Assume that the five-day VaR of a portfolio with a confidence level of 95% is $10 million. What is the portfolio's five- day VaR with a confidence level of 99% ? ( The inverse cumulative standard normal distribution of 95% and 99% are 1.645 and 2.326, respectively.)
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- Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the expected return on this portfolio?Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the expected return on this portfolio? Select one:Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the expected return on this portfolio? Select one: a. 15.2% b. 16.4% c. 14.2% d. 14.9%
- Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the beta of the portfolio? Select one: a. 1.16 b. 0.59 c. 1.34 d. 1.20You estimate that the expected return of the portfolio is 8% and that the standard deviation is 15%. If you had invested 1 million in the portfolio, what is the size of a large loss as measured by the VaR? A) -20.00% B) -16.75% C) -17.25% D) -16.31%You are going to invest $20,000 in a portfolio consisting of assets X, Y, and Z, as follows: Asset Annual Return Probability Beta Proportion X 10% 0.50 1.2 0.333 Y 8% 0.25 1.6 0.333 Z 16% 0.25 2.0 0.333 Given the information in Table 5.2, The beta of the portfolio in Table 8.2, containing assets X, Y, and Z is ________. Select one: a. 1.6 b. 2.0 c. 1.5 d. 2.4
- The expected return on a portfolio is 14%, and that the returns have a standard deviation of 10%. Also, the returns are approximately normally distributed. What would be the 1% "value at risk" (VaR) for this portfolio, if the size of the portfolio is $1 million? O $372,500 O $225,500 O $24,500 O $92.500You invest $10,000 in a complete portfolio. The complete portfolio is composed of a risky asset with an expected rate of return of 15% and a standard deviation of 21% and a treasury bill with a rate of return of 5%. How much money should be invested in the risky asset to form a portfolio with an expected return of 11%? A. $6,000B. $4,000C. $7,000D. $3,000Suppose that a fund that tracks the S&P 500 has mean E [Rm] = 16% and standard deviation σM = 10%, and suppose that the T-Bill rate is Rf = 8%. Answer the following questions about efficient portfolios:(a) What is the expected return and standard deviation of a portfolio that is totally invested in the risk-free asset?(b) What is the expected return and standard deviation of a portfolio that has 50% of its wealth in the risk-free asset and 50% in the S&P 500?(c) What is the expected return and standard deviation of a portfolio that has 125% of its wealth in the S&P 500, financed by borrowing 25% of its wealth at the risk-free rate?(d) What are the weights for investing in the risk-free asset and the S&P 500 that produce a standard deviation for the entire portfolio that is twice the standard deviation of the S&P 500? What is the expected return on that portfolio?
- Example 9: What is the portfolio standard deviation for a two-asset portfolio comprised of the following two assets if the correlation of their returns is 0.5? Asset A Asset B Expected return Stańdard deviation of expected returns 10% 20% 5% 20% Amount invested 740,000 760,000Consider 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)?Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 46%. The T-bill rate is 4%. Your client chooses to invest 85% of a portfolio in your fund and 15% in a T-bill money market fund. Required: a. What are the expected return and standard deviation of your client's portfolio? (Round your answers to 1 decimal place.) Expected return Standard deviation % per year % per year b. Suppose your risky portfolio includes the following investments in the given proportions: Stock A Stock B Stock C 30% 30 40 What are the investment proportions of your client's overall portfolio, including the position in T-bills? (Round your answers to 1 decimal place.) Security Investment Proportions T-Bills % Stock A % Stock B % Stock C %