Question
A stock has an annual standard deviation of 14.1 percent and an expected annual return of 11.5 percent. What is the smallest expected loss for
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A stock has an annual standard deviation of 14.1 percent and an expected annual return of 11.5 percent. What is the smallest expected loss for the next 3 months given a probability of 2.5 percent? TIP: Smallest loss= E(R) x 1/T - z x ( x (1/T). z of 2.5%=1.96
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-9.94%
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-10.94%
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-11.94%
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-13.79%
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None
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A portfolio has a beta of 1.52 and an actual return of 13.7 percent. The risk-free rate is 2.7 percent and the market risk premium is 7.8 percent. What is the value of Jensen's alpha?
TIP: Jensens alpha
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-0.66%
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-0.76%
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-0.86%
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-0.086%
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None
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You put half of your money in a stock portfolio that has an expected return of 14% and a standard deviation of 25%. You put the rest of your money in a risky bond portfolio that has an expected return of 6% and a standard deviation of 15%. The stock and bond portfolio have a correlation 0.55. The standard deviation of the resulting portfolio will be ________________.
TIP:
A. more than 18% but less than 24%
B. equal to 18%
C. more than 12% but less than 18%
D. equal to 12%
E. None
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An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20% while the standard deviation on stock B is 15%. The correlation coefficient between the return on A and B is 0%. The standard deviation of return on the minimum variance portfolio is _________.
TIP: WA= 2B/[2A + 2B] -2C0VA B where -2COVAB 0
A. 0%
B. 6%
C. 12%
D. 17%
E. none
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