Homework Answers
Covariance of the portfolio = correlation Coefficient * ( Standard deviation of X * Standard deviation of Y)
= 0.6 * (0.02 * 0.03)
= 0.036
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X has expected return of 10% and variance of 4%. Security Y has expected return of...
22. Security C has expected return of 12% and standard deviation of 20%. Security D has...
22. Security C has expected return of 12% and standard deviation of 20%. Security D has expected return of 15% and standard deviation of 27%. If the two securities have a correlation coefficient of 0.7, what is their covariance? 0.038 а. b. 0.070 0.018 с. d. 0.013 0.054 е.
you are considering investing in two securities. Security 1 has a expected return of 12% and...
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...
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...
Security X has an expected return of 15% and a standard deviation of 35%, and is...
Security X has an expected return of 15% and a standard deviation of 35%, and is to be continued in a portfolio with Security Y. The correlation between both assets is 0.75. An investor plans to invest $3000 in Security X and $7000 in Security Y. (a) What will be the expected return om the portfolio? (b) If the investor has a risk tolerance of only 25% or less, will this be achieved? Show with calculations accurate to two decimal...
1.Stock X has an expected return of 12% and a variance of .04. Stock Y has...
1.Stock X has an expected return of 12% and a variance of .04. Stock Y has an expected return of 24% and a variance of .14. Stocks X and Y have a correlation coefficient of –.4. Calculate the expected return (in %) and standard deviation (in %) of a portfolio consisting of $20,000 invested in stock X and $30,000 invested in stock Y. Unless stated otherwise, compounding is annual and payments occur at the end of the period.
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...
Stock X has an expected return of 7 percent, a standard deviation of returns of 28...
Stock X has an expected return of 7 percent, a standard deviation of returns of 28 percent, a correlation coefficient with the market of –0.5, and a beta coefficient of –0.6. Stock Y has an expected return of 14 percent, a standard deviation of 15 percent, a 0.7 correlation with the market, and a beta of 0.9. Which security would be riskier if it were held by itself as a single investment? a. Stock Y b. Both would be equally...
Q1) A stock fund has an expected return of 15% and a standard deviation of 25%...
Q1) A stock fund has an expected return of 15% and a standard deviation of 25% and a bond fund has an expected return of 10% and a standard deviation of 10%. The correlation between the two funds is 0.25. The risk free rate is 5%. What is the (a) expected return and (b) standard deviation of the portfolio with 70% weight in the stock portfolio and 30% weight in the bond portfolio? Q2) The variance of Stock A is...
Using the following 3 securities calculate: 1. Expected return 2. Variance 3. Standard deviation 4. Correlation...
Using the following 3 securities calculate: 1. Expected return 2. Variance 3. Standard deviation 4. Correlation between all possible pairs 5. Covariance between all possible pairs Probability Stock A .10 .10 .30 .20 .30 5% 5% 12% 6% 18% Stock B 35% 31% 30% 25% 17% Stock C 2% 6% 10% 15% 20%
3. Suppose the covariance between Y and X is 15, the variance of Y is 25,...
3. Suppose the covariance between Y and X is 15, the variance of Y is 25, and the variance of X is 36. What is the correlation coefficient (r), between Y and X? 4. Compare and contrast covariance between Y and X is 10 and covariance between P and Q is 1,210
22. Security C has expected return of 12% and standard deviation of 20%. Security D has expected return of 15% and standard deviation of 27%. If the two securities have a correlation coefficient of 0.7, what is their covariance? 0.038 а. b. 0.070 0.018 с. d. 0.013 0.054 е.
Using the following 3 securities calculate: 1. Expected return 2. Variance 3. Standard deviation 4. Correlation between all possible pairs 5. Covariance between all possible pairs Probability Stock A .10 .10 .30 .20 .30 5% 5% 12% 6% 18% Stock B 35% 31% 30% 25% 17% Stock C 2% 6% 10% 15% 20%
3. Suppose the covariance between Y and X is 15, the variance of Y is 25, and the variance of X is 36. What is the correlation coefficient (r), between Y and X? 4. Compare and contrast covariance between Y and X is 10 and covariance between P and Q is 1,210
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