Round down to 2 places of decimals for every question. Denote rate of return and volatility in %

1. Using the information below , calculate the expected rate of return ( )

risk-free rate=2%, beta = 1.3, expected market rate of return =12%

2. The correlation between volatility of asset i and the market is -0.5, market volatility is 10%, volatility of asset i is 8%. What is beta ? ( )

3. Use the information in question 2 to get the expected rate of return. risk-free rate of return is 3%, market expected rate of return is 5%. ( )

4. Calculate volatility and lower partial moment using the data below. ( , )

Target return is 0%

rate of return : 8,3%, 6.8%, -2.4%, 12,5%, 13.2%, -0.2%, -1.3%, 10.8%, 12.5%, 9.3%

5. Calculate Sharpe ratio for the question 1. Risk free rate of return is 0% ( )

6. MAR is the same as target return, Calculate Sortino ratio ( )

7. MAR is the same as target return, Calculate Gain Loss ratio ( )

8. Conditional VaR is known to be 5%, expected rate of return is 6% and risk free rate is 1% calculate conditional sharpe ratio ( )