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In: Finance
What are the expected return and the standard deviation for the CoR Stock? &nb
- What are the expected return and the standard deviation for the CoR Stock?
CoR Stock
|
Scenario |
Probability of Scenario |
Rate of Return |
|
Worst Case |
0.10 |
−11% |
|
Poor Case |
0.20 |
−4% |
|
Most Likely |
0.40 |
−2% |
|
Good Case |
0.20 |
8% |
|
Best Case |
0.10 |
14% |
- Your client decides to invest $1.4 million in Flama stock and
$0.6 million in Blanca stock. The risk-free rate is 4% and the
market risk premium is 5%. The beta of the Flama Stock is 1.2; and
the beta of the Blanca stock is 0.8.
- What are the weights for this portfolio?
- What is the portfolio beta?
- What is the required return of the portfolio
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What are the expected return and the standard deviation for the CoR Stock? &nb
What are the expected return and the standard deviation for the
CoR Stock?
CoR
Stock
Scenario
Probability of Scenario
Rate of Return
Worst Case
0.10
−11%
Poor Case
0.20
−4%
Most Likely
0.40
−2%
Good Case
0.20
8%
Best Case
0.10
14%
Your client decides to invest $1.4 million in Flama stock and
$0.6 million in Blanca stock. The risk-free rate is 4% and the
market risk premium is 5%. The beta of the Flama Stock is 1.2; and...
What are the expected return and the standard deviation for the CoR Stock? CoR Stock...
What are the expected return and the standard deviation for the
CoR Stock?
CoR Stock
Scenario
Probability of Scenario
Rate of Return
Worst Case
0.10
−11%
Poor Case
0.20
−4%
Most Likely
0.40
−2%
Good Case
0.20
8%
Best Case
0.10
14%
What are the expected return and standard deviation of stock A and stock B?
Consider the following information:
State Probability A
B
Boom 0.6
20% -5%
Bust 0.4
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Stock A has an expected return of 16% and a standard deviation of 30%.
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Expected Return Standard Deviation Stock fund (S) 20%  
Expected Return Standard Deviation
Stock fund (S)
20%
30%
Bond fund (B)
12%
15%
Correlation = .10
7. If you were to use only the two risky funds, and still
require an expected return of 14%, what would be the investment
proportions of your portfolio? Compare its standard deviation to
that of the optimized portfolio in Problem 9. What do you
conclude?
Problem 9
Stock Expected Return
Standard Deviation
A
10%
5%
B...
Portfolio Average Return Standard Deviation Beta A &nb
Portfolio
Average Return Standard
Deviation Beta
A
14.7%
18.6%
1.47
B
8.8
14.2
.78
C
11.2
16.0
1.22
The risk-free rate is 4.5 percent and the market risk
premium is 7 percent.
What is the Treynor ratio of a
portfolio comprised of 30 percent portfolio A, 20 percent portfolio
B, and 50 percent portfolio C?
SHOW WORK
Stock A has an expected return of 15% and a standard deviation of 26%. Stock B...
Stock A has an expected return of 15% and a standard deviation
of 26%. Stock B has an expected return of 15% and a standard
deviation of 12%. The risk-free rate is 4% and the correlation
between Stock A and Stock B is 0.5. Build the optimal risky
portfolio of Stock A and Stock B. What is the standard deviation of
this portfolio? Round answer to 4 decimal places
Stock A has an expected return of 15% and a standard deviation of 26%. Stock B...
Stock A has an expected return of 15% and a standard deviation
of 26%. Stock B has an expected return of 15% and a standard
deviation of 12%. The risk-free rate is 4% and the correlation
between Stock A and Stock B is 0.5. Build the optimal risky
portfolio of Stock A and Stock B. What is the standard deviation of
this portfolio?
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