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  • Publicado : 21 de noviembre de 2011
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Portfolio Risk | | | | | | | | | | | | | |
Scenario Analysis.  The common stock of Leaning Tower of Pita, Inc., a restaurant chain, will generate the following payoffs to investorsnext year: | |
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| | Dividend | Stock price | | | | | | | | | | | |
Boom | | 5 | 195 | | 150.00% | | | | | | | | | |
Normaleconomy | 2 | 100 | | 27.50% | | | | | | | | | |
Recession | | 0 | 0 | | -100.00% | | | | | | | | | |
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The company goes out ofbusiness if a recession hits.  Calculate the expected rate of return and standard deviation of return to Learning Tower of Pita shareholders.  Assume for simplicity that the three possible states of theeconomy are equally likely.  The stock is selling today for $80. | |
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Current stock price= | $80 | | | | | | | | | | | | |
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  |   | Dividend | Stock price | Capital gains |   | Total gain (dividend + capital gain) |   | Return |   |   | | | | |
Boom | | $5 | $195 | $115 | =$195 - $80.| $120 | =$5 + $115. | 150.00% | =$120 / $80. | 25.83% | | | |
Normal economy | $2 | $100 | $20 | =$100 - $80. | $22 | =$2 + $20. | 27.50% | =$22 / $80. | | | | |
Recession |   | $0 | $0 |-$80 | =$ - $80. | -$80 | =$ -$80. | -100.00% | =-$80 / $80. | | | | |
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Scenario | Probability |return | return x Probability | Difference from mean, i.e.0.2583 | Difference 2 | Probability x Difference 2 | | | 25.83% | | | | | |
Boom | 33.33% | 150% | 50.00% | 124.17% | 1.541819 |0.513888 | | | | | | | | |
  |   |   | =150.%x0.3333 | =150.%-25.83% | =1.2417^2 | =0.3333x1.541819 | | | | | | | | |
Normal economy | 33.33% | 27.5% | 9.17% | 1.67% | 0.000279 |...
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