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Consider that you have $4,332,989 to invest across three assets using the price weighted methodology. Your analysis of these assets has provided the information in
Consider that you have $4,332,989 to invest across three assets using the price weighted methodology. Your analysis of these assets has provided the information in the two tables below. To 2 decimal places answer the following questions. (Note: numbers in red are negative) I Asset Price at beginning of the year (in S) Expected price at the end of the year (in $) Standard deviation (%) Correlation Column totals Portfolio Variance Portfolio Standard Deviation A B C A 1.00 -0.12 0.78 A A 15.55 18.22 36.40 B -0.12 1.00 0.44 B 137.22 164.77 B 41.50 0.78 0.44 1.00 Required a. What is the expected compound annual growth rate of return for this portfolio, in percentage terms? (1 mark) b. What is the expected continuously compounded return on this portfolio in percentage terms? (1 mark) c. In dollars and cents, what is the expected value of this portfolio after 12 months? (1 mark) d. What is the standard deviation of this portfolio, in percentage terms? (6 marks) Hint: I suggest you copy the table below into your notes and use it to calculate your answer - one number has been given to you. Note the number in red is a negative number Variance table A B C 88.14 104.12 -0.00066645 32.10 C
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