state prob return asset A return asset B 1 0.5 4.9% 4.9% 2 0.5 7.2% 4.0%...
| state | prob | return asset A |
return asset B |
|---|---|---|---|
| 1 | 0.5 | 4.9% | 4.9% |
| 2 | 0.5 | 7.2% | 4.0% |
Calculate the variance of return of asset B.
| state | prob | return asset A |
return asset B |
|---|---|---|---|
| 1 | 0.5 | 4.9% | 4.9% |
| 2 | 0.5 | 7.2% | 4.0% |
Calculate the variance of the rate of return on a portfolio with
1/2 of wealth invested in asset A and 1/2 of wealth invested in
asset B.
| state | prob | return asset A |
return asset B |
|---|---|---|---|
| 1 | 0.5 | 4.9% | 4.9% |
| 2 | 0.5 | 7.2% | 4.0% |
Calculate the standard deviation of the rate of return on a
portfolio with 1/2 of wealth invested in asset A and 1/2 of wealth
invested in asset B.
| state i | probability of state i |
return asset A in state i |
return asset B in state i |
|---|---|---|---|
| 1 | 0.3 | -5% | 24% |
| 2 | 0.4 | 14% | 11% |
| 3 | 0.3 | 19% | -6% |
Calculate the expected return of asset A.
Using the data displayed in Table 4.2 above, calculate the expected return of asset B.
Using the data displayed in Table 4.2 above, calculate the variance of return for asset A.
Using the data displayed in Table 4.2 above, calculate the variance of return for asset B.
Using the data displayed in Table 4.2 above, calculate the expected return on a portfolio with 1/2 of wealth invested in asset A and 1/2 of wealth invested in asset B.
Using the data displayed in Table 4.2 above, calculate the variance in the return of a portfolio with 1/2 of wealth invested in asset A and 1/2 of wealth invested in asset B.
Using the data displayed in Table 4.2 above, calculate the standard deviation in the return of a portfolio with 1/2 of wealth invested in asset A and 1/2 of wealth invested in asset B.
Homework Answers
![1 Stock B: Return (r) Probability [(P(r)]xete return [rxP(r)r-H 4.90% 4.00% 2.45% 2.00% 0.45% -0.45% 0.00% 0.00% 0.50 0.00001](http://img.homeworklib.com/questions/ed013b90-c6a2-11ea-bfbc-2d86929e982a.png?x-oss-process=image/resize,w_560)
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1. What is the EXPECTED RETURN for Asset A and B? 2.What is the STANDARD DEVIATION for Asset A and B? State...
1. What is the EXPECTED RETURN for Asset A and B?
2.What is the STANDARD DEVIATION for Asset A and B?
State of Economy Probability Asset A of State of Rate of Economy Return 0.3 0.13 0.5 0.06 0.2 -0.05 Asset B Rate of Return 0.08 0.05 -0.01 Boom Normal Recession
Show transcribed image text State of Economy Probability Asset A of State of Rate of Economy Return 0.3 0.13 0.5 0.06 0.2 -0.05 Asset B Rate of Return 0.08...
Question 1. Portfolio Analysis (2 points) a) Assume the following about assets A and B: E[7]0.1,...
Question 1. Portfolio Analysis (2 points) a) Assume the following about assets A and B: E[7]0.1, -0.09, E[TB] =0.08, o -0.04. Which one has lower absolute risk and which one has lower relative risk? (1): b) Find the mean return, E[r.), and variance, oz. of a portfolio consisting of 70% of your total wealth invested in asset A (w4=0.70), and 30% of your total wealth invested in asset B (Wg= 0.30). The correlation between assets A and B (P3) =...
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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
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Question 8 (1 point) You have a portfolio with 40% invested in stock A and 60%...
Question 8 (1 point) You have a portfolio with 40% invested in stock A and 60% invested in stock B. What is the expected return and standard deviation of the portfolio. Economy B Weak Average Strong Prob. 0.5 0.3 0.2 A -12% 8% 13% 5% 7% 15% 2.6%, 6.8% 4.2%, 6.4% 2.6%, 6.0% 4.2%, 6.7%
Expected Return of Asset 1 = 10% Expected Return of Asset 2 = 15% The standard...
Expected Return of Asset 1 = 10% Expected Return of Asset 2 = 15% The standard deviation of Asset 1's return = The standard deviation of Asset 2's 3% return = 5% The proportion of the capital invested in Asset The proportion of the capital invested in 1 = 30% Asset 2 = 70% Calculate the standard deviation of the portfolio consisting of these two assets when the correlation coefficient between Asset 1 and Asset 2 is 0.40. Select one:...
Finance 4310 Class Assignment Investment State I Return (p=0.3) State II Return (p = 0.5) State...
Finance 4310 Class Assignment Investment State I Return (p=0.3) State II Return (p = 0.5) State III Return (p=0.2) 5% 11% 9% 8% -3% Given the above information on two investments A and B, calculate the following statistics: The correlation coefficient between A and B is 0.169. (Note that since the correlation is given, you do not have to do the long calculation for covariance, just use AB = P1003) A. Expected Return for A (Check answer: 8.8%) B. Standard...
Please answer 1. The two-asset case Aa Aa The expected return for asset A is 8.75%...
