Question
In: Accounting
A portfolio manager summarizes the input from the macro and micro forecasters in the following table....
A portfolio manager summarizes the input from the macro and micro forecasters in the following table.
|
Micro Forecasts |
|||
|
Assets |
Expected Return (%) |
Beta |
Residual Standard deviation (%) |
|
Stock A |
20% |
1.30 |
58.0% |
|
Stock B |
18% |
1.80 |
71.0% |
|
Stock C |
17% |
0.70 |
60.0% |
|
Stock D |
12% |
1.00 |
55.0% |
|
Macro Forecasts |
|||
|
Asset |
Expected Return (%) |
Beta |
Residual Standard deviation (%) |
|
T-bills |
8% |
0.00 |
0% |
|
Passive Portfolio(M) |
16% |
1 |
23% |
- Calculate expected excess returns, alpha values, and residual variances for these stocks.
- Construct the optimal risk portfolio, which is composed of risk-free rate, passive market portfolio and active portfolio of Stock A-D.
- What is the Sharpe Ratio for the Optimal Portfolio that you find in Part b?
- By how much did the position in the active portfolio improve the Sharpe ratio compared to a purely passive index strategy?
- What should be the exact components of the complete optimal Portfolio for an investor with a coefficient of risk aversion of 2.8?
Solutions
Expert Solution
Refer to the below images for the above asked questions , in a detailed solution.
ekkarill92 answered 2 years agoRelated Solutions
A portfolio manager summarizes the input from the macro and micro forecasters in the following table:...
A portfolio manager summarizes the input from the macro and
micro forecasters in the following table:
Micro Forecasts
Asset
Expected Return (%)
Beta
Residual Standard Deviation (%)
Stock A
24
0.7
57
Stock B
14
1.1
71
Stock C
12
0.5
63
Stock D
10
0.6
52
Macro Forecasts
Asset
Expected Return (%)
Standard Deviation (%)
T-bills
7
0
Passive equity portfolio
14
25
Calculate the following for a portfolio manager who is not allowed
to short sell securities. The...
A portfolio manager summarizes the input from the macro and micro forecasters in the following table:...
A portfolio manager summarizes the input from the macro and
micro forecasters in the following table: Micro Forecasts Asset
Expected Return (%) Beta Residual Standard Deviation (%) Stock A 25
0.8 52 Stock B 19 1.2 61 Stock C 16 0.6 55 Stock D 12 0.7 47 Macro
Forecasts Asset Expected Return (%) Standard Deviation (%) T-bills
8 0 Passive equity portfolio 18 26 a. Calculate expected excess
returns, alpha values, and residual variances for these stocks.
(Negative values should...
A portfolio manager summarizes the input from the macro and micro forecasters in the following table:...
A portfolio manager summarizes the input from the macro and
micro forecasters in the following table:
Micro Forecasts
Asset
Expected Return (%)
Beta
Residual Standard
Deviation (%)
Stock A
22
1.5
60
Stock B
19
1.8
72
Stock C
18
1.0
61
Stock D
13
1.0
56
Macro Forecasts
Asset
Expected Return (%)
Standard Deviation (%)
T-bills
9
0
Passive equity portfolio
17
23
a. Calculate expected excess returns, alpha
values, and residual variances for these stocks. (Negative
values should...
A portfolio manager summarizes the input from the macro and micro forecasters in the following table:...
A portfolio manager summarizes the input from the macro and
micro forecasters in the following table:
Micro Forecasts
Asset
Expected Return (%)
Beta
Residual Standard
Deviation (%)
Stock A
25
0.8
52
Stock B
19
1.2
61
Stock C
16
0.6
55
Stock D
12
0.7
47
Macro Forecasts
Asset
Expected Return (%)
Standard Deviation (%)
T-bills
8
0
Passive equity portfolio
18
26
a. Calculate expected excess returns, alpha
values, and residual variances for these stocks.
(Negative values...
The Titanic Used the data in the following table, which summarizes results from the sinking of...
The Titanic Used the data in the following table, which
summarizes results from the sinking of the titanic.
Men
Women
Boys
Girls
Survived
332
318
29
27
Died
1360
104
35
18
If one of the Titanic passengers is randomly selected, find the
probability of getting someone who is a women or survivor.
If one of the Titanic passengers is randomly selected, find the
probability of getting a man and someone who survived the
sinking.
If one of the Titanic...
3. The following frequency table summarizes the distances in miles of 120 patients from a regional...
3. The following frequency table summarizes the distances in
miles of 120 patients from a regional hospital. Distance Frequency
0-4 40 4-8 30 8-12 20 12-16 20 16-20 10 Calculate the sample
variance and standard deviation for this data (since it is a case
of grouped data- use group or class midpoints in the formula in
place of X values, and first calculate the sample mean).
The following frequency table summarizes the distances in miles of 100 patients from a regional hospital....
The following frequency table summarizes the distances in miles
of 100 patients from a regional hospital.
Distance Frequency
0-4 20
4-8 25
4-12 30
12-16 20
16-24 5
Calculate the sample variance and standard deviation for this
data (since it is a case of grouped data- use group or class
midpoints in the formula in place of X values, and first calculate
the sample mean)
The following table summarizes the results from a two-factor study with 3 levels of Factor A...
The following table summarizes the results from a two-factor
study with 3
levels of Factor A and 4 levels of Factor B using a separate
sample of 5
participants in each treatment condition. Fill in the missing
values. Make
sure to show your work.
Source
SS
df
MS
F
Between
treatments
650
Factor A
5
0
Factor B
AxB
interaction
120
Within treatments
2
5
Total
The following table summarizes results from 985 pedestrian deaths that were caused by accidents (based on...
The following table summarizes results from 985 pedestrian
deaths that were caused by accidents (based on data from the
National Highway Traffic Safety Administration).
If the pedestrian was intoxicated, find the probability that the
driver was intoxicated. Round to two decimals.
pedestrian intoxicated
yes
no
driver intoxicated
yes
59
79
no
266
581
Use the data in the accompanying table that summarizes results from a clinical trial of a...
Use the data in the
accompanying table that summarizes results from a clinical trial of
a drug. Let A = Drug Treatment, B = Placebo
headache
No Headache
total
Drug Treatment (A)
122
585
707
Placebo ( B)
28
672
700
Total
150
1257
1407
Answer the
following:
1. Find the
probability that patient under treatment p(A)
2. Find p(B)
3. Find the
probability a patient has a headache
4. Find the
probability a patient has a headache and he...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- In SSL and TLS, why is there a separate Change Cipher Spec Protocol rather than including...
- All else being equal, would you prefer to work in a tall or flat organization? Why?...
- Assume the total cost of a college education will be $375,000 when your infant child enters...
- draft a sales pitch of MPO Fenêtres company in 200-250 words.
- Write the balanced equation for the combustion of aqueous citric acid. Determine the standard molar enthalpy...
- Java Part 2 of 4 - Amusement Park Programming Project MUST BE COMPATIBLE WITH PART 1...
- Show that any number that ends in 9 if squared ends at 1.
ADVERTISEMENT