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4. You invest $250,000 in Stock A. Looking at its historical returns, you observe the mean monthly return is 1.8% and the monthly standard deviation
4. You invest $250,000 in Stock A. Looking at its historical returns, you observe the mean monthly return is 1.8% and the monthly standard deviation is 12.7% a. What is the Value at Risk (at 5th percentile) of your investment in Stock A? (Answer in investment dollars) Section 1.3 1. You invest 77% of your fund in a risky portfolio and 23% in a risk-free asset. The risky portfolio has an expected return of 13% and a standard deviation of 28%. The risk-free rate is 3%. a. Calculate the E[ret] of the complete portfolio b. Calculate the standard deviation of the complete portfolio c. Calculate the Sharpe ratio of the complete portfolio 2. From the question above, you measure your risk aversion metric (A) as equal to the market average of 1.9 . a. Calculate the optimal weight of your allocation to the risky portfolio b. Calculate the E[ ret] of the complete portfolio with the optimal weight c. Calculate the E[SD] of the complete portfolio with the optimal weight d. Calculate the Sharpe ratio of the complete portfolio with the optimal weight
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