Homework Answers
Portfolio standard deviation for a two-asset portfolio is calculated by the following formula
|
Stock A |
Stock B |
|
|
Weight |
60% |
40% |
|
Standard deviation σ |
20% |
12% |
|
Correlation coefficient |
50% |
Variance = (0.60)2(0.20) 2 + (0.40) 2 (0.12) 2 + 2(0.60)(0.40)(0.50)(0.20)(0.12)
= 0.022
Portfolio standard deviation is the square root of variance
= Square root (0.022)
= 0.148
Portfolio standard deviation is 0.148 or 14.8%
Add Answer to:
20. Stock A has a standard deviation of 20%. Stock B has a standard deviation of...
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation...
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 20%, while stock B has a standard deviation of return of 26%. Stock A comprises 60% of the portfolio, while stock B comprises 40% of the portfolio. If the variance of return on the portfolio is .035, the correlation coefficient between the returns on A and B is _________.
The stock of a restaurant franchise enterprise has a standard deviation of return of 10 percent,...
The stock of a restaurant franchise enterprise has a standard deviation of return of 10 percent, while the stock of a grocery store chain has a standard deviation of return of 20 percent. The correlation coefficient between the two stocks is 0.5. If you invest 60 percent of your funds in the restaurant chain stock and 40 percent in the grocery store stock, what is the standard deviation of your portfolio? A) 10.3 percent B) 21.0 percent C) 12.2 percent...
Stock a has a standard deviation of 25% per year and Stock b has a standard...
Stock a has a standard deviation of 25% per year and Stock b has a standard deviation of 20% per year. The correlation between Stock a and Stock b is .30. You know you have a portfolio of these two stocks wherein Stock b has a portfolio weight of 40%. What is your portfolio variance?
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation...
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 35%, while stock B has a standard deviation of return of 15%. The correlation coefficient between the returns on A and B is .45. Stock A comprises 40% of the portfolio, while stock B comprises 60% of the portfolio. The standard deviation of the return on this portfolio is _________. Please show all work.
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation...
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 18%, while stock B has a standard deviation of return of 24%. Stock A comprises 60% of the portfolio, while stock B comprises 40% of the portfolio. If the variance of return on the portfolio is 0.033, the correlation coefficient between the returns on A and B is _________. 0.584 0.140 0.351 0.234
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 5% while stock B has a sta...
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 5% while stock B has a standard deviation of return of 15%. The correlation coefficient between the returns on A and B is .5. Stock A comprises 40% of the portfolio while stock B comprises 60% of the portfolio. The variance of return on the portfolio is __________.
11. suppose the expected returns and standard deviations of Stock A and B are E(R) -...
11. suppose the expected returns and standard deviations of Stock A and B are E(R) - 0.10, E(R) -0.14, -0.36, 0 = 0.61 Calculate the expected return and standard deviation of a portfolio that is composed of 40 percent A and 60 percent B when correlation between the returns on A and B is 0.5 b. Calculate the standard deviation of a portfolio that is composed of 40 percent A and 60 percent B when the correlation coefficient between the...
A portfolio is comprised of two stocks, A and B. Stock A has a standard deviation...
A portfolio is comprised of two stocks, A and B. Stock A has a standard deviation of return of 25% while stock B has a standard deviation of return of 5%. Stock A comprises 20% of the portfolio while stock B comprises 80% of the portfolio. If the variance of return on the portfolio is .0080, the correlation coefficient between the returns on A and B is __________. A. -.975 B. -.025 C. .025 D. .975
Stock X has an expected return of 15%, standard deviation of 20%, beta of 0.8. Stock...
Stock X has an expected return of 15%, standard deviation of 20%, beta of 0.8. Stock Y has an expected return of 20%, a standard deviation of 40% and a beta of 0.3, and a correlation with stock X of 0.6. Assume the CAPM holds. a. If you are a typical, risk-averse investor with a well-diversified portfolio, which stock would you prefer? b. What are the expected return and standard deviation of a portfolio consisting of 30% of stock X...
Assume the standard deviation of stock A is 10% and the standard deviation of stock B...
Assume the standard deviation of stock A is 10% and the standard deviation of stock B is 50%. You have bought $10,000 worth of stock A and $30,000 worth of stock B. If the correlation coefficient between the two stocks is -0.20 (negative!), what is the standard deviation of this two-stock portfolio? a) 34.8% b) 35.8% c) 36.3% d) 37.1% e) 37.5%
11. suppose the expected returns and standard deviations of Stock A and B are E(R) - 0.10, E(R) -0.14, -0.36, 0 = 0.61 Calculate the expected return and standard deviation of a portfolio that is composed of 40 percent A and 60 percent B when correlation between the returns on A and B is 0.5 b. Calculate the standard deviation of a portfolio that is composed of 40 percent A and 60 percent B when the correlation coefficient between the...
Stock X has an expected return of 15%, standard deviation of 20%, beta of 0.8. Stock Y has an expected return of 20%, a standard deviation of 40% and a beta of 0.3, and a correlation with stock X of 0.6. Assume the CAPM holds. a. If you are a typical, risk-averse investor with a well-diversified portfolio, which stock would you prefer? b. What are the expected return and standard deviation of a portfolio consisting of 30% of stock X...
Most questions answered within 3 hours.
-
Computer Programming II CS141(Java)
Mention the appropriate relationship between following
classes:
HOD–StaffMember
Car–Ferrari
Student-Address
BankAccount–FixedAccount
House-Building...
asked 9 minutes ago -
Assume one of your finals has 50 questions on it, and
lucky for you, it's all...
asked 1 hour ago -
Rice Products in Bangladesh
Business behavior is derived in large part from the basic cultural
environment...
asked 2 hours ago -
The following base sequence is found for a mRNA fragment from
wild-type E. coli: 5'- UAUCAGUAGAUAAUGUAACC-3'...
asked 3 hours ago -
For this exercise, round all regression parameters to three
decimal places.
One of the two tables...
asked 3 hours ago -
What is the 5% level of significance for mean = 3.60, standard
deviation = 0.94, and...
asked 3 hours ago -
Prior to beginning work on this discussion, please read the
article by Hayley Peterson, 15 Companies...
asked 4 hours ago -
Which pair of aqueous solutions, when mixed, will form a
precipitate?
A) NaNO3 and AgC2H3O2
B)...
asked 4 hours ago -
1-Write an algorithm to get two numbers from the user (as
inputs) and calculate the sum...
asked 7 hours ago -
Define white-collar crime. What is the difference between
offender and offense-based definitions of white-collar crime? What...
asked 8 hours ago -
Consider a reaction which is 1st order with respect to A and 1st
order with respect...
asked 8 hours ago -
c++
The length of the hypotenuse of a right-angled triangle is the
square root of the...
asked 8 hours ago