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Module 4 Class Problems.pdf - FIN 5437: Asset Valuation,...

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FIN 5437: Asset Valuation, Risk, and ReturnModule 41.You are given the following information concerning the returns for Security J over thecoming year.As you can calculate, the standard deviation is 3.7416574 percent.Basedon this information, and assuming the actual distribution is normal, calculate theprobability that the actual return will be between 10 percent and 20 percent.StateProbabilityReturn J120.00%10.00%240.00%15.00%340.00%20.00%A.66.17%B.69.70%C.73.23%D.76.76%*E.80.29%
CLASS PROBLEMS, FIN 5437COPYRIGHT © JOHN BANKO 2020
2.You are given the following covariance matrix for Securities A, B, and C.Now assumethat you create a portfolio by putting 40 percent of your funds in Security A and 60percent of your funds in Security C.Given this information, determine the variance ofthe resulting portfolio.Covariance MatrixSecuritiesABA0.0500.0230.034B0.0230.0400.048C0.0340.0480.060C
CLASS PROBLEMS, FIN 5437COPYRIGHT © JOHN BANKO 2020

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Term
Spring
Professor
Joel Houston
Tags
Variance, John Banko

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