You have advised an investment portfolio to Mr. Verrych who has a wealth of 1 million EUR, and the portfolio manager who works with you has come up with the following pattern of monthly returns:

In the meantime, the risk-free rate at which the client can invest is 1.5%/year

a. What is the expected wealth, premium and risk premium of Mr. Verrych for a one-year horizon?

b. If the client reinvests all income in the same portfolio at the end of the year, what return is he/she expected to achieve in 5 years?

c. Indeed, this portfolio corresponds to a UCITS commercialized by the bank. What kind of SRRI is the fund likely to achieve? You may inspire yourself from the following table:

d. Do you believe that the reward-to-variability ratio of the portfolio is attractive?

Question A (6 points) You have advised an investment portfolio to Mr. Verrych who has a wealth of 1 million EUR, and the portfolio manager who works with you has come up with the following pattern of monthly returns: probability excellent good average poor catastrophic 10% 20% 35% 25% 10% return 4% 2% 1% - 1% -3% In the meantime, the risk-free rate at which the client can invest is 1.5%/year a. What is the expected wealth, premium and risk premium of Mr. Verrych for a one-year horizon? b. If the client reinvests all income in the same portfolio at the end of the year, what return is he/she expected to achieve in 5 years? c. Indeed, this portfolio corresponds to a UCITS commercialized by the bank. What kind of SRRI is the fund likely to achieve? You may inspire yourself from the following table: 1 O.SK Risk Anulined Volatility Interval Scale Ecuador Above Less than U 0.0% 0.5% 2 2% 3 2% 5% 5% 10% 10% 15% 15% 25% 25% *Funds marked with the symbol indicate that there is currently insufficient data available to calculate an SRRI d. Do you believe that the reward-to-variability ratio of the portfolio is attractive? Question A (6 points) You have advised an investment portfolio to Mr. Verrych who has a wealth of 1 million EUR, and the portfolio manager who works with you has come up with the following pattern of monthly returns: probability excellent good average poor catastrophic 10% 20% 35% 25% 10% return 4% 2% 1% - 1% -3% In the meantime, the risk-free rate at which the client can invest is 1.5%/year a. What is the expected wealth, premium and risk premium of Mr. Verrych for a one-year horizon? b. If the client reinvests all income in the same portfolio at the end of the year, what return is he/she expected to achieve in 5 years? c. Indeed, this portfolio corresponds to a UCITS commercialized by the bank. What kind of SRRI is the fund likely to achieve? You may inspire yourself from the following table: 1 O.SK Risk Anulined Volatility Interval Scale Ecuador Above Less than U 0.0% 0.5% 2 2% 3 2% 5% 5% 10% 10% 15% 15% 25% 25% *Funds marked with the symbol indicate that there is currently insufficient data available to calculate an SRRI d. Do you believe that the reward-to-variability ratio of the portfolio is attractive