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Outcome Probability .10 .20 UAWN Stock W +2% +18% +9% -12% +8% Stock X +25% +10%...
Assume that the assumptions of the CAPM hold. The expected return and the standard deviation of...
Assume that the assumptions of the CAPM hold. The expected return and the standard deviation of the market portfolio are 7% and 14%, respectively. There are two individual stocks A and B: Mean Return A: 4% Standard Deviation A: 18% Mean Return B: 12% Standard Deviation B: 36% Stock A has a correlation of 0.2 with the market portfolio. A.What is the beta of stock A? B.What is the risk free rate? C.What is the beta of a portfolio with...
s presented with the two following stocks 17. The investor Stock A Stock B Expected Return...
s presented with the two following stocks 17. The investor Stock A Stock B Expected Return Standard Deviation 30% 40% 60% 50% the portfolio that the expected return Assume that the correlation coefficient between the stocks is zero. What stock A invests 30% i A.20% B.37% 07a 18. The investor is presented with the two following stocks: Stock A Stock B Expected Return Standard Deviation 0% 40% 50% 60% Assume that the correlation coefficient between the stocks is zero. What...
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...
Returns for Stocks A and Stock B have the following distribution: Probability Rate of Return Stock...
Returns for Stocks A and Stock B have the following distribution: Probability Rate of Return Stock A Rate of Return Stock B 0.20 +16% -10% 0.30 +10% -6% 0.50 -30% +40% a) What is the Expected Return for Stock A? b) What is the Standard Deviation for Stock A? c) What is the Expected Return for Stock B? d) What is the Standard Deviation for Stock B? e) What is the Expected Return for a Portfolio with an equal 50%...
4-) (20 points) Rf=2%, Rm= 10% According to the CAPM model Expected Return X= 10 Expected...
4-) (20 points) Rf=2%, Rm= 10% According to the CAPM model Expected Return X= 10 Expected Return Y= 6 Portfolios: A portfolio of stock X and rf with a 50% equal weighted investment yielded a STANDARD DEVIATION of 3. A portfolio of stock Y and rf with a 25% investment in stock Y yielded a STANDARD DEVIATION of 1. A portfolio of the market and rf with a 50% investment in the market yielded a STANDARD DEVIATION of 1. An...
The following are estimates for two stocks. Firm-Specific Standard Deviation Expected Return 12% 18 Stock Beta...
The following are estimates for two stocks. Firm-Specific Standard Deviation Expected Return 12% 18 Stock Beta 0.85 1.40 The market index has a standard deviation of 22% and the risk-free rate is 11% a. What are the standard deviations of stocks A and B? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) StockA Stock B b. Suppose that we were to construct a portfolio with proportions: Stock B Compute the expected return, standard deviation, beta, and...
A pension fund manager is considering three mutual funds. The first is a stock fund the second is...
A pension fund manager is considering three mutual funds. The first is a stock fund the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of th risky funds are The following data apply to Problems 8-12. Standard Deviation 32% 23 Expected Return 15% Stock fund (S Bond fund (B) The correlation between the fund returns is.15 8. Tabulate and draw...
6. Calculating a beta coefficient for a single stock Aa Aa E Suppose that the standard...
6. Calculating a beta coefficient for a single stock Aa Aa E Suppose that the standard deviation of returns for a single stock A is A = 40%, and the standard deviation of the market return is OM = 20%. If the correlation between stock A and the market is PAM = 0.7, then the stock's beta is Is it reasonable to expect that the future expected return for a stock will equal its historical average return over a relatively...
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...
EXTRA RISK PROBLEMS Stock A Stock B Expected Return 10% 16% Standard Deviation Correlation coefficient with...
EXTRA RISK PROBLEMS Stock A Stock B Expected Return 10% 16% Standard Deviation Correlation coefficient with the Market Correlation coefficient with Stock B Risk free rate 25% Expected return on the Market 12% Standard deviation of the Market 18 1. What is the expected return on a portfolio comprised of $6000 of Stock A and $4000 of Stock B? 2. What is the Standard deviation of this portfolio? 3. Does it make sense to combine these two in this way?...
s presented with the two following stocks 17. The investor Stock A Stock B Expected Return Standard Deviation 30% 40% 60% 50% the portfolio that the expected return Assume that the correlation coefficient between the stocks is zero. What stock A invests 30% i A.20% B.37% 07a 18. The investor is presented with the two following stocks: Stock A Stock B Expected Return Standard Deviation 0% 40% 50% 60% Assume that the correlation coefficient between the stocks is zero. What...
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...
The following are estimates for two stocks. Firm-Specific Standard Deviation Expected Return 12% 18 Stock Beta 0.85 1.40 The market index has a standard deviation of 22% and the risk-free rate is 11% a. What are the standard deviations of stocks A and B? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) StockA Stock B b. Suppose that we were to construct a portfolio with proportions: Stock B Compute the expected return, standard deviation, beta, and...
A pension fund manager is considering three mutual funds. The first is a stock fund the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of th risky funds are The following data apply to Problems 8-12. Standard Deviation 32% 23 Expected Return 15% Stock fund (S Bond fund (B) The correlation between the fund returns is.15 8. Tabulate and draw...
6. Calculating a beta coefficient for a single stock Aa Aa E Suppose that the standard deviation of returns for a single stock A is A = 40%, and the standard deviation of the market return is OM = 20%. If the correlation between stock A and the market is PAM = 0.7, then the stock's beta is Is it reasonable to expect that the future expected return for a stock will equal its historical average return over a relatively...
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...
EXTRA RISK PROBLEMS Stock A Stock B Expected Return 10% 16% Standard Deviation Correlation coefficient with the Market Correlation coefficient with Stock B Risk free rate 25% Expected return on the Market 12% Standard deviation of the Market 18 1. What is the expected return on a portfolio comprised of $6000 of Stock A and $4000 of Stock B? 2. What is the Standard deviation of this portfolio? 3. Does it make sense to combine these two in this way?...
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