Asset A earns 5.2%, 7%, 4.4%, 1.8% in states 1 through 4. Asset F is risk-free...
Asset A earns 5.2%, 7%, 4.4%, 1.8% in states 1 through 4. Asset F is risk-free and earns 2% for sure. What is the standard deviation for a portfolio AF that invests 33% in A and (1-33%) in F?
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THERE ARE OTHER METHODS OF CALCULATING STANDARD DEVIATION. AS NOTHING IS MENTIONED, I HAVE SOLVED USING EASY CALCULATIONS. THANK YOU
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Asset A earns 5.2%, 7%, 4.4%, 1.8% in states 1 through 4. Asset
F is risk-free...
DQuestion 9 3 pts Asset A earns 10%,-0.2%, 5%, or 8.2% in states 1 through 4....
DQuestion 9 3 pts Asset A earns 10%,-0.2%, 5%, or 8.2% in states 1 through 4. Asset B earns 6%, 6.4%, 4.7%, or-896. Asset A Asset B 10% 6% -0.2% 6.4% 5% 4.7% 8.2% -8% What is the standard deviation for a portfolio AB that invests 83% in A and (1-83%) in B?
1. Consider an asset with a beta of 1.2, a risk-free rate of 4.4%, and a...
1. Consider an asset with a beta of 1.2, a risk-free rate of 4.4%, and a market return of 12.4% What is the reward to risk ratio? in %
The risk-free market asset is currently trading at 1.8%, the expected rate of return on the...
The risk-free market asset is currently trading at 1.8%, the expected rate of return on the market is 6%. If you held a portfolio of two equal-weighted assets, A and B, whose Corr(A,B) = –1, then what must be the rate of return on this portfolio?
4. Consider the following information about the market portfolio, the risk-free asset and funds A and...
4. Consider the following information about the market portfolio, the risk-free asset and funds A and B. Return Standard Deviation Beta 5% 0% Risk-free asset 0 Market portfolio Fund A 15% 20% 1 40% 12% 0 30% Fund B 18% 1.5 Analyze the performance of fund A relative to fund B in the context of the CAPM.
Ms. Lo can make a portfolio using a risk-free asset that offers a sure 10% return...
Ms. Lo can make a portfolio using a risk-free asset that offers a sure 10% return and a risky asset with an expected rate of return of 25%, with standard deviation 5. If she chooses a portfolio with an expected rate of return of 25%, what will the standard deviation of her return on this portfolio be? PLEASE SHOW ALL WORK, NO EXCEL
Question 4 (20 marks) (a) You need to invest $10M in two assets: a risk-free asset...
Question 4 (20 marks) (a) You need to invest $10M in two assets: a risk-free asset with an expected return of 5% and a risky asset with an expected return of 12% and a standard deviation of 40%. You face a cap of 30% on the portfolio's standard deviation. What is the maximum expected return you can achieve on your portfolio? (6 marks) (b) Which of the following portfolios can not be on the Markowitz efficient frontier? Explain briefly. Portfolio...
A stock has a beta of 1.23 and an expected return of 12.1 percent. A risk-free asset currently earns 3.95 percent Requi...
A stock has a beta of 1.23 and an expected return of 12.1 percent. A risk-free asset currently earns 3.95 percent Required: (a) What is the expected return on a portfolio that is equally invested in the two assets? (Do not round intermediate calculations. Enter your answer as a percentage rounded to 2 decimal places (e.g., 32.16).) Expected return (b) If a portfolio of the two assets has a beta of 0.83, what are the portfolio weights? (Do not round...
Suppose a risk-free asset has a 5 percent return and a second asset has an expected...
Suppose a risk-free asset has a 5 percent return and a second asset has an expected return of 13 percent with a standard deviation of 23 percent. A portfolio consisting 10 percent of the risk-free asset and 90 percent of the second asset. What is the Sharpe ratio of this portfolio?
A portfolio that combines the risk-free asset and the market portfolio has an expected return of...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 9 percent and a standard deviation of 16 percent. The risk-free rate is 4.1 percent and the expected return on the market portfolio is 11 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .38 correlation with the market portfolio and a standard deviation of 60 percent?
Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%...
Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, i.e., the portfolio with the highest Sharpe ratio, is given below: A BC Stock A Stock B Risk-free asset 2 Expected return 0.062 0.075 0.03 3 Variance 0.1521 0.0484 4 Standard deviation 0.39 0.22 5 Covariance 0.02574 D Optimal risky portfolio 8 Weights 9 Expected return 10 Variance 11 Standard deviation 12...
DQuestion 9 3 pts Asset A earns 10%,-0.2%, 5%, or 8.2% in states 1 through 4. Asset B earns 6%, 6.4%, 4.7%, or-896. Asset A Asset B 10% 6% -0.2% 6.4% 5% 4.7% 8.2% -8% What is the standard deviation for a portfolio AB that invests 83% in A and (1-83%) in B?
1. Consider an asset with a beta of 1.2, a risk-free rate of 4.4%, and a market return of 12.4% What is the reward to risk ratio? in %
4. Consider the following information about the market portfolio, the risk-free asset and funds A and B. Return Standard Deviation Beta 5% 0% Risk-free asset 0 Market portfolio Fund A 15% 20% 1 40% 12% 0 30% Fund B 18% 1.5 Analyze the performance of fund A relative to fund B in the context of the CAPM.
Question 4 (20 marks) (a) You need to invest $10M in two assets: a risk-free asset with an expected return of 5% and a risky asset with an expected return of 12% and a standard deviation of 40%. You face a cap of 30% on the portfolio's standard deviation. What is the maximum expected return you can achieve on your portfolio? (6 marks) (b) Which of the following portfolios can not be on the Markowitz efficient frontier? Explain briefly. Portfolio...
A stock has a beta of 1.23 and an expected return of 12.1 percent. A risk-free asset currently earns 3.95 percent Required: (a) What is the expected return on a portfolio that is equally invested in the two assets? (Do not round intermediate calculations. Enter your answer as a percentage rounded to 2 decimal places (e.g., 32.16).) Expected return (b) If a portfolio of the two assets has a beta of 0.83, what are the portfolio weights? (Do not round...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 9 percent and a standard deviation of 16 percent. The risk-free rate is 4.1 percent and the expected return on the market portfolio is 11 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .38 correlation with the market portfolio and a standard deviation of 60 percent?
Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, i.e., the portfolio with the highest Sharpe ratio, is given below: A BC Stock A Stock B Risk-free asset 2 Expected return 0.062 0.075 0.03 3 Variance 0.1521 0.0484 4 Standard deviation 0.39 0.22 5 Covariance 0.02574 D Optimal risky portfolio 8 Weights 9 Expected return 10 Variance 11 Standard deviation 12...
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