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Sample Homework - Security Analysis and Portfolio Management | Fin 533, Assignments of Finance

Material Type: Assignment; Class: Security Analysis and Portfolio Mgmt; Subject: Finance; University: University of Mississippi Main Campus; Term: Spring 2009;

Typology: Assignments

Pre 2010

Uploaded on 09/02/2009

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koofers-user-pxk 🇺🇸

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Fin 533 Homework
Due Thursday, April 9, 2009
Given the following information:
State
Probability
Best Candy’s Returns
Sugar Cane’s Returns
Sugar crisis
Bearish
Bullish
0.30
0.40
0.30
-25%
10%
25%
35%
-5%
1%
E(rB) = 4%
σB = 19.97%
E(rS) = 8.8%
σS = 17.33%
1. Compute the correlation coefficient between Best Candy and Sugar Cane
2. Compute the expected return and portfolio standard deviation of a portfolio consisting of 50%
in Best Candy and 50% in Sugar Cane.

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Fin 533 Homework

Due Thursday, April 9, 2009

Given the following information:

State Probability Best Candy’s Returns Sugar Cane’s Returns Sugar crisis Bearish Bullish

E(rB) = 4% σB = 19.97% E(rS) = 8.8% σS = 17.33%

1. Compute the correlation coefficient between Best Candy and Sugar Cane

2. Compute the expected return and portfolio standard deviation of a portfolio consisting of 50%

in Best Candy and 50% in Sugar Cane.