This question requires you to consider a three-asset portfolio valued at 10 million AUD. The portfolio consists of the following assets: AMP, Commonwealth Bank (CBA) and QBE. The variance covariance matrix of 5 day continuously compounded returns is equal to (a) Define the Value at Risk (VAR) for a portfolio. (b) Assuming portfolio weights of AMP (40%), CBA (30%), QBE (30%), calculate the 99 % 5 day relative VaR estimate (employ a z score measured to 2 decimal places) (c) Calculate the VaR diversification benefit of the portfolio.

The following data are available for two assets A and B: E(rA) =    13%         E(rB) = 15% s(rA) = 22%     s(rB) = 24% rA,B        = 0 Let WA and WB denote the proportions of funds invested in assets A and B such that WA + WB=1. If portfolio has to be a minimum risk portfolio, find the weights.

e. Calculate the Portfolio Return when you know that its composition is as follows: Asset A: Weight 25%, Return 11% Asset B: Weight 45%, Return 14% Asset C: Weight 30%, Return 16%

Consider two assets A and B with expected return as 9% and 5%, respectively. Standard deviation of Asset A is 18% and B is 4.5%. A portfolio is created with 40% in asset A and 60% in asset B. What is the expected return and standard portfolio? deviation of the Correlation between the two asset is -0.5. 6.6%,3.4% 4.5%,3.3% 6.6%,6.3% 5.5%,6.3%

Asset A offers an expected rate of return of 25%, with a standard deviation of 20%. Asset B offers an expected return of 15% with a standard deviation of 30%. The risk-free asset offers 5%. Suppose that the correlation coefficient between asset A and asset B equals 1. Please specify the portfolio weight on asset A in the optimal risky portfolio. Your answer should be a entered as a decimal rounded to two decimal places, e.g., enter 63% as 0.63.

Asset W has an expected return of 8.8 percent and a beta of .90. If the risk-free rate is 2.6 percent, complete the following table for portfolios of Asset W and a risk-free asset. (Do not round intermediate calculations. Enter your expected returns as a percent rounded to 2 decimal places, e.g., 32.16, and your beta answers to 3 decimal places, e.g., 32.161.) Percentage of Portfolio in Portfolio Expected Portfolio Asset W Return Beta 0 % % 25 % 50 % 75 % 100 % 125 % 150 % If you plot the relationship between portfolio expected return and portfolio beta, what is the slope of the line that results? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Slope of the line %

A portfolio consists of 70% of investment A and 30% of investment B. The expected returnon investment A is 7% and the expected return on investment B is 9%. The standarddeviation of returns of investment A is 2.19%. The standard deviation of returns ofinvestment B is 4.1%. The correlation coefficient of the returns of investment A andinvestment B=+1. Finda. the expected return from the portfoliob. the standard deviation (risk) of the returns from the portfolio

Given there are two assets making up a portfolio where each asset has the following characteristics: Asset Risk (standard deviation) Expected return 10% 1 4% 2 16% 11% The correlation between the two assets is -1. (a) Given that the proportion invested in each asset is 50%, compute the expected return of the portfolio. (b) Given that the proportion invested in each asset is 50%, compute the portfolio risk, i.e. standard deviation of the portfolio. (c) Without using a graph paper, scratch a diagram to illustrate the portfolio diversification. Show the portfolio risk for perfect positive correlation and perfect negative correlation. (d) If the proportion invested in asset 1 is , compute the new expected return of the portfolio. Show the new expected return in the same diagram in part (c).

Find the expected portfolio return and standard deviation if you were to invest 50% of your portfolio in Asset B, 50% in Asset C, with no allocation to Asset A. Compute your answers to the nearest tenth of a basis point. (See attached data file) We know that Asset                  A:      B:        C: expected return:                     1.16     1.35    1.38 expected standard deviation: 2.88     1.58    2.19

Asset W has an expected return of 8.8 percent and a beta of .9O. If the risk-free rate is 2.6 percent, complete the following table for portfolios of Asset W and a risk-free asset. (Do not round intermediate calculations. Enter your expected returns as a percent rounded to 2 decimal places, e.g., 32.16, and your beta answers to 3 decimal places, e.g., 32.161.) Answer is complete and correct. Percentage of Portfolio in Asset W Portfolio Expected Portfolio Return Beta % 2.60 % 25 4.15 % 0.225 50 5.70 % 0.450 75 7.25 % 0.680 100 8.80 % 0.900 125 10.35 % 1.130 150 11.90 % 1.350 you plot the relationship between portfolio expected return and portfolio beta, what is the slope of the line that results? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) If X Answer is not complete. Slope of the line