asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2...
asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2 has an expected return of 15% and a standard deviation of 30%. the correlation between the two assets is -1.0. portfolios of these two assets will have a standard deviation of what?
Homework Answers
Portfolio Variance = (wa1)^2 * SDa1 + (wa2)^2 * SDa2 + 2*(wa1)*(wa2)*Cor(a1, a2)
where w = weight, a = asset, SD = Standard deviation and Cor = Correlation between a1 & a2
Portfolio Variance = (0.5^2 * 0.2) + (0.5^2 * 0.3) + (2 * 0.5 *0.5 * -1.0) = 0.05 + 0.075 - 0.5 = 0.075
Standard Deviation of portfoliio = (0.075)^0.5 = 0.2739 or 27.39%
Add Answer to:
asset 1 has an expected return of 10% and a standard deviation
of 20%. Asset 2...
49 | Asset 1 has an expected return of 10% and a standard deviation of 20%....
49 | Asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2 has an expected return of 15% and a standard deviation of 30%. The correlation between the two assets is -1.0. Portfolios of these two assets will have a standard deviation between 0% and 20% between 20% and 30% between 0% and 30% O below 10%
Expected Return of Asset 1 = 10% Expected Return of Asset 2 = 15% The standard...
Expected Return of Asset 1 = 10% Expected Return of Asset 2 = 15% The standard deviation of Asset 1's return = The standard deviation of Asset 2's 3% return = 5% The proportion of the capital invested in Asset The proportion of the capital invested in 1 = 30% Asset 2 = 70% Calculate the standard deviation of the portfolio consisting of these two assets when the correlation coefficient between Asset 1 and Asset 2 is 0.40. Select one:...
Suppose there are three assets: A, B, and C. Asset A’s expected return and standard deviation are 1 percent and 1 percent. Asset B has the same expected return and standard deviation as Asset A. However, the correlation coefficient of Assets A and B is −0
Suppose there are three assets: A, B, and C. Asset A’s expected return and
standard deviation are 1 percent and 1 percent. Asset B has the same expected
return and standard deviation as Asset A. However, the correlation coefficient of
Assets A and B is −0.25. Asset C’s return is independent of the other two assets.
The expected return and standard deviation of Asset C are 0.5 percent and 1
percent.
(a) Find a portfolio of the three assets that...
Asset K has an expected return of 10 percent and a standard deviation of 28 percent....
Asset K has an expected return of 10 percent and a standard deviation of 28 percent. Asset L has an expected return of 7 percent and a standard deviation of 18 percent. The correlation between the assets is 0.40. What are the expected return and standard deviation of the minimum variance portfolio?
Asset 1 has 6% expected return and 5% standard deviation.Asset 2 has 12% expected return and...
Asset 1 has 6% expected return and 5% standard deviation.Asset 2 has 12% expected return and 10% standard deviation A. If the correlation coefficient is less than one, then no portfolio obtained by combining assets 1 and 2 can have an expected return larger than 6%. B. If the correlation coefficient is equal to one, then no portfolio obtained by combining assets 1 and 2 can have a standard deviation lower than 5%. C. If the correlation coefficient is less...
Asset K has an expected return of 16 percent and a standard deviation of 35 percent....
Asset K has an expected return of 16 percent and a standard deviation of 35 percent. Asset L has an expected return of 10 percent and a standard deviation of 16 percent. The correlation between the assets is 0.58. What are the expected return and standard deviation of the minimum variance portfolio? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Expected return Standard deviation
3. Consider Table 2. Table 2 Stock Expected Return 2 12% 6% Standard Deviation 20% 10%...
3. Consider Table 2. Table 2 Stock Expected Return 2 12% 6% Standard Deviation 20% 10% 0.20 Correlation Coefficient (a) Consider Table 2. Compute the expected return and standard deviation of return of an equally-weighted (b) Consider Table 2. Solve for the composition, expected return and standard deviation of the minimum (c) Consider Table 2. Sketch the set of portfolios comprised of stocks 1 and 2. Be sure to include the portfolios (d) Consider Table 2. Suppose that a risk-free...
Stocks A and B each have an expected return of 15%, a standard deviation of 17%,...
Stocks A and B each have an expected return of 15%, a standard deviation of 17%, and a beta of 1.2. The returns on the two stocks have a correlation coefficient of <1.0. You have a portfolio that consists A) The portfolio's beta is less than 12. B) The portfolio's standard deviation is greater than 17%. C) The portfolio's standard deviation is less than 17%. D) The portfolio's expected return is 15%.
