On March 1, an all equity portfolio you managed is equally weighted. On June 1, it has changed as shown in the following Table.
| Stock | Value on March 1 | Beta | Value on June 1 |
| 1000 A | $10000 | 1.07 | $11750 |
| 500 B | 10000 | 0.92 | 9500 |
| 2300 C | 10000 | 1.10 | 12000 |
| 1200 D | 10000 | 1.22 | 17875 |
| 500 E | 10000 | 1.10 | 8875 |
| 1700 F | 10000 | 0.88 | 10625 |
| 900 G | 10000 | 1.00 | 12455 |
| 1200 H | 10000 | 1.03 | 13800 |
| 2500 I | 10000 | 1.22 | 9500 |
| 1500 J | 10000 | 1.14 | 11000 |
| Total | 100000 | 117380 |
- What specific tips should you take to rebalance the portfolio, Assuming no security position is completely eliminated.
- What is the Beta for the portfolio
- What (specifically )would you do to bring this portfolio back to a target beta of 1.10
- Consider the portfolio before any adjustments, estimate the value of each of the components if the General Index raises from 1,400,000 to 1,500,000
- suppose the variance of the market is 0.04. what is the approximate variance of the original portfolio.
Bond 1 is a 5-yr, 100 par zero, price =$62.09
Bond 2 is a 10-yr, 100 par zero, price=$38.55
The total value of the portfolio is 100.64
What is the portfolio duration?
If the interest rate expected to go down by 0.2% how much is the effect on the portfolio value?
Assume you have a liability of $3862 after 10 years the current interest rate is 10% and the term structure is flat
How can you immunize your liability?
Will investing in a bond with 1000 semiannual coupon of 100 and maturity of 20 will do the job? If market interest is 4% 10%, 12%
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