Calculate the expected return and standard deviation, Financial Management

Benjamin Tang currently has holdings in the following three companies:

                                                                            E(R)                      σ                    β

Vivian Tam & Yuanyuan Wang Technologies (X)       14%                   16%                 2.0

Vivien Wang & Danny Dong Ltd. (Y)                        12%                   14%                 1.6

Omar Salahuddin & Philip Viegas Inc. (Z)                10%                   11%                 1.2

Coefficient of Correlation                                     ρxy = -0.4         ρxz = 0.6          ρyz = -0.7

a. What would be the expected return, standard deviation, and β for the following portfolios:

  Portfolio A                $20,000 in X and $30,000 in Y?

  Portfolio B                $35,000 in Y and $15,000 in Z?

Which one is the better portfolio and why?

b. Assuming normal distribution, determine the range within which approximately 95% of the portfolio A's returns will fall?

Posted Date: 4/5/2013 5:49:03 AM | Location : United States







Related Discussions:- Calculate the expected return and standard deviation, Assignment Help, Ask Question on Calculate the expected return and standard deviation, Get Answer, Expert's Help, Calculate the expected return and standard deviation Discussions

Write discussion on Calculate the expected return and standard deviation
Your posts are moderated
Related Questions

what are the arguments in favour of profit maximization?

What creates the APV capital budgeting framework useful for analyzing foreign capital expenditures? The APV framework is a value - additivity method. Since international projects

what are the types of non-statuary reports?

PARTICIPANTS IN THE SECONDARY MARKET The players in the secondary capital market include: Individual Investors (Public). Companies. Mutual funds. Financial Insti

How do mergers affect communities? A: While a locally controlled bank is merged into a bank headquartered somewhere else (an out-of-market merger), a few apprehension about the i

Embedded Options  is a provision in the indenture that gives the issuer and/or the bondholder an option to take action against the other party.

Explain Swap Dealer A swap dealer is a market maker of swaps and predicts a risk position in matching opposite sides of a swap and in making sure that every counterparty fulfil

Explain the concept of the Sharpe performance measure. Answer:  The Sharpe performance measure abbreviated as SHP is a risk-adjusted performance measure. It is denoted as the mea

Profit maximisation criterion Profit maximisation criterion is unsuitable and inappropriate as an operational objective of financing, investment and dividend decisions of a fi