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John kamau wants to invest in securities of 3 companies that is ABC Limited, XYZ Limited andMNO limited. If the portfolio value is sh.100 million. All the three companies have the followinginformation
John kamau wants to invest in securities of 3 companies that is ABC Limited, XYZ Limited andMNO limited. If the portfolio value is sh.100 million. All the three companies have the followinginformationABC LTD XYZ LTD MNO LTD
ABC LTD
XYZ LTD
NMO LTD
Standard deviation
12%
16%
18%
weight of abc and xyz
70%
30%
0
weight of abc and mno
50%
0
50%
Weight of Xyz andMno
0
60%
40%
market rate of return
20%
14%
16%
risk free rate
12%
correlation coefficient:
between abc and xyz
-70%
between abc and mno
70%
between xyz and mno
30%
risk free rate
12%
99% confidence level
Required:(a) Calculate the portfolio risk of the 3 two asset portfolio combinations(b) Calculate the VaR of the two possible assets combinations(c ) calculate the minimum profit that the two assets combinations will yield
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**** kamau wants ** ****** in securities ** 3 ********* that ** *** ******* *** ******* ****** ******* ** the ********* value ** ***** ******* All *** ***** ********* **** *** followinginformationABC *** *** *** *** LTDABC LTDXYZ ****** *********** deviation12%16%18%weight ** *** *** ************************ ** *** *** mno 50%050%Weight ** *** ******************* rate of ********************* **** rate12% correlation ************************* *** *** ****************** abc *** ***************** xyz and mno30% risk **** ************** ********** *********************** Calculate *** portfolio risk ** *** 3 two ***** portfolio *************** Calculate the *** ** *** *** ******** assets ************** * ********* *** ******* ****** that *** *** ****** combinations **** ************* of ABC *** XYZ (07^2*012^2)+ ********************************************************************************* ********* ** ABC *** ******************************************************************* ** *** *** **************************************************************** and ********************************* *** MNO100000000*99%*139%13761000 XYX *** ****************************************** *** ******************************** and *****************************
