Question
In: Finance
Assume that you manage a risky portfolio with an expected rate of return of 17% and...
Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund.
QUESTION 12 What is the Sharpe ratio of your risky portfolio? A. 27% B. 37% C. 19.32% D. 62.9% E. 17.58% 4 points
QUESTION 13 What is the Sharpe ratio of your overall portfolio? A. 37% B. 27% C. 12.25 D. 10.67 E. 70%
Solutions
jeff jeffy answered 2 years agoRelated Solutions
Assume that you manage a risky portfolio with an expected rate of return of 17% and...
Assume that you manage a risky portfolio with an expected rate
of return of 17% and a standard deviation of 35%. The T-bill rate
is 4.5%.
A client prefers to invest in your portfolio a proportion
(y) that maximizes the expected return on the overall
portfolio subject to the constraint that the overall portfolio's
standard deviation will not exceed 25%.
What is the expected rate of return on your client's overall
portfolio?
Expected rate of return?
Assume that you manage a risky portfolio with an expected rate of return of 17% and...
Assume that you manage a risky portfolio with an expected rate
of return of 17% and a standard deviation of 33%. The T-bill rate
is 6%. Your client chooses to invest 75% of a portfolio in your
fund and 25% in a T-bill money market fund.
a. What is the expected return and standard deviation of your
client's portfolio? (Round your answers to 2 decimal
places.)
Expected return % per year
Standard deviation % per year
b. Suppose your risky...
Assume that you manage a risky portfolio with an expected rate of return of 17% and...
Assume that you manage a risky
portfolio with an expected rate of return of 17% and a standard
deviation of 27%. The T-bill rate is 7%. Suppose that you have a
client that prefers to invest in your risky portfolio a proportion
(y) of his total investment budget so that his overall portfolio
will have an expected rate of return of 15%. (1) What is the
investment proportion, y? (2.) What is the standard deviation of
the rate of return...
You manage a risky portfolio with an expected rate of return of 17% and a standard...
You manage a risky portfolio with an expected rate of
return of 17% and a standard deviation of 35%. The T-bill rate is
5%.
What is the Sharpe ratio of the risky portfolio?
Your client chooses to invest 70% of a portfolio in your fund
and 30% in an essentially risk-free money market fund. What is the
expected return and standard deviation of the rate of return on
their portfolio?
Another client wishes to invest such that the resulting
combination...
You manage a risky portfolio with an expected rate of return of 17% and a standard...
You manage a risky portfolio with an expected rate of return of
17% and a standard deviation of 28%. The T-bill rate is 7%. Your
client’s degree of risk aversion is A = 2.0, assuming a utility
function U = E(r) − ½Aσ².
a. What proportion, y, of the total investment should be
invested in your fund? (Do not round intermediate calculations.
Round your answer to 2 decimal places.)
b. What are the expected value and standard deviation of the...
You manage a risky portfolio with an expected rate of return of 17% and a standard...
You manage a risky portfolio with an expected rate of return of
17% and a standard deviation of 27%. The t-bill rate is 7%.
a) One of your clients chooses to invest 70% of a portfolio in
your risky fund and 30% in t-bills. What is the expected return and
standard deviation of your client’s portfolio?
b) What is the Sharpe Ratio of the risky portfolio you offer?
What is the Sharpe Ratio of your client’s portfolio?
c) If another...
Assume you manage a risky portfolio with an expected return of 17% and a standard deviation...
Assume you manage a risky portfolio with an expected return of
17% and a standard deviation of 27%. The T-bill rate is 7%. Your
client chooses to invest a proportion (y) of his portfolio in your
fund and the rest (1-y) in the T-bill money market fund. His
overall portfolio will have an expected rate of return of 15% What
is the proportion y? What is the standard deviation of the rate of
return on your client’s portfolio?
Assume that you manage a risky portfolio with an expected rate of return of 12% and...
Assume that you manage a risky portfolio with an expected rate
of return of 12% and a standard deviation of 44%. The T-bill rate
is 5%.
Your client chooses to invest 80% of a portfolio in your fund
and 20% in a T-bill money market fund.
What is the expected return of your client's portfolio?
(Enter your answer as a decimal number rounded to four
decimal places.)
Expected return?
Assume you manage a risky portfolio with an expected rate of return of 8% and a...
Assume you manage a risky portfolio with an expected rate of
return of 8% and a standard deviation of 18%. The T-bill rate is
3%. Suppose your client prefers to invest in your portfolio a
proportion that maximizes the expected return of the overall
portfolio subject to the constraint that the overall portfolio's
standard deviation will note exceed 12%. What is the expected
return of the overall portfolio? convert your answer to percentages
and round to two decimal places
Assume you manage a risky portfolio with an expected rate of return of 12% and a...
Assume you manage a risky portfolio with an expected rate of
return of 12% and a standard deviation of 21%. The T-bill rate is
3%. Your client decides to invest in your risky portfolio a
proportion (y) of her total investment budget so that her overall
portfolio will have an expected rate of return of 8%. What is the
standard deviation of the rate of return on your client's
portfolio? Convert your answer to percentages with two decimal
points
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