Worksheet11 - 0.50 15% 2% 0.0112500 Boom 0.25 35% #NAME?...

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Expected Return E(R) Stock A Stock B State (i) p(i) E(Ra) p(i) x E(Ra) E(Rb) p(i) x E(Rb) Recession 0.25 -20% -5.0% 30% 7.5% Neutral 0.50 15% 7.5% 15% 7.5% Boom 0.25 35% 8.8% -10% -2.5% E(R) 1.00 11.3% 12.5%
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Portfolio Dev Dev^2 x p(i) State (i) p(i) E( R ) Recession 0.25 #NAME? #NAME? #NAME? #NAME? Neutral 0.50 #NAME? #NAME? #NAME? #NAME? Boom 0.25 #NAME? #NAME? #NAME? #NAME? E(R) 1.00 #NAME? VAR(Pf) #NAME? Std(Pf) #NAME?
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Stock V Stock W Stock X Stock Y Stock Z w(j) #NAME? #NAME? #NAME? #NAME? #NAME? State (i) p(i) Expected Return Recession 0.25 -20.0% 18.0% 5.0% -8.0% 4.0% Neutral 0.50 17.5% 15.0% 10.0% 11.0% 9.0% Boom 0.25 35.0% -10.0% 15.0% 16.0% 12.0% E(R) 1.00 12.5% 9.5% 10.0% 7.5% 8.5% A B C D E F G 1 2 3 4 5 6 7 8 9 10 11 12 13 14
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Portfolio #NAME? #NAME? #NAME? #NAME? #NAME? H I 1 2 3 4 5 6 7 8 9 10 11 12 13 14
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Portfolio Weights Dollars % of Pf w(j) x Asset Invested w(j) E( Rj ) E( Rj ) A $15,000 30% 12.5% 3.735% B $8,600 17% 9.5% 1.627% C $11,000 22% 10.0% 2.191% D $9,800 20% 7.5% 1.464% E $5,800 12% 8.5% 0.982% $50,200 100% 10.000%
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Stock A State (i) p(i) E(R) DEV^2 x p(i) Recession 0.25 -20% #NAME? #NAME? Neutral
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Unformatted text preview: 0.50 15% 2% 0.0112500 Boom 0.25 35% #NAME? #NAME? 1.00 Expected Return #NAME? Variance #NAME? Standard Deviation #NAME? Stock B State (i) p(i) E(R) DEV^2 x p(i) Recession 0.25 30% #NAME? #NAME? Neutral 0.50 15% 2% 0.0112500 Boom 0.25-10% #NAME? #NAME? 1.00 Expected Return #NAME? Variance #NAME? Standard Deviation #NAME? E(R) Stock A Stock B State (i) p(i) E(Ra) p(i) x E(Ra) E(Rb) p(i) x E(Rb) Recession 0.25-20%-5.0% 30% 7.5% Neutral 0.50 15% 7.5% 15% 7.5% Boom 0.25 35% 8.8%-10%-2.5% E(R) 1.00 25% 11.3% 20% 12.5% Percent One Plus Compounded Year Return Return Return: 1926 11.14 1.1114 1.1114 1927 37.13 1.3713 1.5241 1928 43.31 1.4331 2.1841 1929-8.91 0.9109 1.9895 1930-25.26 0.7474 1.4870 (1.4870)^(1/5): 1.0826 Geometric Average Return: 8.26% , 5-CPT = 8.26% . $(1.0000) / $1.4870...
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This note was uploaded on 09/09/2011 for the course BUSINESS 300 taught by Professor N/a during the Spring '09 term at DeVry Chicago.

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Worksheet11 - 0.50 15% 2% 0.0112500 Boom 0.25 35% #NAME?...

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