Please answer
1. The two-asset case Aa Aa The expected return for asset A is 8.75% with a standard deviation of 4.00%, and the expected return for asset B is 4.50% with a standard deviation of 10.00%. Based on your knowledge of efficient portfolios, fill in the blanks in the following table with the appropriate answers Proportion of Portfolio in Security A Proportion of Portfolio in Security B Expected Portfolio Return Standard Deviation Op (%) Case II (PAB-0.5) (PAB0.3) (PAB-0.8)...
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Portfolio 1- calculate the expected return, variance and
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Note: there is also a risk free asset F whos expected return is
9.9%
I WA TISK and fetui11 man those that are provided in the article. The table below gives information on three risky assets: A, B, and C. Correlations Asset Expected return Standard Deviation of the Return B C 0.4 0.15...
Question 3. Capital asset pricing model. (2 points) The expected return on the market portfolio is...
Question 3. Capital asset pricing model. (2 points) The expected return on the market portfolio is 9%. The risk free rate is 5%. The variance of the market portfolio returns is 0.08 and the covariance of the market and GE returns is 0.06. Calculate beta for GE. a) Interpret what beta means. b) Calculate the expected return for GE stock, how is it compared to the expected return on the market portfolio? c) If you form a portfolio with 75%...
1. What is the EXPECTED RETURN for Asset A and B?
2.What is the STANDARD DEVIATION for Asset A and B?
State of Economy Probability Asset A of State of Rate of Economy Return 0.3 0.13 0.5 0.06 0.2 -0.05 Asset B Rate of Return 0.08 0.05 -0.01 Boom Normal Recession
Show transcribed image text State of Economy Probability Asset A of State of Rate of Economy Return 0.3 0.13 0.5 0.06 0.2 -0.05 Asset B Rate of Return 0.08...
Question 1. Portfolio Analysis (2 points) a) Assume the following about assets A and B: E[7]0.1, -0.09, E[TB] =0.08, o -0.04. Which one has lower absolute risk and which one has lower relative risk? (1): b) Find the mean return, E[r.), and variance, oz. of a portfolio consisting of 70% of your total wealth invested in asset A (w4=0.70), and 30% of your total wealth invested in asset B (Wg= 0.30). The correlation between assets A and B (P3) =...
Question 1. Portfolio Analysis (2 points) a) Assume the following about assets A and B: E[r]=0.1, o =0.09. E[ra] -0.08, o; -0.04. Which one has lower absolute risk and which one has lower relative risk? (1): (2) b) Find the mean return, E[r], and variance, o. of a portfolio consisting of 70% of your total wealth invested in asset A (Wx=0.70), and 30% of your total wealth invested in asset B (w3= 0.30). The correlation between assets A and B...
Question 8 (1 point) You have a portfolio with 40% invested in stock A and 60% invested in stock B. What is the expected return and standard deviation of the portfolio. Economy B Weak Average Strong Prob. 0.5 0.3 0.2 A -12% 8% 13% 5% 7% 15% 2.6%, 6.8% 4.2%, 6.4% 2.6%, 6.0% 4.2%, 6.7%
Expected Return of Asset 1 = 10% Expected Return of Asset 2 = 15% The standard deviation of Asset 1's return = The standard deviation of Asset 2's 3% return = 5% The proportion of the capital invested in Asset The proportion of the capital invested in 1 = 30% Asset 2 = 70% Calculate the standard deviation of the portfolio consisting of these two assets when the correlation coefficient between Asset 1 and Asset 2 is 0.40. Select one:...
Finance 4310 Class Assignment Investment State I Return (p=0.3) State II Return (p = 0.5) State III Return (p=0.2) 5% 11% 9% 8% -3% Given the above information on two investments A and B, calculate the following statistics: The correlation coefficient between A and B is 0.169. (Note that since the correlation is given, you do not have to do the long calculation for covariance, just use AB = P1003) A. Expected Return for A (Check answer: 8.8%) B. Standard...
Please answer
1. The two-asset case Aa Aa The expected return for asset A is 8.75% with a standard deviation of 4.00%, and the expected return for asset B is 4.50% with a standard deviation of 10.00%. Based on your knowledge of efficient portfolios, fill in the blanks in the following table with the appropriate answers Proportion of Portfolio in Security A Proportion of Portfolio in Security B Expected Portfolio Return Standard Deviation Op (%) Case II (PAB-0.5) (PAB0.3) (PAB-0.8)...
Portfolio 1- calculate the expected return, variance and
standard deviation of asset A 4.8%, Asset B 0.75%, Asset C 17.5 and
20.2 and risk free asset F.
Note: there is also a risk free asset F whos expected return is
9.9%
I WA TISK and fetui11 man those that are provided in the article. The table below gives information on three risky assets: A, B, and C. Correlations Asset Expected return Standard Deviation of the Return B C 0.4 0.15...
Question 3. Capital asset pricing model. (2 points) The expected return on the market portfolio is 9%. The risk free rate is 5%. The variance of the market portfolio returns is 0.08 and the covariance of the market and GE returns is 0.06. Calculate beta for GE. a) Interpret what beta means. b) Calculate the expected return for GE stock, how is it compared to the expected return on the market portfolio? c) If you form a portfolio with 75%...
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