The utility level of portfolio of each portfolio is given below
W bill(Wb) | Windex (Wi) | E( r)= Wb*0.03+Wi*0.11 | σ2 = (Wi*0.22)(Wi*0.22) | U=E( r) -0.5*A*σ2 |
0.0 | 1.0 | 0.11 | 0.0484 | 0.0374 |
0.2 | 0.8 | 0.094 | 0.030976 | 0.047536 |
0.4 | 0.6 | 0.078 | 0.017424 | 0.051864 |
0.6 | 0.4 | 0.062 | 0.007744 | 0.050384 |
0.8 | 0.2 | 0.046 | 0.001936 | 0.043096 |
1.0 | 0.0 | 0.03 | 0 | 0.03 |
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 34% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5% Calculate the utility levels of each portfolio for an investor with A-3. Assume the utility function is...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 30% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Calculate the utility levels of each portfolio for an investor with A= 2. Assume the utility function...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 90 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Calculate the utility levels of each portfolio for an investor with A = 2. Assume the utility...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 27% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 6%. calculate the utility levels of each portfolio for an investor with A = 3 Assume the utility...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 33% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 3%. Calculate the utility levels of each portfolio for an investor with A-3. Assume the utility function is...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 27% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 6%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with...
Problem 6-11 Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 33% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 3%. Calculate the utility levels of each portfolo for an investor with A2. Assume the utility...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 28% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 6%. Calculate the utility levels of each portfolio for an investor with A = 2. Assume the utility...
You received no credit for this question in the previous attempt. Problem 6-12 Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 35% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 3%. Calculate the utility levels...
1. Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index...