Question

Use the following information to answer questions 33 and An investor can design risky at d woock S A retum of 18% and standard deviation of sum of 20 portfolio based on two stocks, and a standard deviation of return of 5%. The core Stock ard deviation of return of s c and B is .25. The risk-free rate of return is 10% ient between ghts of A and B in the Tangency (Optimal Risk Portfolio are A) 2.50 percent and 97.50 percent, respectively B) 4.00 percent and 96.00 percent, respectively C) 6.67 percent and 93.33 percent, respectively D) 8.50 percent and 91.50 percent, respectively 34) The expected return on the Tangency (Optimal Risky) Portfolio is A) 11.5 percent B) 14.27 percent C) 15.75 percent D) 18 percent 35) An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20%, while the standard deviation on stock B is 15%. The correlation coefficient between the returns on A and B is 0%. The rate of return for stocks A and B is 20 and 10 respectively. What should be weights of A and B on the minimum-variance portfolio? A) WA= 20% and WB - 80% B) WA= 32% and WB = 68% C) WA= 36% and WB = 64% D) WA= 40% and WB = 60% nation whic
answer all three questions please

Answer 1

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33. (C)

34. (B)

35.(C)

OPTIMAL RISKY PORTFOLIO VC AMORT SINKING JORDAN - Microsoft Excel (Product Activation Failed) Data Review View Add-Ins File Home Insert Page Layout Formulas - 2x % Cut AutoSum - A = = = V General Wrap Text FMerce Merge & Center Center E E E s $ - % % 4.0 .00 8. Insert Delete Format Conditional Format Formatting as Table Styles Cell Styles Fill 2 Clear Sort & Filter Editing Find & Select Alignment Number Cells E F G H L M N O P Calibri 11 A A E Copy Paste Format Painter B I U - D A Clipboard Font H128 A B C D 115 Expected return on portfolio: 117 118 119 116 Elre) = (ws) (E(S)) + (WB) (Elros) 120 121 122 E(rp) = E(rp) = 14.2667 % 14.27 % (E113*L98) + (E114*L99) 0.1427 123 124 125 126 127 128 129 130 131 132 133 HEM Red BEST CAL BINOMIAL 2 TIME SINKING AMORTIZA Sheet2 VC JORDAN INSURANCE Sheet1 Sheet3 Sheet4 Sheets Sheeto greta MIN VAR PORT ferences Sheets I THE TW 130% 6 0 +) ODER 9 * * OENG 31-10-2019

OPTIMAL RISKY PORTFOLIO VC AMORT SINKING JORDAN - Microsoft Excel (Product Activation Failed) Data Review View Add-Ins File Home Insert Page Layout Formulas - 2x % Cut Calibri A = = = V General 11 B- A A Wrap Text Merge & Center - B I U . $ -% Number Σ AutoSum : A Fill Sort & 2 Clear Filter Editing Formatting as Table Styles Styles Find & Select Alignment Cells E Copy Paste Format Painter Clipboard BB3 AR 3 Font fic I AS AW AY AZ BA BB BC BD BE AT AU AV Minimum variance AX Portfolio (60)? 6) (9) loo) on) © 2009 (3) 11 12 SD O(A) 0 (B) 20.0000 15.0000 VARIANCE (0 (A))^2 (o (B))^2 13 14 400.00 225.00 0.0000 r= 15 W(A) = [=(AX13) - ((AX14)*(AU12)*(AU13))] [=(AX12) + (AX13) - (2*(AX14)*(AU12)*(AU13))] (324 - (0.11*34*18) (1156+324-12*0.11* 225 625 16 17 18 19 20 a-1 21 M Red WEIGHTS W(A)= W(B) = MIN VAR PORT BEST CALBINOMIAL 2 TIME ferences 0.3600 0.6400 SINKING AMORTIZA 36.00% 64.00% WEIGHT OF stock fund WEIGHT OF bond fund Sheet1 Sheet3 Sheet4 Sheets H Sheet2 VC JORDAN INSURANCE Sheeto greta 0 T Sheets BO IC 130% _ 0 + EJEND O ENG 31-10-2019