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Suppose Royalty Pharma's portfolio consists of equally-weighted royalty interests in 40 approved and marketed biopharmaceutical products. Assume each royalty stream has an annualized expected return

Suppose Royalty Pharma's portfolio consists of equally-weighted royalty interests in 40 approved and marketed biopharmaceutical products. Assume each royalty stream has an annualized expected return of 6.5%, and return standard deviation of 20%.
What is the probability that Royalty Pharma's equity holders suffer a loss greater than 10% if the correlation amongst projects turns out to be 40%, instead of 10%?

Those are the previous exercises:

Suppose Royalty Pharma's portfolio consists of equally-weighted royalty interests in 40 approved and marketed biopharmaceutical products. Assume each royalty stream has an annualized expected return of 6.5%, and return standard deviation of 20%.

If the correlation amongst projects is 10%, then what is the annualized expected return of the portfolio. (Note: Your answers should be numbers in percentage form. Do not enter '%'.)

Still assuming that the correlation amongst projects is 10%, what is the return standard deviation of the portfolio. (Note: Your answers should be numbers in percentage form. Do not enter '%'.)

If the distribution of portfolio returns is given by a normal distribution, then what is the probability that Royalty Pharma's equity holders suffer a loss greater than 10%? Assume an approximately even mixture of debt and equity: $4.2 billion and $4.0 billion, respectively. In addition, for simplicity, assume the yield on Royalty Pharma's debt is 0%. (Note: Your answer should be a number in percentage form. Do not enter '%'.)

Hint: What is Royalty Pharma's leverage ratio? Also, the area in the left tail of the standard normal distribution can be found using an online calculator such as WolframAlpha.

Pleade solve this one:

What is the probability that Royalty Pharma's equity holders suffer a loss greater than 10% if the correlation amongst projects turns out to be 40%, instead of 10%?


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