UIUC FIN 300 Portfolio Expexted Return page 73

UIUC FIN 300 Portfolio Expexted Return page 73 - 0.500 Bust...

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UNIVERSITY OF ILLINOIS College of Business - Department of Finance Finance 300 (Financial Markets) Page 73 Portfolio Example Stock Fund Scenario P r s P * r s r s - E ( r) s P * [(r s - E ( r) s )] 2 Boom 0.25 30.00 7.50 19.000 90.250 Normal 0.50 12.00 6.00 1.000 0.500 Bust 0.25 -10.00 -2.50 -21.000 110.250 E ( r) s 11.00 P * [(r s - E ( r))] 2 = Var 201.000 σ s 14.177 Bond Fund Scenario P r b P * r b r b - E ( r) b P * [(r b - E ( r) b )] 2 Boom 0.25 -2.00 -0.50 -6.000 9.000 Normal 0.50 5.00 2.50 1.000
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Unformatted text preview: 0.500 Bust 0.25 8.00 2.00 4.000 4.000 E ( r) b 4.00 P * [(r b- E ( r))] 2 = Var 13.500 b 3.674 Portfolio Scenario P r s * r b (r s * r b ) * P [r s - E ( r) s ] * [r b- E ( r) b ] P * {[r s- E ( r) s ] * [r b- E ( r) b ] } Boom 0.25-60-15-114-28.5 Normal 0.50 60 30 1 0.5 Bust 0.25-80-20-84-21 E ( r) s,b = -5.00 COV s,b = -49.00 = COV s,b / ( , )-0.94066...
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This note was uploaded on 04/06/2008 for the course FIN 300 taught by Professor Jackson during the Fall '07 term at University of Illinois at Urbana–Champaign.

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