Calculate the risk decomposition of portfolio manually

Assignment Help Financial Management

Reference no: EM131920767

Assume you have a portfolio of 50% Treasury 10 year (you represent it by a 10 year treasury return series). 30% in equities represented by the S&P 500 and 20% in oil represented by the time series ETF with symbol OIL.

a. Download the series into excel and determine the covariance matrix of these assets

b. Using the formula for TE we discussed in class find the TE for the portfolio above

c. Calculate the risk decomposition of this portfolio manually

d. What is the top risk contributor? Does it have the maximum weight

e. Use R functions to compute the risk decomposition as we did in class

Reference no: EM131920767

Questions Cloud

What is the present value of this firm equity : What is the present value of this firm’s equity using the three-stage dividend discount model?

Power plant that produces emissions of sulfur dioxide : A power plant that produces emissions of sulfur dioxide (SO2). Should the power plant install the scrubber and commit to using it?

Bull spread with calls : Draw a graph showing the payoff and profit for a bull spread using these options.

Calculate the interest coverage ratio for this firm : A firm issues a single level coupon bond with a face value of $1,000 and a coupon rate of 15%. Calculate the interest coverage ratio for this firm.

Calculate the risk decomposition of portfolio manually : Calculate the risk decomposition of this portfolio manually. What is the top risk contributor? Does it have the maximum weight.

Calculate sharpe measure for each of these eight funds : Calculate Sharpe’s measure for each of these eight funds and rank the eight funds from high to low performance.

Considering new three-year expansion project : Quad Enterprises is considering a new three-year expansion project that requires an initial fixed asset investment of $2.94 million.

Initial investment in fixed assets when evaluating project : What is the proper cash flow amount to use as the initial investment in fixed assets when evaluating this project?

Compound annual average rate of inflation : fill out the following spreadsheet given that the compound annual average rate of inflation has been 3 percent. Annual inflation rate 3%

User Account

All Pages