Question
6. Raybrooks Co. stock has an annual return mean and standard deviation of 10 percent and 27 percent, respectively. Joi, Inc., stock has an annual
6. Raybrooks Co. stock has an annual return mean and standard deviation of 10 percent and 27 percent, respectively. Joi, Inc., stock has an annual return mean and standard deviation of 14 percent and 31 percent, respectively.
Your portfolio allocates equal funds to the Raybrooks Co.and Joi, Inc., stocks.
The return correlation between Raybrooks Co. and Joi, Inc., is 0.3. What is the smallest expected loss, in percentages, for your portfolio in the coming month with a probability of 2.5 percent?
(Note: Use 1.96 as the multiple in your probability statement.)
5. Joi, Inc., stock has an annual return mean and standard deviation of 10 percent and 23 percent, respectively. What is the smallest expected loss, in percentages, in the coming month with a probability of 2.5 percent?
4. You find a particular stock has an annual standard deviation of 29 percent. What is the standard deviation for a 2-month period?
3. Based on the info below, compute Port. Cs Jensen's Alpha, in percentages:
Portfolio | Expected Return (10%) | Standard Deviation (%) | Beta |
A | 10 | 30 | 0.75 |
B | 15 | 25 | 1 |
C | 18 | 40 | 0.8 |
M | 10 | 15 | 1 |
F | 4 | 0 | 0 |
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