Business, 19.02.2020 02:54, kadinmorgan

Average annual return on large stocks and 1-month T-bills; standard deviation and Sharpe ratio of large stocks over time

*The probability that the estimate of the Sharpe ratio over 1926–2012 equals the true value and that we observe the reported, or an even more different Sharpe ratio for the subperiod.

a. If your risk-aversion coefficient is A = 3.5 and you believe that the entire 1926–2012 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? Assume your utility function is U = E(r) – 0.5 × Aσ2. (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.)

T-bills %
Equity %
b. If your risk-aversion coefficient is A = 3.5 and you believe that the entire 1968–1988 period is representative of future expected performance, what fraction of your portfolio should be allocated to T-bills and what fraction to equity? (Do not round intermediate calculations. Round your answers to 2 decimal places. Omit the "%" sign in your response.)

T-bills %
Equity %

Answers: 2

Show answers

Other questions on the subject: Business

Business, 21.06.2019 17:10, jasonweber8718

Teller co. is planning to sell 900 boxes of ceramic tile, with production estimated at 870 boxes during may. each box of tile requires 44 pounds of clay mix and a quarter hour of direct labor. clay mix costs $0.40 per pound and employees of the company are paid $12.00 per hour. manufacturing overhead is applied at a rate of 110% of direct labor costs. teller has 3,900 pounds of clay mix in beginning inventory and wants to have 4,500 pounds in ending inventory. what is the total amount to be budgeted for manufacturing overhead for the month?

Answers: 1

continue

Business, 23.06.2019 00:20, hdhdhd49jdhd

Barney corporation recognized a $100 million preferred stock balance on 12/31/2019. on january 1, 2020, barney issued $10 million in preferred dividends. on the same date, barney raised an additional $20 million via a new issuance of preferred stock. on december 31, 2020, the market value of the original amount of preferred shares rose $5 million. under us gaap, the 12/31/2020 year ending preferred stock balance is:

Answers: 3

continue

Business, 23.06.2019 01:00, heyitstierney5610

Corporation had a japanese yen receivable resulting from exports to japan and a brazilian real payable resulting from imports from brazil. gracie recorded foreign exchange gains related to both its yen receivable and real payable. did the foreign currencies increase or decrease in dollar value from the date of the transaction to the settlement date?

Answers: 2

continue

Business, 23.06.2019 01:30, itscheesycheedar

James jones is the owner of a small retail business operated as a sole proprietorship. during 2017, his business recorded the following items of income and expense: revenue from inventory sales $ 147,000 cost of goods sold 33,500 business license tax 2,400 rent on retail space 42,000 supplies 15,000 wages paid to employees 22,000 payroll taxes 1,700 utilities 3,600 compute taxable income attributable to the sole proprietorship by completing schedule c to be included in james’s 2017 form 1040. compute self-employment tax payable on the earnings of james’s sole proprietorship by completing a 2017 schedule se, form 1040. assume your answers to parts a and b are the same for 2018. further assume that james's business is not a service business, and that it has $155,000 unadjusted basis in tangible depreciable property. calculate james's 2018 section 199a deduction.

Answers: 1

continue

Do you know the correct answer?

Average annual return on large stocks and 1-month T-bills; standard deviation and Sharpe ratio of la...