BEAM047-Exam Paper_BEAM047R-AUG22 (1).pdf - Adobe Acrobat Reader DC (64-bit) File Edit View Sign Window Help Home Tools 26C Sunny BEAM047-Exam_Pa... x 2 / 4 125% wwww The possible returns of stocks A, B and C in the next period are: Economic Probability Return of A Return of B Return of C state 1 25% 20% 10% -5% 2 35% 15% 20% 15% 3 40% -10% -8% 6% 0 Sign In Search 'Rotate Page' Export PDF Adobe Export PDF Convert PDF Files to Word or Excel Online Select PDF File BEAM047-Ex...22 (1).pdf x Convert to Microsoft Word (*.docx) a) Compute the expected return and the standard deviation of returns of each security. (12 marks) b) Compute the covariances and correlations between the pairs of securities. (12 marks) c) Compute the expected return and standard deviation of returns of a portfolio consisting of 20% in stock A, 40% in stock B, and 40% in stock C. (3 marks) d) Assume there is a risk-free asset with an expected return of 1% and it can be combined with only one of the 3 risky investments. What is the highest expected return you can achieve for a portfolio standard deviation of 10%? (6 marks) Document Language: English (U.S.) Change Convert Edit PDF Create PDF Comment Combine Files Organize Pages Comprocs DDC Convert, edit and e-sign PDF forms & agreements Free 7-Day Trial 15:59 12/08/2022