Consider two asset classes: Stocks and Bonds. You estimate the following parameters for these two asset class funds. correlation matrix b/n Stocks and Bonds E(r ) sd(r) Stocks Bonds Stocks 19% 28% 10.5 Bonds 10% 8% 0.5 1 Consider a $80,000 portfolio consisting of $60,000 in Stocks and $20,000 in Bonds. So, the portfolio is 75% in Stocks and 25% in Bonds. Given the expected return on the portfolio is 16.75%, and the standard deviation of the portfolio return is 22.07%, what is the 2.5% value at risk (note: the 95% confidence interval lower limit on the portfolio value is the value of the portfolio at this level of loss)? (use 2 decimals without $, so a loss of -$10.00 is -10.00) Answer:Question 2 - 21205.76 Feedback The correct answer is: -21908.92 expain

Consider that 2 investment funds exist. ABC Fund(invested in 50% normal stock and 50% risky bonds) and 123 Fund(invested in 25% High risk stock and 75% normal bonds).   Assume you have the following historical data of annual returns:                                                 Return                  S.D.                                                        Normal Stock                     8%                          20% Risky Bonds                        10%                        35% High Risk Stock                  14%                        40% Normal Bonds                   6%                          10%   A)  If Normal Stock and Risky Bonds have a correlation coefficient of 0.4            and High Risk Stock and Normal Bonds have correlation coefficient of 0 .2. Find the expected return and standard deviation of each Fund. B) Consider that 2 investment funds exist. ABC Fund(invested in 50% normal stock and 50% risky bonds) and 123 Fund(invested in 25% High risk stock and…

Suppose you manage an equity fund with the following securities. Use the following data to calculate the information ratio of each stock.                           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                     Required:             Using the information in the table above, please calculate the information ratio for each stock.                           (Use cells A5 to D8 from the given information to complete this question.)                             Vogt Industries Isher Corporation Hedrock, Incorporated       Information Ratio

Only do question B Consider that 2 investment funds exist. ABC Fund(invested in 50% normal stock and 50% risky bonds) and 123 Fund(invested in 25% High risk stock and 75% normal bonds).   Assume you have the following historical data of annual returns:                                                 Return                  S.D.                                                        Normal Stock                     8%                          20% Risky Bonds                        10%                        35% High Risk Stock                  14%                        40% Normal Bonds                   6%                          10%   A)If Normal Stock and Risky Bonds have a correlation coefficient of 0.4 and High Risk Stock and Normal Bonds have correlation coefficient of 0 .2. Find the expected return and standard deviation of each Fund. B)Find the optimal risky portfolio if you could only use these two funds; assume the two funds have a correlation coefficient of 0.3. (To do…