Question
In: Finance
Assume that you manage a risky portfolio with an expected rate of return of 20% and...
|
Assume that you manage a risky portfolio with an expected rate of return of 20% and a standard deviation of 42%. The T-bill rate is 4%. |
|
Your risky portfolio includes the following investments in the given proportions: |
| Stock A | 26 | % |
| Stock B | 35 | % |
| Stock C | 39 | % |
|
Your client decides to invest in your risky portfolio a proportion (y) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have an expected rate of return of 16%. |
| a. | What is the proportion y? (Round your answer to 2 decimal places.) |
| Proportion y |
| b. |
What are your client's investment proportions in your three stocks and the T-bill fund? (Round your intermediate calculations and final answers to 2 decimal places.) |
| Security | Investment Proportions |
| T-Bills | % |
| Stock A | % |
| Stock B | % |
| Stock C | % |
| c. |
What is the standard deviation of the rate of return on your client's portfolio? (Round your intermediate calculations and final answer to 2 decimal places.) |
| Standard deviation | % per year |
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Assume you manage a risky portfolio with an expected rate of return of 20% and a...
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Assume that you manage a risky portfolio with an expected rate of return of 20% and...
Assume that you manage a risky portfolio with an expected rate
of return of 20% and a standard deviation of 44%. The T-bill rate
is 4%.
Stock A
28
%
Stock B
37
%
Stock C
35
%
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 35%.
a.
What is the investment proportion, y?...
Assume that you manage a risky portfolio with an expected rate of return of 20% and...
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of his total investment budget with the remainder in a T-bill money
market fund so that his overall portfolio will have...
You manage a risky portfolio with an expected rate of return of 20% and a standard...
You manage a risky portfolio with an expected rate of return of
20% and a standard deviation of 36%. The T-bill rate is 5%. Your
client’s degree of risk aversion is A = 1.6, 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 is the expected value and standard
deviation of the...
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
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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
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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?...
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
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portfolio subject to the constraint that the overall portfolio's
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What is the expected rate of return on your client's overall
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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
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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...
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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
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portfolio will have an expected rate of return of 8%. What is the
proportion of y? Convert your answer to percentages with two
decimal points
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