Explore BrainMass

# Performance Evaluation and Risk Management: deviation, probabilities, allocation

This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

Please assist me with the four questions in the attached word doc (same questions as body of the posting)

2. Standard Deviation - A portfolio has an annual variance of .0420. What is the standard deviation of a two month period?

8. Normal Probabilities The probabilities that a normal random variable X is less than various values of x are 5%, 2.5%, and 1%..What are these values of x?

15. Asset Allocation Fill in the missing information assuming a correlation of -.20.
Portfolio Weights Expected Standard
Stocks Bonds Return Deviation
1.00 0.00 13% 22%
0.80 0.20
0.60 0.40
0.40 0.60
0.20 0.80
0.00 1.00 6% 9%

22. Value-at-Risk (VaR) Statistic Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 18%. Annual return standard deviations for these three stocks are 35%, 45%, and 55%. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 1 percent?