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Greta has risk aversion of A = 3 when applied to return on wealth over a one-year horizon. She is pondering two portfolios, the S&P 500 and a hedge fund, as well as a number of one-year strategies. (All rates are annual and continuously compounded.) The S&P 500 risk premium is estimated at 7% per year, with a standard deviation of 20%. The hedge fund risk premium is estimated at 10% with a standard deviation of 35%. The returns on both of these portfolios in any particular year are uncorrelated with its own returns in other years. They are also uncorrelated with the returns of the other portfolio in other years. The hedge fund claims the correlation coefficient between the annual return on the S&P 500 and the hedge fund return in the same year is zero, but Greta is not fully convinced by this claim. What should be Greta's capital allocation? (Do not round your intermediate calculations. Round your answers to 2 decimal places.)
S&P %
Hedge %
Risk-free asset %
A health impact assessment (HIA), described in Chapter 4 of your textbook, is a process for describing and estimating the effects a proposed project or policy may have on the health of a population. For this assignment, imagine you asked asked to ..
Janice wants to send her parents on a cruise for their 25th anniversary. She has valued the cruise at $15,000 and she has five years to accumulate this money.
Suppose the current spot rate for the Swiss Franc is $0.5925. The premium on a call option with an exercise price of $0.5675 is $0.0373. What is the intrinsic value of one contract size of Swiss Franc 62,500 call option?
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The manager of Sensible Essentials conducted an excellent seminar explaining debt and equity financing and how firms should analyze their cost of capital. Nevertheless, the guidelines failed to fully demonstrate the essence of the cost of debt and..
update us on your portfolio results to date. have you made changes? for any changes you wish to make you can assume the
Calculate the standard deviation of Pelle's portfolio, where he has invested 50 % of his money in Axfood and 50 % in Telia Sonera.
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