Purchase Solution

# Assessing portfolio risk

Not what you're looking for?

On the basis of a one factor model, consider a portfolio of two securities with the following characteristics :

Security Factor Sensitivity Nonfactor risk proportion
A .20 49 .40
B 3.50 100 .60

A) If the standard deviation of the factor is 15% , what is the factor risk of the portfolio ?

B) What is the nonfactor risk of the portfolio ?

C) What is the portfolio's standand deviation ?

##### Solution Summary

This a three-part problem which calculates the factor risk, the nonfactor risk and the standand deviation of a portfolio of two securities.

##### Solution Preview

If you can't read the following properly, you can turn to the attached MSWord File.
<br>In a one-factor model, a portfolio's factor risk is expressed as bp^2&#963;F^2. Since the sensitivity of the ...

##### Basic Social Media Concepts

The quiz will test your knowledge on basic social media concepts.

##### Accounting: Statement of Cash flows

This quiz tests your knowledge of the components of the statements of cash flows and the methods used to determine cash flows.

##### Employee Orientation

Test your knowledge of employee orientation with this fun and informative quiz. This quiz is meant for beginner and advanced students as well as professionals already working in the HR field.

##### Marketing Management Philosophies Quiz

A test on how well a student understands the basic assumptions of marketers on buyers that will form a basis of their marketing strategies.

##### IPOs

This Quiz is compiled of questions that pertain to IPOs (Initial Public Offerings)