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So Sharpe Ratio of
portfolio = 0.1979
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Problem 3 Intro The return statistics for two stocks and T-bills are given below: B C...
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...
Problem 14 Intro Apple stock had a return of 11%two years ago, and 22% last year. Google stock had a return of 12%...
Problem 14 Intro Apple stock had a return of 11%two years ago, and 22% last year. Google stock had a return of 12% two years ago, and 13% last year. Attempt 1/10 for 10 pts. Part 1 lf you invest 30% in Apple and 70% in Google, what is the expected return of your portfolio for next year, if you use the past as a guide for the future (which is generally not a good idea for calculating expected returns)?...
Problem 14 44ゆ Intro Apple stock had a return of 11%two years ago, and 22% last year. Google stock had a return o...
Problem 14 44ゆ Intro Apple stock had a return of 11%two years ago, and 22% last year. Google stock had a return of 12% two years ago, and 13% last year. Attempt 1/10 for 10 pts Part 1 Ifyou invest 30% in Apple and 70% in Google, what is the expected return of your porttolo for next year, if you use the past as a guide for the future (which is generally not a good idea for calculating expected returns)?...
Problem 10 Intro Stock 1 has an expected return of 7% and a standard deviation of...
Problem 10 Intro Stock 1 has an expected return of 7% and a standard deviation of 28%. Stock 2 has an expected return of 14% and a standard deviation of 24%. Their correlation is 0.35. You invest 30% in stock 1 and 70% in stock 2. Part 1 Attempt 1/5 for 10 pts. What is the expected return of the portfolio? 0.119 E(r) = wiE(ru) + w2E(+2) = 0.3 0.07 +0.7.0.14 = 0.119 – Attempt 2/5 for 9 pts. Part...
Problem 4 Intro The following table shows rates of return for a mutual fund and the...
Problem 4 Intro The following table shows rates of return for a mutual fund and the market portfolio (S&P 500). C А В 1Year Fund Market 2 1 14% 13% -15% -14% 3 2 4 3 -6% -5% 5 5% 28% 14% 8% 6 5 7 6 8% 5% Attempt 1/10 for 10 pts. Part 1 What is the arithmetic average return for the market portfolio? 3+ decima Submit Attempt 1/10 for 10 pts. Part 2 What is the covariance...
1. The universe of available securities includes two risky stock funds, A and B and T-bills....
1. The universe of available securities includes two risky stock funds, A and B and T-bills. The data for the universe are as follows: Expected Return Standard Deviation 109 20 Tbilis The correlation coefficient between funds A and B is -0.2. a. Find the optimal risky portfolio, P. and its expected return and standard deviation b. Find the slope of the CAL supported by T-bills and portfolio P. c. How much will an investor with 4-5 invest in funds A...
This question has two sub-questions. Assume that t-bills generates a return of 3 %. Which of...
This question has two sub-questions. Assume that t-bills generates a return of 3 %. Which of the following risky portfolios is the optimal risky portfolio? Now assume that you wish to have a total expected return on your portfolio of 5 %, how much of your funds should be invested in the optimal risky portfolio, and how much in t-bills, respectively? E(r) σ Portfolio A 10 % 26 % Portfolio B 11 % 31 % Portfolio C 8 % 25...
Summary statistics for returns on two stocks X and Y are listed below. Mean Variance Stock...
Summary statistics for returns on two stocks X and Y are listed below. Mean Variance Stock X 2.85% 0.005000 Stock Y 5.91% 0.006000 The covariance of returns on stocks X and Y is 0.002800. Consider a portfolio of 30% stock X and 70% stock Y. What is the mean of portfolio returns? Please specify your answer in decimal terms and round your answer to the nearest thousandth (e.g., enter 12.3 percent as 0.123).
Summary statistics for returns on two stocks X and Y are listed below. Mean Variance Stock...
Summary statistics for returns on two stocks X and Y are listed below. Mean Variance Stock X 2.35% 0.007000 Stock Y 4.53% 0.003000 The covariance of returns on stocks X and Y is 0.002700. Consider a portfolio of 70% stock X and 30% stock Y. What is the mean of portfolio returns? Please specify your answer in decimal terms and round your answer to the nearest thousandth (e.g., enter 12.3 percent as 0.123).
Summary statistics for returns on two stocks X and Y are listed below. Mean 5.81% Stock...
Summary statistics for returns on two stocks X and Y are listed below. Mean 5.81% Stock X Stock Y Variance 0.004000. 0.007000 3.11% The covariance of returns on stocks X and Y is 0.002100. Consider a portfolio of 10% stock X and 90% stock Y. What is the variance of portfolio returns? Please round your answer to six decimal places. Note that the correct answer will be evaluated based on the full-precision result you would obtain using Excel. igation tips
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...
Problem 14 Intro Apple stock had a return of 11%two years ago, and 22% last year. Google stock had a return of 12% two years ago, and 13% last year. Attempt 1/10 for 10 pts. Part 1 lf you invest 30% in Apple and 70% in Google, what is the expected return of your portfolio for next year, if you use the past as a guide for the future (which is generally not a good idea for calculating expected returns)?...
Problem 14 44ゆ Intro Apple stock had a return of 11%two years ago, and 22% last year. Google stock had a return of 12% two years ago, and 13% last year. Attempt 1/10 for 10 pts Part 1 Ifyou invest 30% in Apple and 70% in Google, what is the expected return of your porttolo for next year, if you use the past as a guide for the future (which is generally not a good idea for calculating expected returns)?...
Problem 10 Intro Stock 1 has an expected return of 7% and a standard deviation of 28%. Stock 2 has an expected return of 14% and a standard deviation of 24%. Their correlation is 0.35. You invest 30% in stock 1 and 70% in stock 2. Part 1 Attempt 1/5 for 10 pts. What is the expected return of the portfolio? 0.119 E(r) = wiE(ru) + w2E(+2) = 0.3 0.07 +0.7.0.14 = 0.119 – Attempt 2/5 for 9 pts. Part...
Problem 4 Intro The following table shows rates of return for a mutual fund and the market portfolio (S&P 500). C А В 1Year Fund Market 2 1 14% 13% -15% -14% 3 2 4 3 -6% -5% 5 5% 28% 14% 8% 6 5 7 6 8% 5% Attempt 1/10 for 10 pts. Part 1 What is the arithmetic average return for the market portfolio? 3+ decima Submit Attempt 1/10 for 10 pts. Part 2 What is the covariance...
1. The universe of available securities includes two risky stock funds, A and B and T-bills. The data for the universe are as follows: Expected Return Standard Deviation 109 20 Tbilis The correlation coefficient between funds A and B is -0.2. a. Find the optimal risky portfolio, P. and its expected return and standard deviation b. Find the slope of the CAL supported by T-bills and portfolio P. c. How much will an investor with 4-5 invest in funds A...
Summary statistics for returns on two stocks X and Y are listed below. Mean 5.81% Stock X Stock Y Variance 0.004000. 0.007000 3.11% The covariance of returns on stocks X and Y is 0.002100. Consider a portfolio of 10% stock X and 90% stock Y. What is the variance of portfolio returns? Please round your answer to six decimal places. Note that the correct answer will be evaluated based on the full-precision result you would obtain using Excel. igation tips
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