Copy of Risk and Return

Copy of Risk and Return - 60% 40% Oil Sensitive Stock 1...

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Unformatted text preview: 60% 40% Oil Sensitive Stock 1 Less Oil Sensitive Stoc Risk 20% Oil up a lot 25% 13% 0.01690 10% 5% 70% Oil up by x 10%-2% 0.00040 5% 0% 10% Oil down 0%-12% 0.01440 -4%-9% 12.0% std Dev 7.1% 5.1% std Dev Expected Return (Scenario return - Expected Return) Expected Return (Scenario return - Expected Return) ck 2 Portfolio Risk Risk 0.00240 19.0% 10% 0.00953 0.00000 8.0%-1% 0.00015 0.00828 -1.6%-11% 0.01175 3.6% 9.2% 5.65% 5.73% Expected Return (Scenario return - Expected Return) Utility Asset 1 4.0% 5.0% 0.036 Asset 2 5.0% 6.0% 0.045 3.00 Asset 3 5.5% 8.3% 0.045 Asset 4 3.0% 5.0% 0.026 Asset 5 4.0% 6.0% 0.035 Asset 6 6.0% 10.0% 0.045 Asset 7 3.5% 4.0% 0.033 Risk Free 1.0% 0.0% 0.010 Expected Return Risk ( ) Risk Aversion 0% 2% 4% 6% 8% 10% 12% 0% 1% 2% 3% 4% 5% 6% 7% Risk Expected Return 3.00 Utility 0.081 0.28 TOTAL Investment Portfolio Weight Risk 100% 10.2% 11.8% 11.8% 16.4% 128.1 28% 6.0% 0.0% Capital Allocation Line Risky Portfolio 12% 16% Weight in Rf Risk Utility-1 18% 33% 0.015 0....
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This note was uploaded on 06/01/2011 for the course FIN 3026W taught by Professor Drtoerien during the Summer '09 term at University of Cape Town.

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Copy of Risk and Return - 60% 40% Oil Sensitive Stock 1...

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