 - Prob. 1PSCh. 5 - Prob. 2PSCh. 5 - When estimating a Sharpe ratio, would it make...Ch. 5 - You’ve just decided upon your capital allocation...Ch. 5 - Prob. 5PSCh. 5 - The stock of Business Adventures sells for $40 a...Ch. 5 - Prob. 7PSCh. 5 - a. Suppose you forecast that the standard...Ch. 5 - Using the historical risk premiums as your guide,...Ch. 5 - What has been the historical average real rate of...
Ch. 5 - Consider a risky portfolio. The end-of-year cash...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - Prob. 17PSCh. 5 - You manage an equity fund with an expected risk...Ch. 5 - What is the reward-to--volatility (Sharpe) ratio...Ch. 5 - Download the annual returns on the combined...Ch. 5 - A portfolio of nondividend-paying stocks earned a...Ch. 5 - Which of the following statements about the...Ch. 5 - Which of the following statements reflects the...Ch. 5 - Use the following data in answering CFA Questions...Ch. 5 - Prob. 5CPCh. 5 - Lise the following data in answerifng CFA Question...Ch. 5 - Use the following scenario analysis for stocks X...Ch. 5 - Prob. 8CPCh. 5 - Use the following scenario analysis for stocks X...Ch. 5 - 10. Probabilities for three states of the economy...Ch. 5 - 11. An analyst estimates that a stock has the...Ch. 5 - Prob. 1WMCh. 5 - Prob. 2WMCh. 5 - Prob. 3WM
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