You have been given this probability distribution for the holding-period return for ABC stock: State of...
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You have been given this probability distribution for the holding-period return for ABC stock: State of Economy Probability HPR Boom Average Recession 0.30 0.40 0.30 25% 10% -10% (a) What is the expected holding-period return for ABC stock? (b) What is the expected standard deviation for ABC stock? (c) What is the expected variance for ABC stock? (d) If the risk-free asset return was 5%, and the standard deviation of the portfolio's excess returns was 20%, what's the Sharpe ratio of the portfolio? You have been given this probability distribution for the holding-period return for ABC stock: State of Economy Probability HPR Boom Average Recession 0.30 0.40 0.30 25% 10% -10% (a) What is the expected holding-period return for ABC stock? (b) What is the expected standard deviation for ABC stock? (c) What is the expected variance for ABC stock? (d) If the risk-free asset return was 5%, and the standard deviation of the portfolio's excess returns was 20%, what's the Sharpe ratio of the portfolio?
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In question following data are given Holding period return with probability in each state of economy ... View the full answer
Related Book For
Intermediate Financial Management
ISBN: 978-1111530266
11th edition
Authors: Eugene F. Brigham, Phillip R. Daves
Posted Date:
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