Portfolio D has an expected return rD= 10% and a standard deviation = 30%. Portfolio E...
Portfolio D has an expected return rD= 10% and a standard deviation = 30%. Portfolio E has an expected return rE = 20% and a standard deviation =40%. The correlation coefficient = +0.25. If I want to combine these 2 portfolios to earn an expected return rp = 16%, what will be my portfolio standard deviation to the NEAREST xx.xx%? a) 20.88% b) 24.00% c) 26.91% d) 29.39% e) None of the above
Expected Return of Asset 1 = 15.00% Standard Deviation of Asset 1 = 17.00% Expected Return...
Expected Return of Asset 1 = 15.00% Standard Deviation of Asset 1 = 17.00% Expected Return of Asset 2 = 9.75% Standard Deviation of Asset 2 = 8.88% The correlation coefficient1,2 = 0.45 A portfolio invested 50% in Asset 1 and 50% in Asset 2 is formed. Compute the portfolio's expected return. Select one: a. 11.22% b. 4.71% c. 12.38% d. 9.09% e. 27.20%
49 | Asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2 has an expected return of 15% and a standard deviation of 30%. The correlation between the two assets is -1.0. Portfolios of these two assets will have a standard deviation between 0% and 20% between 20% and 30% between 0% and 30% O below 10%
Expected Return of Asset 1 = 10% Expected Return of Asset 2 = 15% The standard deviation of Asset 1's return = The standard deviation of Asset 2's 3% return = 5% The proportion of the capital invested in Asset The proportion of the capital invested in 1 = 30% Asset 2 = 70% Calculate the standard deviation of the portfolio consisting of these two assets when the correlation coefficient between Asset 1 and Asset 2 is 0.40. Select one:...
Asset K has an expected return of 16 percent and a standard deviation of 35 percent. Asset L has an expected return of 10 percent and a standard deviation of 16 percent. The correlation between the assets is 0.58. What are the expected return and standard deviation of the minimum variance portfolio? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Expected return Standard deviation
3. Consider Table 2. Table 2 Stock Expected Return 2 12% 6% Standard Deviation 20% 10% 0.20 Correlation Coefficient (a) Consider Table 2. Compute the expected return and standard deviation of return of an equally-weighted (b) Consider Table 2. Solve for the composition, expected return and standard deviation of the minimum (c) Consider Table 2. Sketch the set of portfolios comprised of stocks 1 and 2. Be sure to include the portfolios (d) Consider Table 2. Suppose that a risk-free...
Stocks A and B each have an expected return of 15%, a standard deviation of 17%, and a beta of 1.2. The returns on the two stocks have a correlation coefficient of <1.0. You have a portfolio that consists A) The portfolio's beta is less than 12. B) The portfolio's standard deviation is greater than 17%. C) The portfolio's standard deviation is less than 17%. D) The portfolio's expected return is 15%.
Most questions answered within 3 hours.
-
You are attempting to calculate a firm’s free cash flow to
equity. You know the following...
asked 24 minutes ago -
the following reaction occurs in a balloon containing
N2O2 gas
N2O4(g)=2NO2(g)
will the volume of the...
asked 59 minutes ago -
answer the questions throughout this program
public class Day implements Comparable {
Private Boolean atWork;...
asked 1 hour ago -
This is C++ code for parking fee management program
#include <iostream>
#include <iomanip>
using namespace std;...
asked 1 hour ago -
The free energy change for the following reaction at 25 °C, when
[Sn2+] = 1.17 M...
asked 3 hours ago -
An MNE is this kind of industry when competition in one country
is essentially independent of...
asked 4 hours ago -
. For this set of questions, determine what
proportion of a normal distribution is located betweeneach...
asked 5 hours ago -
A college student is employed as a door-to-door newspaper
salesman. Historical data suggests that the student...
asked 6 hours ago -
MATLAB HW 11 problem using Switch Case and Input commands
Write a script file that calculates...
asked 5 hours ago -
Considering gravitational time dilation, calculate the time that
passes in Earth’s surface while 1 hour passes...
asked 6 hours ago -
Minitab Problem: Take the Lake Hume June rainfall data and find
use the processes outlined in...
asked 7 hours ago -
X Company is trying to decide whether to continue using old
equipment to make Product A...
asked 7 hours ago