35. An investment firm, FINCMW2, uses the FamCMW2 fund using uses the Fama-French three factor...
50.1K
Verified Solution
Link Copied!
Question
Finance
35. An investment firm, FINCMW2, uses the FamCMW2 fund using uses the Fama-French three factor model. The risk-free rate equals excess return for the FINCMW2 fund using the following data: Invest Fund Factor Betas Factor Risk Premium Market 1.2 0.05 Size 0.39 0.015 Value 0.8 0.08 A, 13.0 % B.10.0 % C, 19.3 % D. 8.5% 36. An investment firm, SHB-BC Fund, employs a two-factor APT model. The risk free rate equals 5%. Determine the expected return for the SHB-BC fund using the following data: Factor 2 2.0 Factor 1 Invest Fund Factor Betas Factor Risk Premium A.7.2% B. 10.8 % D. 12.0 % 37. For a $100,000,000 portfolio, the expected 1-day portfolio return and standard deviation are 0.0025 and 0.0123, respectively. Calculate the 1-day VaR at 1% significance? $1,326,308.43 B. $2,611,407.89 C. $ 3,550,985.74 D. $1,773,169.96 A 9
Answer & Explanation
Solved by verified expert
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
Unlimited Question Access with detailed Answers
Zin AI - 3 Million Words
10 Dall-E 3 Images
20 Plot Generations
Conversation with Dialogue Memory
No Ads, Ever!
Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
