Homework Answers
S = [Ri - Rf] / i
= [15% - 3%] / 21 = 0.57
Ti = [Ri - Rf] / i
= [15% - 3%] / 1.10 = 10.91
Add Answer to:
- Given below E(r) Portfolio X 15% 21 1.10 S&P 500 9 3 0.50 T-bills 3...
31. Your portfolio is 1/3 in T Bills, 1/3 in S&P 500 fund and the rest...
31. Your portfolio is 1/3 in T Bills, 1/3 in S&P 500 fund and the rest in XYZ with beta of 1.2. What is the beta or your portfolio?
Refer the table below on the average risk premium of the S&P 500 over T-bills and...
Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium. Suppose that the S&P 500 is your risky portfolio. Period 1926-2015 1992–2015 1970–1991 1948-1969 1926-1947 Average Annual Returns S&P 500 1-Month Portfolio T-Bills 11.77 3.47 10.79 2.66 12.87 7.54 14.14 2.70 9.25 0.91 S&P 500 Portfolio Risk Standard Premium Deviation 8.30 20.59 8.13 18.29 5.33 18.20 11.44 17.67 8.33 27.99 Sharpe Ratio 0.40 0.44 0.29 0.65 0.30...
Refer the table below on the average risk premium of the S&P 500 over T-bills and...
Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium. Suppose that the S&P 500 is your risky portfolio Period 1926-2015 1992-2015 1970-1991 1948-1969 1926-1947 Average Annual Returns S&P 500 1-Month Portfolio T-Bills 11.77 3.47 10.79 2.66 12.87 7.54 14.14 2.70 9.25 0.91 S&P 500 Portfolio Risk Standard Premium Deviation 8.30 20.59 8.13 18.29 5.33 18.20 11.44 17.67 8.33 27.99 Sharpe Ratio 0.40 0.44 0.29 0.65 0.30...
CAPM data: Market portfolio: Risk-free asset: Om = 0.2 E[RM]=18%, R, = 6% T-bills are also...
CAPM data: Market portfolio: Risk-free asset: Om = 0.2 E[RM]=18%, R, = 6% T-bills are also available. They are considered riskless and have a corresponding rate of return. You have $20,000 to invest. a) What are Br-Bills, and 07-Bills? (1 mark) b) Consider Portfolio X comprised of T-Bills and a $25,000 investment in the market portfolio i) Find 0,- (1 mark) ii) Solve for Br. (1 marks) c) Determine the weights of T-Bills and the market portfolio that combined would...
Problem 6-20 Refer the table below on the average risk premium of the S&P 500 over...
Problem 6-20 Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium Suppose that the S&P 500 is your risky portfolio Sharpe Period 1926-2015 1992-2015 1970-1991 1948-1969 1926-1947 Average Annual Returns S&P 500 1-Month Portfolio T-Bills T 11.77 3.47 110.79 2.66 12.87 14.14 2.70 9.25 8.91 Risk Premium 8.30 8.13 5.33 11.44 S&P 500 Portfolio Standard Deviation 20.59 18.29 18.20 17.67 27.99 0.40 0.44 0.29 0.3e o....
11. Let Z = (X1,X2, X3)T be a portfolio of three assets. E(X) 0.50. E(X2-1.5. E(X3) = 2.5, VAR(X)...
11. Let Z = (X1,X2, X3)T be a portfolio of three assets. E(X) 0.50. E(X2-1.5. E(X3) = 2.5, VAR(X)-2, VAR(X2)-3, Var(Xs)-5·PX1.x2-0.6 and X1 and X2 are idependent of X3 (a) Find E(0.3xi +0.3X2 +0.4X3) and Var(0.3X1 +0.3X2 +0.4Xs) (b) Find P[0.3X1 +0.3x2 + 0.4X3 <2). Since z-table isn't provided, just write down the (c) Find the covariance between a portfolio that allocates 1/3 to each of the three assets and a portfolio that allocates 1/2 to each of the first...
9. A portfolio manager has an equity portfolio that is valued at $75 million. The Portfolio...
9. A portfolio manager has an equity portfolio that is valued at $75 million. The Portfolio has a current beta of .9 and a dividend yield of 1%. It is currently August 15 and the manager is concerned that markets are volatile and the portfolio could lose value, so they decide to hedge. a. The manager will use the S&P 500 index contracts to hedge. The contract is settled n cash at $250 times the contract price. The current S&P...
Here are the risk and return estimates for the T-Note (#1) and the S&P 500 (#2)...
Here are the risk and return estimates for the T-Note (#1) and
the S&P 500 (#2) for the coming year:
Problem IV (12 points) Here are the risk and return estimates for the T-Note (#1) and the S&P 500 (#2) for the coming year: T-Note (#1) Expected Return E(R) 6%e Std, Deviation 12% Correlation (T-Note, S&P 500) = 0 S&P 500 (#2) 8% 16% 1. What is the expected return and standard deviation of the following portfolios? Portfolio Weight in...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 27% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 6%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with...
