Input Data Alpha Beta Residual Standard Deviation Market Data Expected Return Standard Deviation Required: Vought Hammer Roxxon International LexCorp Industries Energy 1.20% 0.60% 1.60% 2.50% 0.877 1.015 1.63 1.25 21.70% 14.80% 21.30% 25.70% S&P 500 Treasury Bills 12.00% 24.00% 3.00% 0.00% Note: Use cells A2 to C11 from the given information to complete this question. Using the information in the table above, using the Treynor-Black model, please take all necessary steps to create an optimal risky portfolio, including discovering initial individual weights and the beta-adjusted active portfolio weight. Then, calculate the risk premium and variance of the optimal risky portofolio. Active Positions Initial Position (Not Scaled) Scaled Initial Position Vought International Hammer Roxxon LexCorp Industries Energy 25.48% 27.39% 35.27% 37.85% 20.23% 21.74% 27.99% 30.04%
Input Data Alpha Beta Residual Standard Deviation Market Data Expected Return Standard Deviation Required: Vought Hammer Roxxon International LexCorp Industries Energy 1.20% 0.60% 1.60% 2.50% 0.877 1.015 1.63 1.25 21.70% 14.80% 21.30% 25.70% S&P 500 Treasury Bills 12.00% 24.00% 3.00% 0.00% Note: Use cells A2 to C11 from the given information to complete this question. Using the information in the table above, using the Treynor-Black model, please take all necessary steps to create an optimal risky portfolio, including discovering initial individual weights and the beta-adjusted active portfolio weight. Then, calculate the risk premium and variance of the optimal risky portofolio. Active Positions Initial Position (Not Scaled) Scaled Initial Position Vought International Hammer Roxxon LexCorp Industries Energy 25.48% 27.39% 35.27% 37.85% 20.23% 21.74% 27.99% 30.04%
Accounting Information Systems
11th Edition
ISBN:9781337552127
Author:Ulric J. Gelinas, Richard B. Dull, Patrick Wheeler, Mary Callahan Hill
Publisher:Ulric J. Gelinas, Richard B. Dull, Patrick Wheeler, Mary Callahan Hill
Chapter15: Integrated Production Processes (ipps)
Section: Chapter Questions
Problem 4P
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