ZuoTi.Pro
Question

1. Suppose that tangency portfolio has expected return of 15% and standard deviation of 12%. Riskfree lending rate is 3% and
business   finance   
0 0
Add a comment Improve this question Transcribed image text
Next > < Previous
Sort answers by oldest

Homework Answers

Answer #1

Answer -

Sharpe ratio = (return of portfolio - risk free rate)/ standard deviation

Return of portfolio = 15%

Risk free rate = 3%

we take risk free rate @3% because it is the rate at which we park our money in government securities which is risk free

Standard deviation = 12%

By formula

= (15%-3%)/12%

= 1%

0 0
Add a comment
Know the answer?
Add Answer to:
1. Suppose that tangency portfolio has expected return of 15% and standard deviation of 12%. Riskfree...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for? Ask your own homework help question. Our experts will answer your question WITHIN MINUTES for Free.
Similar Homework Help Questions

  • An investor has a risk aversion coefficient of 5. The expected return and standard deviation of...

    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?

  • Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T...

    Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You are an investment adviser and you have the three investments above to recommend to your clients. The correlation between A and B is -0.5. Solve for the optimal risky portfolio and enter the weights as a %, 99% should be entered as 99.00%. Percent invested in Portfolio A Percent invested in Portfolio B What is the standard deviation of the optimal risky portfolio? What...

  • Arisky fund has an expected return of 9% and standard deviation of 15%. The T-Bill rate...

    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

  • The expected return of Security A is 12 percent with a standard deviation of 15 percent....

    The expected return of Security A is 12 percent with a standard deviation of 15 percent. The expected return of Security B is 9 percent with a standard deviation of 10 percent. Securities A and B have a correlation of 0.4. The market return is 11 percent with a standard deviation of 13 percent and the risk-free rate is 4 percent. What is the Sharpe ratio of a portfolio if 35 percent of the portfolio is in Security A and...

  • you are considering investing in two securities. Security 1 has a expected return of 12% and a standard deviation of ret...

    you are considering investing in two securities. Security 1 has a expected return of 12% and a standard deviation of return of 10%. Security 2 has an expected return of 9%and a standard deviation of returns of 8%. The correlation coefficient of returns for the two securities is 0.3. What would the weights be for each of the two securities in the minimum variance portfolio? W1= W2= Given the weights computed in (a), compute the expected return and standard deviation...

  • Suppose that you are managing a portfolio with a standard deviation of 21% and an expected...

    Suppose that you are managing a portfolio with a standard deviation of 21% and an expected return of 14%. The Treasury bill rate is 4%. A client wants to invest 16% of his investment budget in a T-bill money market fund and 84% in your fund. 1. What is the expected rate of return on your client's complete portfolio? 2. What is the standard deviation for your client's complete portfolio? 3. What is the reward-to-volatility (Sharpe) ratio of your client's...

  • Suppose the optimal risky portfolio has an expected return of 13.25% and a standard deviation of...

    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%.

  • 13. Consider a Market Portfolio with 12% expected return and 20% return standard deviation. If the...

    13. Consider a Market Portfolio with 12% expected return and 20% return standard deviation. If the Sharpe ratio of the market portfolio is 0.5, what is the risk-free rate of return? (a) 0.01 (b) 0.02 (c) 0.03 (d) 0.04

  • Question 19 5 pts A risky fund has an expected return of 10% and standard deviation...

    Question 19 5 pts A risky fund has an expected return of 10% and standard deviation of 18%. The risk-free rate is 6%. Arisk-averse investor having a risk aversion coefficient (A) equal to 3.5. is considering investing a portion of her retirement money in the risky fund with the remainder in cash. The Sharpe ratio of her optimal complete portfolio is: O 0.22 045 0.35 Can't tell from information provided. Need the return and risk of the optimal complete portfolio....

  • You manage a risky portfolio with an expected return of 12% and a standard deviation of 24%. Assume that you can invest...

    You manage a risky portfolio with an expected return of 12% and a standard deviation of 24%. Assume that you can invest and borrow at a risk-free rate of 3%, using T-bills. a. Draw the Capital Allocation Line (CAL) for this combination of risky portfolio and risk-free asset. What is the Sharpe ratio of the risky portfolio? b. Your client chooses to invest 50% of their funds into your risky portfolio and 50% risk-free. What is the expected return and...

ADVERTISEMENT
Free Homework Help App
Download From Google Play
Scan Your Homework
to Get Instant Free Answers
Need Online Homework Help?
Ask a Question
Get Answers For Free
Most questions answered within 3 hours.
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT