Course Solutions Uncategorized Ms Rose Wants Invest Rs 10 Mln Fund Indexed S P 500 Continuous Return Continuous Standard Q34305822

Ms Rose Wants Invest Rs 10 Mln Fund Indexed S P 500 Continuous Return Continuous Standard Q34305822

June 27, 2024June 27, 2024| adminadmin| 0 Comment| 6:24 pm
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Ms Rose wants to invest Rs 10 Mln in a fund indexed with S &P 500. The continuous return and the continuous standard deviationof the S&P index has been 12% and 17% respectively for the last60 years.

a. Calculate the probability of doubling the investment in 9years by Ms Rose

b.Estimate the probability of incurring losses from theportfolio within 9 years.

You may apply following model adhering to standarddeviation.Please state all the assumptions you may have with theanswer.

Z=(In(FV/B)-Rc N) /sigma s sqrt N

Expert Answer

a)

B = 10 Mln

FV = Rs 20 Mln

Rc = 12% = 0.12

N = 9 years

sigmas

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