Question 19 5 pts A risky fund has an expected return of 10% and standard deviation...
An investor has a risk aversion coefficient of 5. The expected return and standard deviation of the optimal risky portfolio are 15% and 25%, respectively. If the Sharpe ratio of the optimal capital allocation line is 0.48, what is the proportion of the investor’s combined portfolio that should be invested in the risky portfolio that would maximise their utility?
Arisky fund has an expected return of 9% and standard deviation of 15%. The T-Bill rate is 3%. An investor allocates 125% of her retirement portfolio to the risky fund and -25% to T-Bills (recall the negative allocation to T-Bills indicates borrowing at risk free rate). What is the investor's risk aversion coefficient (A)? 0.47 2.13 -2.13 1.40
You manage a risky portfolio that has an expected return of 9% and a standard deviation of returns of 12.5%. The T-bill rate is 3%. Your client wants to allocate her investment portfolio between your fund and T-bills to achieve an expected rate of return of 7%. What proportion of her portfolio should she allocate to the risky portfolio? What proportion to T-bills? What is the standard deviation of her portfolio? Another client wants to allocate his investment portfolio between...
Portfolio analvsis (8 points L3 points) Asset A has an expected return of 10% and a Sharpe ratio of 0.4. Asset B bas ans expectod retum of 15% and a Sharpe ratio of o3. Asset C has an expected return of 20% and a Sharpe ratio of 0.35. A risk-averse investor would prefer to build a complete portfolio using the risk free asset and a Asset A b. Asset B c Asset C d. No risky asset 2 (3 points)...
Suppose the optimal risky portfolio has an expected return of 13.25% and a standard deviation of 24.57%. Mr. Jones wants an efficient portfolio with an expected return of 12%. If the optimal risky portfolio consists of 70.75% in stocks and 29.25% in bonds, what is the proportion of Mr. Jones' portfolio invested in the stock fund. the risk-free rate is 5.5%.
3. You have a risky portfolio that yields an expected rate of return of 15% with a standard deviation of 25%. Draw the CAL for an expected return/standard deviation diagram if the risk free rate is 5%. a. What is the slope of the CAL? b. If your coefficient of risk aversion is 5, how much should you invest in the risky portfolio? 4. A pension fund manager is considering three mutual funds. The first is a stock fund, the...
Please show all work. Thanks! An optimal risky portfolio has been developed with investments in stocks and bonds This optimal portfolio has 24% invested in bonds and the remainder invested in stocks The optimal portfolio mean return is 12.05% and its standard deviation is 18.45% The t-bill rate is 4.75%; what is the mean of the complete portfolio if 33% is invested in the optimal portfolio and theremainder is invested in T-bills? a What is the resulting allocation to stocks...
A risky portfolio has an expected return of 12% and standard deviation of 25%. Given a risk free rate of 3%, what percentage of a clients portfolio should be allocated to the risky portfolio if the client has a risk aversion of 4?
An investor is considering an exchange traded fund with 10% expected return and 20% standard deviation. What will be his expected return, if his risk aversion coefficient is 4? The risk free rate is 2%. The investor maximizes his utility. 50% 2.8% 0.5% 6%
A risky portfolio has an expected return of 12% and standared deviation of 25% given a risk free rate of 3% what is the expected return on the complete portfolio for a client with a risk aversion of 4?