WORKSHOP FOR SOLVING PROBLEMS №7

WORKSHOP FOR SOLVING PROBLEMS №7
on topic 7. "Managing the financial risks of the organization"

Task 1. The table shows the data of expert estimates on the profitability of shares A and B, depending on the market situation.
• Without doing the calculations, determine if these stocks are correlated?
• Calculate the return on stocks A and B.
Task 2. There are data on three securities: bonds of an economic entity A with maturity in 15 years, a short-term bill of an economic entity B with maturity in 45 days and a government bond with a maturity in 10 years. It is known that securities have yields of 7%, 9% and 20%.
• What security does the 20% return belong to? Why?
• What security does the 9% yield belong to? Why?
• What security does the 7% return belong to? Why?
Task 3. The investor´s portfolio has the following structure:

ASSETS Total market value, thousand rubles. Beta
A 500 0.1
B 100 0.9
C250 1.7
D12 1.2
E 170 1.1

The yield on government bonds is 8%, the average market yield is 15%.
Calculate the portfolio return and its β coefficient.
Is it possible to calculate the portfolio risk ratio based on the available data? If yes, make calculations and determine the level of risk of the investment portfolio?