9. A portfolio manager has an equity portfolio that is valued at $75 million. The portfolio has a...
9. A portfolio manager has an equity portfolio that is valued at $75 million. The portfolio has a current beta of .9 and a dividend yield of 1%. It is currently August 15 and the manager is concerned that markets are volatile and the portfolio could lose value, so they decide to hedge. a. The manager will use the S&P 500 index contracts to hedge. The contract is settled in cash at $250 times the contract price. The current S&P...
31. Your portfolio is 1/3 in T Bills, 1/3 in S&P 500 fund and the rest in XYZ with beta of 1.2. What is the beta or your portfolio?
Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium. Suppose that the S&P 500 is your risky portfolio. Period 1926-2015 1992–2015 1970–1991 1948-1969 1926-1947 Average Annual Returns S&P 500 1-Month Portfolio T-Bills 11.77 3.47 10.79 2.66 12.87 7.54 14.14 2.70 9.25 0.91 S&P 500 Portfolio Risk Standard Premium Deviation 8.30 20.59 8.13 18.29 5.33 18.20 11.44 17.67 8.33 27.99 Sharpe Ratio 0.40 0.44 0.29 0.65 0.30...
Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium. Suppose that the S&P 500 is your risky portfolio Period 1926-2015 1992-2015 1970-1991 1948-1969 1926-1947 Average Annual Returns S&P 500 1-Month Portfolio T-Bills 11.77 3.47 10.79 2.66 12.87 7.54 14.14 2.70 9.25 0.91 S&P 500 Portfolio Risk Standard Premium Deviation 8.30 20.59 8.13 18.29 5.33 18.20 11.44 17.67 8.33 27.99 Sharpe Ratio 0.40 0.44 0.29 0.65 0.30...
CAPM data: Market portfolio: Risk-free asset: Om = 0.2 E[RM]=18%, R, = 6% T-bills are also available. They are considered riskless and have a corresponding rate of return. You have $20,000 to invest. a) What are Br-Bills, and 07-Bills? (1 mark) b) Consider Portfolio X comprised of T-Bills and a $25,000 investment in the market portfolio i) Find 0,- (1 mark) ii) Solve for Br. (1 marks) c) Determine the weights of T-Bills and the market portfolio that combined would...
Problem 6-20 Refer the table below on the average risk premium of the S&P 500 over T-bills and the standard deviation of that risk premium Suppose that the S&P 500 is your risky portfolio Sharpe Period 1926-2015 1992-2015 1970-1991 1948-1969 1926-1947 Average Annual Returns S&P 500 1-Month Portfolio T-Bills T 11.77 3.47 110.79 2.66 12.87 14.14 2.70 9.25 8.91 Risk Premium 8.30 8.13 5.33 11.44 S&P 500 Portfolio Standard Deviation 20.59 18.29 18.20 17.67 27.99 0.40 0.44 0.29 0.3e o....
11. Let Z = (X1,X2, X3)T be a portfolio of three assets. E(X) 0.50. E(X2-1.5. E(X3) = 2.5, VAR(X)-2, VAR(X2)-3, Var(Xs)-5·PX1.x2-0.6 and X1 and X2 are idependent of X3 (a) Find E(0.3xi +0.3X2 +0.4X3) and Var(0.3X1 +0.3X2 +0.4Xs) (b) Find P[0.3X1 +0.3x2 + 0.4X3 <2). Since z-table isn't provided, just write down the (c) Find the covariance between a portfolio that allocates 1/3 to each of the three assets and a portfolio that allocates 1/2 to each of the first...
Here are the risk and return estimates for the T-Note (#1) and
the S&P 500 (#2) for the coming year:
Problem IV (12 points) Here are the risk and return estimates for the T-Note (#1) and the S&P 500 (#2) for the coming year: T-Note (#1) Expected Return E(R) 6%e Std, Deviation 12% Correlation (T-Note, S&P 500) = 0 S&P 500 (#2) 8% 16% 1. What is the expected return and standard deviation of the following portfolios? Portfolio Weight in...
Most questions answered within 3 hours.
-
D. A student completed 20 courses in the School of Arts and
Sciences. Her grades in...
asked 2 minutes ago -
teo
pucks moving on a frictionless air table are about to collide. the
1.5 kg puck...
asked 8 minutes ago -
Problem #1
The area between Z = 0 and Z = 2.50
The area between Z...
asked 1 hour ago -
1. What is the meaning of the term communication style?
2. What are the benefits to...
asked 1 hour ago -
9.) You are buying a car that cost $26,500. You make payments of
$412 each month...
asked 1 hour ago -
. Suppose a discrete random variable has probability
distribution
P(x) = .2 if x = 0...
asked 2 hours ago -
Under the influence of its drive force, a snowmobile is moving
at a constant velocity along...
asked 3 hours ago -
Why do organizations decline? What steps can top
management take to halt, decline, and restore organizational...
asked 3 hours ago -
What mechanisms Drive speciation??
(I.e. what was Dawins theory on the orgin of species, and how...
asked 4 hours ago -
The manager at a car assembly plant believes that the mean
assembly time for a car...
asked 5 hours ago -
Which of the following is true of electron capture?
A) It decreases the nuclide's mass number...
asked 7 hours ago -
Assuming an efficiency of 43.10%, calculate the actual yield of
magnesium nitrate formed from 114.9 g...
asked 7 hours ago