Expected return of portfolio formula
Expected Return Formula | Calculator (Excel template)
Expected Return of a Portfolio . is the weighted sum of the individual returns from the securities making up the portfolio: Ex ante expected return. calculations are based on probabilities of the future states of nature and the expected return in each state of nature.
[DOC File]Risk and Return
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Calculate the expected return for stock A and stock B. Calculate the total risk (variance and standard deviation) for stock A and for stock B. Calculate the expected return on a portfolio consisting of equal proportions in both stocks. Calculate the expected return on a portfolio consisting of 10% invested in stock A and the remainder in stock B.
[DOC File]Problem 1:
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Portfolio Rate of Return. Portfolio Expected ROR Formula: rP * = r1 x1 + r2 x2 + r3 x3 + … + rn xn . Stock (Investment) Portfolio Risk Formula: p = √ XA2 σ A 2 +XB2 σ B 2 + 2 (XA XB σ A σ B AB) Efficient Portfolios: rP * = xA rA + xB rB + xC rC
[DOC File]Chapter Twelve - NYU
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Portfolio Problem. Use the following two portfolios to answer parts one to four. Portfolio Expected Return Standard Deviation Bond Portfolio 6% 10% Stock 13% 30% If the correlation coefficient (() is -0.40 for these two risky assets, what is the minimum variance portfolio you can construct?
[DOC File]RETURN CALCULATIONS
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h. The expected return on a portfolio. p, is simply the weighted-average expected return of the individual stocks in the portfolio, with the weights being the fraction of total portfolio value invested in each stock. The market portfolio is a portfolio consisting of all stocks. i. Correlation is the tendency of two variables to move together.
[DOC File]Minimum Variance Portfolio Weight
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Let’s vary the weights (proportions of X and Y) of this portfolio, and observe what happens to E(R. p) and p (expected return and standard deviation of the portfolio). Case 1: Correlation ( X ,Y ) = 1
[DOC File]1
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Its expected return must be . The portfolio interpretation: where is the expected return on a portfolio with one unit of factor k risk and no other risk and fully diversified) is valid if Qn is non-singular in the limit. This makes precise our loose “sufficiently different” phrase in an economy with residual risk.
[DOC File]Lecture 1: Risk and Risk Aversion
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The proportion of the portfolio expected return attributable to Asset i is = . These are the asset weighting factors. Now, let K = and let . U = . We are creating a linear combination of random variables, where the random variables are the expected 1-day returns for each asset, and the coefficients are the asset weighting factors.
[DOC File]The Mathematics of Value-at-Risk
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The expected return and standard deviation of returns for loan B are 12 percent and 20 percent, respectively. a. If the covariance between A and B is .015 (1.5 percent), what are the expected return and standard deviation of this portfolio? Expected return = 0.5(10%) + 0.5(12%) = 11 percent
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