investment management

Nyuneov2018
timer Asked: Dec 4th, 2018

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I nee help with the problems........................................................................................................................................

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FIN3400 Problems for Chapter 7 and Chapter 8 Chapter 7 1. Asset A has expected return of 8% and risk of 12%. Asset B has expected return 13% and risk of 20%. Construct an Excel table showing the portfolio return and risk by changing the portfolio weight changing from 0% to 100% in Asset B, with increment of 10%. Assuming the correlation coefficient between the two is -0.5, 0 and 0.7. 2. The market portfolio has expected return of 12% and risk of 19%, and the risk free rate is 5%. According to the CML, what is the portfolio weight for the risky market portfolio if an investor wants to achieve 8.5% return? What about 16.2%? And 19% return? Chapter 8 1. The risk free rate is 3%. Asset A has beta of 0.8 and expected return of 11%. If asset B has expected return 15%, what must be the beta for Asset B? 2. The market portfolio has expected return of 10% and the risk free rate is 4%. CPSS has expected return of 16%. What must be the beta for CPSS? 3. Your portfolio has 4 stocks, A, B, C and D. Their beta are 1.5, 0.9, 1.15 and 0.65. If you have equal weight on each of the assets, what is your portfolio beta? What do you expect your portfolio performance compared to the market portfolio? 4. You’re the portfolio manager of a large company. You have an average performance of 13.5% return and risk of 22.5% a year. Your portfolio has beta value of 0.88. The risk free rate is 5% and market return is 12.5%. What is your Alpha, Treynor Ratio and Sharpe Ratio? 5. The market portfolio has expected return of 11% and risk free rate is 3.5%. You estimated that IBM’s stock price will be $185 by the end of next year and the company will pay $5 in dividend. The beta for IBM is 1.2. You also estimated that AAPL’s stock price will be $135 next year and AAPL will pay $3 in dividend for the next twelve months, and the beta for AAPL is 0.95. The current price for IBM is $170 and AAPL is $125. What would you recommend concerning these two stocks?
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