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Chapter_10

Chapter_10 - Chapter 10 Problems 1-39 Input boxes in tan...

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Chapter 10 Problems 1-39 Input boxes in tan Output boxes in yellow Given data in blue Calculations in red Answers in green NOTE: Some functions used in these spreadsheets may require that the "Analysis ToolPak" or "Solver Add-in" be installed in Excel. To install these, click on "Tools|Add-Ins" and select "Analysis ToolPak" and "Solver Add-In."

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Chapter 10 Question 1 Input area: Shares of A 70 Share price of A \$40.00 Shares of B 110 Share price of B \$22.00 Output area: Weight of A = 0.5364 Weight of B = 0.4636
Chapter 10 Question 2 Input area: Stock A \$ value \$1,200 Stock A E(R) 11.00% Stock B \$ value \$1,900 Stock B E(R) 16.00% Output area: Weight of A = 0.3871 Weight of B = 0.6129 Portfolio E(R) = 14.06%

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Chapter 10 Question 3 Input area: Weight of X 50.00% Weight of Y 30.00% Weight of Z 20.00% Stock X E(R) 11.00% Stock Y E(R) 17.00% Stock Z E(R) 14.00% Output area: Portfolio E(R) = 13.40%
Chapter 10 Question 4 Input area: Portfolio value \$10,000 Stock X E(R) 14.00% Stock Y E(R) 9.00% Portfolio E(R) 12.20% Output area: Weight of Stock X = 0.6400 Weight of Stock Y = 0.3600 Dollar in Stock X = \$6,400.00 Dollars in Stock Y = \$3,600.00

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Chapter 10 Question 5 Input area: State Probability Return Recession 0.20 (0.05) Normal 0.50 0.12 Boom 0.30 0.25 Output area: State Probability Return Product Recession 0.20 (0.05) (0.0100) Normal 0.50 0.12 0.0600 Boom 0.30 0.25 0.0750 Expected return 0.1250
Chapter 10 Question 6 Input area: State Probability Stock A Stock B Recession 0.10 0.06 (0.20) Normal 0.60 0.07 0.13 Boom 0.30 0.11 0.33 Output area: Stock A Probability Return Product Product Recession 0.10 0.06 0.0060 (0.0210) 0.00044 0.0000441 Normal 0.60 0.07 0.0420 (0.0110) 0.00012 0.0000726 Boom 0.30 0.11 0.0330 0.0290 0.00084 0.0002523 E(R) = 0.0810 Variance = 0.00037 Standard Deviation = 1.92% Stock B Probability Return Product Product Recession 0.10 (0.20) (0.0200) (0.3570) 0.12745 0.0127449 Normal 0.60 0.13 0.0780 (0.0270) 0.00073 0.0004374 Boom 0.30 0.33 0.0990 0.1730 0.02993 0.0089787 E(R) = 0.1570 Variance = 0.02216 Standard Deviation = 14.89% Return Deviation Squared Deviation Return Deviation Squared Deviation

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Chapter 10 Question 7 Input area: State Probability Stock A Depression 0.10 -0.045 Recession 0.20 0.044 Normal 0.50 0.120 Boom 0.20 0.207 Output area: Stock A Probability Return Product Product Depression 0.10 -0.05 (0.0045) (0.1507) 0.02271 0.002271049 Recession 0.20 0.04 0.0088 (0.0617) 0.00381 0.000761378 Normal 0.50 0.12 0.0600 0.0143 0.00020 0.000102245 Boom 0.20 0.21 0.0414 0.1013 0.01026 0.002052338 E(R) = 0.1057 Variance = 0.00519 Standard Deviation = 7.20% Return Deviation Squared Deviation
Chapter 10 Question 8 Input area: Weight of G 20.00% Weight of J 70.00% Weight of K 10.00% Stock G E(R) 8.00% Stock J E(R) 15.00% Stock K E(R) 24.00% Output area: Portfolio E(R) = 14.50%

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Chapter 10 Question 9 Input area: State Probability Stock A Stock B Stock C Recession 0.70 0.07 0.15 0.33 Boom 0.30 0.13 0.03 (0.06) a. weights 0.33 0.33 0.33 b. weights 0.20 0.20 0.60 Output area: a. Stock A Probability Product Recession 0.70 0.1833 0.1283 Boom 0.30 0.0333 0.0100 E(R) = 0.1383 b. Stock A Probability Return Product Product Recession 0.70 0.2420 0.1694 0.0738 0.00545 0.003812508 Boom 0.30 (0.0040) (0.0012) (0.1722) 0.02965 0.008895852 E(R) = 0.1682 Variance = 0.012708 Portfolio Return Return Deviation Squared Deviation
Chapter 10 Question 10 Input area: State Probability Stock A Stock B Stock C Boom 0.30 0.30 0.45 0.33 Good 0.40 0.12 0.10 0.15 Poor 0.25 0.01 (0.15) (0.05) Bust 0.05 (0.06) (0.30) (0.09) weights 0.30 0.40 0.30 Output area: Stock A Probability Product Product Boom 0.30 0.369 0.1107 0.2362 0.05577 0.0167300468 Good 0.40 0.121 0.0484 (0.0119) 0.00014 0.000056169 Poor 0.25 (0.072) (0.0180) (0.2049) 0.04196 0.0104908806 Bust 0.05 (0.165) (0.0083) (0.2979) 0.08871 0.0044357311 E(R) = 0.1329 Variance = 0.03171 Standard Deviation = 17.81% Portfolio Return Return Deviation Squared Deviation

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Chapter 10 Question 11 Input area: Weight of Q 25.00% Weight of R 20.00% Weight of S 15.00% Weight of T 40.00% Beta of Q 0.60 Beta of R 1.70 Beta of S 1.15 Beta of T 1.34 Output area: Portfolio E(R) = 1.20
Chapter 10 Question 12 Input area: Weight of risk-free 33.33%

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