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    Performance Evaluation and Risk Management: deviation, probabilities, allocation

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    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?

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    Solution Summary

    The solutions provide the formulas used to calculate the answers to the questions.