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Category > Business & Finance Posted 22 Jul 2017 My Price 8.00

Probabilities for a Common Stock Portfolio (1).

Probabilities for a Common Stock Portfolio (1).

You manage a U.S. core equity portfolio that is sector-neutral to the S&P 500 Index (its industry sector weights approximately match the S&P 500"s). Taking a weighted average of the projected mean returns on the holdings, you forecast a portfolio return of 12 percent. You estimate a standard deviation of annual return of 22 percent, close to the long-run figure for the S&P 500. For the year-ahead return on the portfolio, you are asked to do the following:

1. Calculate and interpret a one standard deviation confidence interval for portfolio return, with a normality assumption for returns.

2. Calculate and interpret a 90 percent confidence interval for portfolio return, with a normality assumption for returns.

3. Calculate and interpret a 95 percent confidence interval for portfolio return, with a normality assumption for returns

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Status NEW Posted 22 Jul 2017 12:07 PM My Price 8.00

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