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  • State of The Economy Probability

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    Delima Permata Negara
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    The document discusses portfolio returns, value at risk, states of the economy and expected returns, shares purchased or sold from 2010-2013, calculations of geometric and arithmetic means of returns, dollar weighted rate of return, expected returns and deviations from mean returns for different hypothetical risk premiums, and a table with beginning of year stock prices, dividends paid, and holding period returns. It also includes calculations of standard deviation and variance.

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    accounting

    Original Title

    Tugas

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    The document discusses portfolio returns, value at risk, states of the economy and expected returns, shares purchased or sold from 2010-2013, calculations of geometric and arithmetic means of returns, dollar weighted rate of return, expected returns and deviations from mean returns for different hypothetical risk premiums, and a table with beginning of year stock prices, dividends paid, and holding period returns. It also includes calculations of standard deviation and variance.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    10 views3 pages

    State of The Economy Probability

    Uploaded by

    Delima Permata Negara
    The document discusses portfolio returns, value at risk, states of the economy and expected returns, shares purchased or sold from 2010-2013, calculations of geometric and arithmetic means of returns, dollar weighted rate of return, expected returns and deviations from mean returns for different hypothetical risk premiums, and a table with beginning of year stock prices, dividends paid, and holding period returns. It also includes calculations of standard deviation and variance.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 3

    Page 140

    1 Portofolio value -30%


    average return 1%

    (0.05-(-0.30)) 0.35
    (1+0.05) 1.05

    the 1% VAR will be less than -30%

    State of the Economy Probability


    5
    Boom 0.3
    Normal growth 0.4
    Recession 0.3
    expected return

    Page 141

    7 Year Shares purchased of sold

    2010 3
    2011 2
    2012 -1
    2013 -4

    a. geometric 0.0315151515
    arithmetic 0.0233186793

    b. Dollar weighted rate of return -0.166090810%


    = 0.3333333333

    HRP (%) Expected Return- E (r) deviation from mean return

    44 13.2 30
    14 5.6 0
    -16 -4.8 -30
    expected return 14 variance
    standart deviation

    Beginning- of - year price ($) Dividend Paid at Year-End ($) HRP

    100 4 0.140
    110 4 -0.145
    90 4 0.100
    95 4 0.000

    3.151%
    2.331%
    Squared deviation

    270
    0
    270
    540
    23.2379000772

    CASHFLOW

    -300
    -208
    110
    396

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