Question
In: Finance
Asset A has a calculated volatility of .20. Asset B has a calculated volatility of .40....
Asset A has a calculated volatility of .20. Asset B has a calculated volatility of .40. The calculated covariance between A and B is -.025. What is the portfolio volatility of a portfolio that is 25% invested in A, and 75% invested in B?
|
30.00% |
||
|
26.54% |
||
|
33.12% |
||
|
28.83% |
Solutions
jeff jeffy answered 3 years agoRelated Solutions
Asset A has a calculated volatility of .20. Asset B has a calculated volatility of .40....
Asset A has a calculated volatility of .20. Asset B has a
calculated volatility of .40. The calculated covariance between A
and B is -.025. What is the portfolio volatility of a portfolio
that is 25% invested in A, and 75% invested in B?
Asset A has an expected return of 15% and standard deviation of 20%. Asset B has an expected return of 20% and standard deviation of 15%.
1. Asset A has an expected return of 15% and standard deviation of
20%. Asset B has an expected return of 20% and standard deviation
of 15%. The riskfree rate is 5%. A risk-averse investor would
prefer a portfolio using the risk-free asset and _______.
A) asset A
B) asset B
C) no risky asset
D) cannot tell from data provided2. The Sharpe-ratio is useful for
A) borrowing capital for investing
B) investing available capital
C) correctly...
Assume a risky asset has a mean return of µS = 0.05 and volatility of σS...
Assume a risky asset has a mean return of µS = 0.05 and
volatility of σS = 0.1 and the risk-free asset has a mean return of
0.02. When you work up this morning you had a risk aversion of α =
2, but after reading the news paper you were worried that we were
entering a recession and your risk aversion increased to α = 10.
Based on the optimal portfolio allocation setting where you have
one risky asset...
A stock index is currently 810 and has a volatility of 20% and a dividend yield...
A stock index is currently 810 and has a volatility of 20% and a
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tree.
A currency futures price is currently $1.90 and has a volatility of 20%. The domestic and...
A currency futures price is currently $1.90 and has a volatility
of 20%. The domestic and foreign risk-free interest rates are 6%
and 3%, respectively. Use a two-step binomial tree to derive a) the
value of a three-month European call option on the currency futures
with a strike price of $1.91, and b) the currency futures position
which will hedge a short position in the European call option
today.
A share of stock is currently worth $90 and has a volatility of 20%. The domestic...
A share of stock is currently worth $90 and has a volatility of
20%. The domestic risk-free interest rate is 5% and the stock does
not pay any dividend. Use a two-step binomial tree to derive a) the
value of a European four-month call option written on a 100 shares
of stock with a strike price of $91 per share, and b) the position
in shares of stock (long or short) which will hedge a short
position in the European...
Suppose a ternary alloy containing 40 atomic % A, 20 atomic % B, 40 atomic %...
Suppose a ternary alloy containing 40 atomic % A, 20 atomic % B,
40 atomic % C solidifies through a ternary eutectic reaction to a
mixture of α, β and γ with the following compositions: 80 atomic %
A, 5 atomic % B, 15 atomic % C; 70 atomic % B, 10 atomic % A, 20
atomic % C; and 20 atomic % B, 10 atomic % A, 70 atomic % C. What
will be the mole fractions of α,...
A non-dividend paying stock has a current price of 80 and has a volatility of 20%....
A non-dividend paying stock has a current price of 80 and has a
volatility of 20%. The risk-free rate is 4%. Determine the price of
a European put option on the stock with a strike price of 75 and
one year to maturity.
Use a two-step binomial tree
Use the Black-Scholes formula
1. Taggart Transcontinental’s stock has a volatility of 25% and a current stock price of $40...
1. Taggart Transcontinental’s stock has a volatility of 25% and
a current stock price of $40 per share. Taggart pays no dividends.
The risk-free interest rate is 4%.
(a). Calculate the Black-Scholes value of a one-year,
at-the-money call option on Taggart stock.
The value of a one-year, at-the-money call option on
Taggart stock is _______$ (round to two decimal
places)
(b). Calculate the Black-Scholes value of a one-year,
at-the-money put option on Taggart stock.
The value of a one-year, at-the-money...
Taggart Transcontinental’s stock has a volatility of 25% and a current stock price of $40 per...
Taggart Transcontinental’s stock has a volatility of 25% and a
current stock price of $40 per share. Taggart pays no dividends.
The risk-free interest rate is 4%.
(a). Calculate the Black-Scholes value of a one-year,
at-the-money call option on Taggart stock.
The value of a one-year, at-the-money call option on Taggart
stock is__________ $ (round to two decimal places)
(b). Calculate the Black-Scholes value of a one-year,
at-the-money put option on Taggart stock.
The value of a one-year, at-the-money put...
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