4.25

free interest is 9 Calculate the standard deviation 4.25 The values of Ms Sweetheart Company and Mr Sugar Company to the price of cocoa. Ir the cocon crop fails due to bad weather heart suffers from huge losses while Mr Sugar generates more following shows the three scenarios of Mr Sugar (refer to Exercise Ms Sweetheart): mpany are sensitive weather, Ms Sweet more profit. The Exercise 4.24 for Crop failu Bearish market 8% 40% Bullish market 13% 50% Rate of return Probability 20% 10% 139 Rates of Return lation between the returns of Ms Sweetheart and Mr (a) Calculate the correlation betw Sugar. (b) Kitty wants to construci using the two stocks. Find the weight and compute the expected return of construct a portfolio with the lowest possible variance tocks. Find the weight of Ms Sweetheart in the portfolio the expected return of this minimum-variance portfolio. of 16 and variance of 0.0784. A bond The correlation matrix of the three stock indir stock indices is as follo Germany Japan 100% 3796 2696 US Germany Japan 10096 3396 100% cted return oa. If the with 15% weight in US, 40 You construct a portfolio of the three markets weight in Germany and 45% weight in Japan. Calculate the expected and standard deviation of the return of the portfolio ensitive to the price of cocoa, If 4.24 The value of Ms Sweetheart Company is sensi cocoa crop fails due to bad weather, the price of cocoa rises and the suffers losses. The following shows the three scenarios of the com d the company of the company Crop fail, Bullish market Bearish market 13% 20% 50% -15% 10% Rate of return Probability 40% Kenny has a portfolio of risk-free bonds and Ms Sweetheart stoc free interest rate is 5% per annum. The expected return of Kenny's is 9%. Calculate the standard deviation of the return of Kenny's etheart stock. The risk of Kenny's portfolio f Kenny's portfolio ugar Company are sensitive e to bad weather, Ms Sweet- erates more profit. The 25 The values of Ms Sweetheart Company and Mr Sugar Company ar to the price of cocoa. If the cocoa crop fails due to bad weather heart suffers from huge losses while Mr Sugar generates more pe following shows the three scenarios of Mr Sugar (refer to Exercise Ms Sweetheart): Crop failure Bearish market Bullish market 8% 13% 40% 50% Rate of return Probability 20% 10% free interest is 9 Calculate the standard deviation 4.25 The values of Ms Sweetheart Company and Mr Sugar Company to the price of cocoa. Ir the cocon crop fails due to bad weather heart suffers from huge losses while Mr Sugar generates more following shows the three scenarios of Mr Sugar (refer to Exercise Ms Sweetheart): mpany are sensitive weather, Ms Sweet more profit. The Exercise 4.24 for Crop failu Bearish market 8% 40% Bullish market 13% 50% Rate of return Probability 20% 10% 139 Rates of Return lation between the returns of Ms Sweetheart and Mr (a) Calculate the correlation betw Sugar. (b) Kitty wants to construci using the two stocks. Find the weight and compute the expected return of construct a portfolio with the lowest possible variance tocks. Find the weight of Ms Sweetheart in the portfolio the expected return of this minimum-variance portfolio. of 16 and variance of 0.0784. A bond The correlation matrix of the three stock indir stock indices is as follo Germany Japan 100% 3796 2696 US Germany Japan 10096 3396 100% cted return oa. If the with 15% weight in US, 40 You construct a portfolio of the three markets weight in Germany and 45% weight in Japan. Calculate the expected and standard deviation of the return of the portfolio ensitive to the price of cocoa, If 4.24 The value of Ms Sweetheart Company is sensi cocoa crop fails due to bad weather, the price of cocoa rises and the suffers losses. The following shows the three scenarios of the com d the company of the company Crop fail, Bullish market Bearish market 13% 20% 50% -15% 10% Rate of return Probability 40% Kenny has a portfolio of risk-free bonds and Ms Sweetheart stoc free interest rate is 5% per annum. The expected return of Kenny's is 9%. Calculate the standard deviation of the return of Kenny's etheart stock. The risk of Kenny's portfolio f Kenny's portfolio ugar Company are sensitive e to bad weather, Ms Sweet- erates more profit. The 25 The values of Ms Sweetheart Company and Mr Sugar Company ar to the price of cocoa. If the cocoa crop fails due to bad weather heart suffers from huge losses while Mr Sugar generates more pe following shows the three scenarios of Mr Sugar (refer to Exercise Ms Sweetheart): Crop failure Bearish market Bullish market 8% 13% 40% 50% Rate of return Probability 20% 10%