Question
In: Finance
In table 1.1 below, information on three stocks (X, Y and Z) in the next period...
In table 1.1 below, information on three stocks (X, Y and Z) in
the next period is stated. The stocks are traded on a financial
market, where the usual assumptions for a normal market are
satisfied. It is assumed, that a risk-free asset is traded on the
financial market as well, which has a return of 5% (rf) in the next
period.
Problem: Determine the tangent portfolio of the three stocks (i.e.
determine the weights that the three stocks have in the
portfolio)
Hint 1: Recall, that the tangency portfolio (T) is given as the
portfolio that has the largest Sharpe Ratio. To find T, you
therefore have to write up the expression for Sharpe Ratio and
maximize this in Excel or another program.
Hint 2: Recall (cf. formula 11.11), that the variance of a
portfolio’s return is given by: Var( RP ~ )= ∑= N i 1 ∑= N j 1
xixjCov( ir ~ , j r ~ ) Where xi and xj denotes de respective
portfolio weights, i,j = 1,2...N.
| Stock | Std. Deviation Of the return | Expected return | Correlation with return on Y | Correlation with return on Z |
| X | 0,2 | 0,15 | 0,8 | -0,1 |
| Y | 0,3 | 0,1 | 1 | 0,2 |
| Z | 0,25 | 0,12 | 0,2 | 1 |
| R(f) | 5% | |||
| Covariances | X | Y | Z | |
| Problem 1.1 + 1.2 | X | 0,04 | 0,048 | -0,005 |
| Y | 0,048 | 0,09 | 0,015 | |
| Z | -0,005 | 0,015 | 0,0625 | |
Solutions
jeff jeffy answered 5 months agoRelated Solutions
Use the information for securities X, Y and Z in the table below to answer parts...
Use the information for securities X, Y and Z in the table
below to answer parts a and b.
Security X
Security Y
Security Z
Expected return
8%
8%
17%
Beta
0.7
1.3
2.5
The risk-free rate is 2% and the
expected return of the market portfolio is 8%.
According to the CAPM, are these securities overpriced, fairly
priced or underpriced?
Using the CAPM, calculate the abnormal return of a portfolio
that takes a long position in security X by...
Use the information for securities X, Y and Z in the table below to answer parts...
Use the information for securities X, Y and Z in the table below
to answer parts a and b:
Security X
Security Y
Security Z
Expected return
8%
8%
17%
Beta
0.7
1.3
2.5
The risk-free rate is 2% and the
expected return of the market portfolio is 8%.
According to the CAPM, are these securities overpriced, fairly
priced or underpriced?
Using the CAPM, calculate the abnormal return of a portfolio
that takes a long position in security X by...
If X, Y and Z are three arbitrary vectors, prove these identities: a. (X×Y).Z = X.(Y×Z)...
If X, Y and Z are three arbitrary vectors, prove these
identities:
a. (X×Y).Z = X.(Y×Z)
b. X×(Y×Z) = (X.Z)Y – (X.Y)Z
c. X.(Y×Z) = -Y.(X×Z)
Below is part of my code to sort table of x,y,z cordinates using x,y with qsort....
Below is part of my code to sort table of x,y,z cordinates using
x,y with qsort. I can read all the data into *xyz part of the
structure and allocate memory, I keep getting errors on line 7,
"read access violation". I would take any help...Thanks
typedef struct
{
int x;
int y;
int z;
} Coordinates;
typedef Coordinates * xyz;
int compare(const void *p1, const void *p2)
{
const xyz num1 = *(const...
The table below shows annual returns for stocks of companies X and Y. Calculate the arithmetic...
The table below shows annual returns for stocks of companies X
and Y. Calculate the arithmetic average returns. In addition,
calculate their variances, as well as their standard
deviations.
Returns
Year
X
Y
1
11 %
19 %
2
29
40
3
18
-9
4
-19
-23
5
20
48
Requirement 1:
(a)
The arithmetic average return of company X's stock is:
(Click to
select) 11.80% 9.56% 13.33% 14.75% 14.40%
(b)
The...
For each of the formulas below, state whether it is true or false. a) pX,Y,Z(x,y,z)=pY(y)pZ∣Y(z∣y)pX∣Y,Z(x∣y,z) ...
For each of the formulas below, state whether it is true or
false.
a) pX,Y,Z(x,y,z)=pY(y)pZ∣Y(z∣y)pX∣Y,Z(x∣y,z)
Select an option
True
False
b) pX,Y∣Z(x,y∣z)=pX(x)pY∣Z(y∣z)
Select an option
True
False
c) pX,Y∣Z(x,y∣z)=pX∣Z(x∣z)pY∣X,Z(y∣x,z)
Select an option
True
False
d) ∑xpX,Y∣Z(x,y∣z)=1
Select an option
True
False
e) ∑x∑ypX,Y∣Z(x,y∣z)=1
Select an option
True ...
question 8 parts a-e a Returns on stocks X and Y are listed below: Period 1...
question 8 parts a-e
a
Returns on stocks X and Y are listed below:
Period
1
2
3
4
5
6
7
Stock X
8%
0%
3%
-2%
5%
12%
7%
Stock Y
5%
-2%
4%
7%
1%
12%
-3%
What is the correlation of returns on the two
stocks?
Please round your answer to the nearest hundredth.
Note that the correct answer will be evaluated based on the
full-precision result you would obtain using Excel.
b
Returns on stocks...
The full three-dimensional Schrödinger equation is −ℏ22m(∂2∂x2ψ(x,y,z)+∂2∂y2ψ(x,y,z)+∂2∂z2ψ(x,y,z))+U(x,y,z)ψ(x,y,z)=Eψ(x,y,z). By using the substitutions from the introduction, this becomes...
The full three-dimensional Schrödinger equation is
−ℏ22m(∂2∂x2ψ(x,y,z)+∂2∂y2ψ(x,y,z)+∂2∂z2ψ(x,y,z))+U(x,y,z)ψ(x,y,z)=Eψ(x,y,z).
By using the substitutions from the introduction, this
becomes
−ℏ22m(∂2∂x2ψxψyψz+∂2∂y2ψxψyψz+∂2∂z2ψxψyψz)+(Ux+Uy+Uz)ψxψyψz=Eψxψyψz
What is ∂2∂x2ψxψyψz? To make entering the expression easier, use
D2x in place of d2ψxdx2, D2y in place of d2ψydy2, and D2z in place
of d2ψzdz2.
Answer in terms of ψx,ψy,ψz,D2x,D2y,andD2z
Returns on stocks X and Y are listed below: Period 1 2 3 4 5 6...
Returns on stocks X and Y are listed below:
Period
1
2
3
4
5
6
7
Stock X
3%
-2%
9%
6%
-1%
-4%
11%
Stock Y
1%
-4%
7%
12%
3%
-2%
-1%
Consider a portfolio of 20% stock X and 80% stock Y.
What is the (population) variance of portfolio
returns?
Please round your answer to six decimal places.
Note that the correct answer will be evaluated based on the
full-precision result you would obtain using Excel.
Returns on stocks X and Y are listed below: Period 1 2 3 4 5 6...
Returns on stocks X and Y are listed below:
Period
1
2
3
4
5
6
7
Stock X
5%
6%
-2%
-4%
6%
10%
7%
Stock Y
1%
-3%
6%
3%
12%
7%
-5%
Consider a portfolio of 40% stock X and 60% stock Y.
What is the (population) variance of portfolio
returns?
Please round your answer to six decimal places.
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