Suppose a risk-free asset has a 5 percent return and a second asset has an expected...
Suppose a risk-free asset has a 5 percent return and a second asset has an expected return of 13 percent with a standard deviation of 23 percent. A portfolio consisting 10 percent of the risk-free asset and 90 percent of the second asset. What is the Sharpe ratio of this portfolio?
Homework Answers
Expected return of Portfolio = 0.10(0.05) + 0.90(0.13) = 12.20%
Standard Deviation = 0.90(0.23) = 20.70%
Sharpe Ratio = (0.1220 - 0.05)/0.2070
Sharpe Ratio = 0.35
Add Answer to:
Suppose a risk-free asset has a 5 percent return and a second
asset has an expected...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 9 percent and a standard deviation of 16 percent. The risk-free rate is 4.1 percent and the expected return on the market portfolio is 11 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .38 correlation with the market portfolio and a standard deviation of 60 percent?
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...
Q7-Consider the following combination of expected return and risk for various portfolios (named A-H) on the...
Q7-Consider the following combination of expected return and risk for various portfolios (named A-H) on the risk-return diagram. Assume a risk-free rate of 12% where one may borrow or lend at this rate. Expected Return (%) Risk (%) A 10 23 B 12.5 21 C D E F G H 15 16 17 18 18 20 25 29 29 32 35 45 Sharpe Ratio 1. Which of the above portfolios has the highest Sharpe ratio? (Must express in percentage) (5pts.)...
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...
Suppose there are three assets: A, B, and C. Asset A’s expected return and standard deviation are 1 percent and 1 percent. Asset B has the same expected return and standard deviation as Asset A. However, the correlation coefficient of Assets A and B is −0
Suppose there are three assets: A, B, and C. Asset A’s expected return and
standard deviation are 1 percent and 1 percent. Asset B has the same expected
return and standard deviation as Asset A. However, the correlation coefficient of
Assets A and B is −0.25. Asset C’s return is independent of the other two assets.
The expected return and standard deviation of Asset C are 0.5 percent and 1
percent.
(a) Find a portfolio of the three assets that...
Portfolio analvsis (8 points L3 points) Asset A has an expected return of 10% and a...
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 that the risk-free rate is 6 percent and the expected return of the market portfolio...
Suppose that the risk-free rate is 6 percent and the expected return of the market portfolio is 14 percent, with a standard deviation of 24 percent. The investor wants to create a portfolio with a standard deviation of 20 percent. Calculate the portfolio’s expected return.
Given that the risk-free rate is 5%, the expected return on the market portfolio is 20%,...
Given that the risk-free rate is 5%, the expected return on the market portfolio is 20%, and the standard deviation of returns to the market portfolio is 20%, answer the following questions: c. Now suppose that you want to have a portfolio, which pays 25% expected return. What is the weight in the risk free asset and in the market portfolio? d. What do these weights mean: What are you doing with the risk free asset and what are you...
Suppose the risk-free rate is 4.3 percent and the market portfolio has an expected return of...
Suppose the risk-free rate is 4.3 percent and the market portfolio has an expected return of 11 percent. The market portfolio has a variance of .0392. Portfolio Z has a correlation coefficient with the market of .29 and a variance of .3295 According to the capital asset pricing model, what is the expected return on Portfolio Z? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16
A stock has a beta of 1.80 and an expected return of 13 percent. A risk-free...
A stock has a beta of 1.80 and an expected return of 13 percent. A risk-free asset currently earns 3.2 percent. a. What is the expected return on a portfolio that is equally invested in the two assets? b. If a portfolio of the two assets has a beta of .99, what are the portfolio weights? c. If a portfolio of the two assets has an expected return of 9%, what is its beta? d. If a portfolio of the...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 9 percent and a standard deviation of 16 percent. The risk-free rate is 4.1 percent and the expected return on the market portfolio is 11 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .38 correlation with the market portfolio and a standard deviation of 60 percent?
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...
Q7-Consider the following combination of expected return and risk for various portfolios (named A-H) on the risk-return diagram. Assume a risk-free rate of 12% where one may borrow or lend at this rate. Expected Return (%) Risk (%) A 10 23 B 12.5 21 C D E F G H 15 16 17 18 18 20 25 29 29 32 35 45 Sharpe Ratio 1. Which of the above portfolios has the highest Sharpe ratio? (Must express in percentage) (5pts.)...
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)...
Most questions answered within 3 hours.
-
Each of the following vectors is given in terms of its
x and y components. Find...
asked 2 minutes ago -
Consider the rate law.
rate=k[A]^x
Determine the value of x if the rate doubles when [A]...
asked 4 minutes ago -
A spring with a force constant of 1.50 N/m is attached to a mass
of 120g....
asked 6 minutes ago -
Are there major Free-Rider problems in the state of
Pennsylvania?
asked 6 minutes ago -
A network consists of the following list. Times are given in
weeks. Activity Preceding Time (weeks)...
asked 7 minutes ago -
The "executive pay over $1 million cap" applies
to:
a.
all C corporations.
b.
only publicly...
asked 17 minutes ago -
We are drawing two cards without replacement from a standard
52-card deck. Find the probability that...
asked 21 minutes ago -
The financial records of businesses may be audited by state tax
authorities to test compliance with...
asked 24 minutes ago -
Paul Swanson has an opportunity to acquire a franchise from The
Yogurt Place, Inc., to dispense...
asked 25 minutes ago -
Prove that A is Turing-recognizable if and only if A
≤m ATM.
asked 39 minutes ago -
Topic: Cloud computing in UAE
1. Introduction of cloud computing (100
words)
2. Benefits of cloud...
asked 39 minutes ago -
A company has an enterprise value of $20mm. It has debt
outstanding of $4mm. It has...
asked 50 minutes ago