fi320practice

fi320practice - scenario prob R(b) r(s) E(rb) E(rs) Devb...

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Unformatted text preview: scenario prob R(b) r(s) E(rb) E(rs) Devb recc 0.3-10 20-3 6-20.6 norm 0.4 13 8 5.2 3.2 2.4 boom 0.3 28-4 8.4-1.2 17.4 ER 10.6 8 Erx Ery sdx sdy coor rf 8 14 5 12-0.5 5 wx wy E(rp) Var Std Dev 1 14 144 12 0.2 0.8 12.8 83.56 9.1411 0.4 0.6 11.6 41.44 6.4374 0.6 0.4 10.4 17.64 4.2000 0.8 0.2 9.2 12.16 3.4871 1 8 25 5 66 Optimal weight x Optimal w y 0.69 0.31 Axis Title 2 4 6 8 10 12 14 16 In E(ro) Std dev o 9.8584 3.59144 E(rc)=y*Ero+(y-1)*rf Slope o y*wy 1.35 y*wx APR= rate per period * periods in year 1+EAR=1+(APR+periods in year)^periods in year 3 4 5 Devs Devb sq devs sq Vars Varb DevS*b Cov 12 424.36 144 127.31 43.2-247.2-74.16 5.76 2.3-12 302.76 144 90.83 43.2-208.8-62.64 VAR 220.44 86.4 COV-136.8 STDEV 14.85 9.3 CORR-0.99 B nvestment Opportunity Set Column C SDc=y*Sdo 6 7 8 9 10 11 12 13 scenario p div stock price HPR ER Var boom 0.33 $2.00 $40.00 50.00% 0.17 0.0411 norm 0.33 $1.00 $33.00 21.43% 0.07 0.0014 recc 0.33 $0.50 $20.00 -26.79%-0.09 0.0579 0.1004 stock p 14.88% 1004.0096 $28.00 SD= 31.69 #17...
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This test prep was uploaded on 04/16/2008 for the course FI 320 taught by Professor Erhemjamts during the Spring '08 term at Bentley.

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fi320practice - scenario prob R(b) r(s) E(rb) E(rs) Devb...

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