08 Case model - 08 Case model 3/22/2010 7:09 Chapter 8....

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Unformatted text preview: 08 Case model 3/22/2010 7:09 Chapter 8. Risk and Rates of Return Returns on Alternative Investments T-Bills High Tech Collections Prob. Recession 10% 5.5%-27.0% 27.0% 6.0%-17.0% 0.0% Below avg. 20% 5.5%-7.0% 13.0%-14.0%-3.0% 3.0% Average 40% 5.5% 15.0% 0.0% 3.0% 10.0% 7.5% Above avg. 20% 5.5% 30.0%-11.0% 41.0% 25.0% 9.5% Boom 10% 5.5% 45.0%-21.0% 26.0% 38.0% 12.0% Expected Return 5.5% 12.4% 1.0% 9.8% 10.5% 6.7% Standard Deviation 0.0% 20.0% 13.2% 18.8% 15.2% 3.4% Coefficient of Variation 0.0 1.6 13.2 1.9 1.4 0.51 Beta 0.00 1.32-0.87 0.88 1.00 PART E weight in High Tech 50% weight in Collections 50% State of the economy Port. return Recession 0.0% Below average 3.0% Average 7.5% Above average 9.5% Boom 12.0% Portfolio return 6.70% Port. std dev 3.44% Port. CV 0.51 Correlation =-0.9995 High Tech/Collections Portfolio % in HT Exp. ret. Std. dev. 0% 1.0% 13.2% 10% 2.1% 9.9% 20% 3.3% 6.5% 30% 4.4% 3.2% 40% 5.6% 0.3% 50% 6.7% 3.4% 60% 7.8% 6.7% 70% 9.0% 10.1% 80% 10.1% 13.4% 90% 11.3% 16.7% 100%...
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This note was uploaded on 03/21/2010 for the course BUSINESS AB102 taught by Professor Woo during the Spring '10 term at Nanzan.

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08 Case model - 08 Case model 3/22/2010 7:09 Chapter 8....

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