{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

UIUC FIN 300 Portfolio Expexted Return page 73

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

Info icon This preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
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
Image of page 1
This is the end of the preview. Sign up to access the rest of the document.

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 σ 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 ρ = COV s,b / ( σ,σ )-0.94066...
View Full Document

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern