Problem 11-13 More Portfolio Variance (LO4, CFA3) The expected return and standard deviation of a portfolio...

Expert Solution

The market portfolio has an expected return of 11 percent and a standard deviation of 19...

Calculate the expected return and standard deviation of the portfolio.

Problem 11-28 Portfolio Standard Deviation Suppose the expected returns and standard deviations of Stocks A and...

The expected return on Tobiko is 13% and its standard deviation is 21.8%. The expected return...

Stock X has an expected return of 11% and the standard deviation of the expected return...

You have a portfolio with a standard deviation of 25 % and an expected return of...

You have a portfolio with a standard deviation of 22 % and an expected return of...

You have a portfolio with a standard deviation of 30 % and an expected return of...

The expected return of market portfolio is 10%. The standard deviation of market portfolio is 20%....

1 - What is the range, expected rate of return, variance, and standard deviation of the...

Question

Problem 11-13 More Portfolio Variance (LO4, CFA3)

The expected return and standard deviation of a portfolio that is 30 percent invested in 3 Doors, Inc., and 70 percent invested in Down Co. are the following:

What is the standard deviation if the correlation is +1? 0? −1? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. )

jeff jeffy answered 8 months ago

The market portfolio has an expected return of 11 percent and a standard deviation of 19 percent. The risk-free rate is 3.2 percent. a. What is the expected return on a well-diversified portfolio with a standard deviation of 27 percent b. What is the standard deviation of a well-diversified portfolio with an expected return of 15 percent?

A portfolio consists of two stocks: Stock Expected Return Standard Deviation Weight Stock 1 10% 15% 0.30 Stock 2 13% 20% ??? The correlation between the two stocks’ return is 0.50 Calculate the expected return and standard deviation of the portfolio. Expected Return: Standard Deviation: (i) Briefly explain, in general, when there would be “benefits of diversification” (for any portfolio of two securities). (ii) Describe whether the above portfolio would...

Problem 11-28 Portfolio Standard Deviation Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .091, E(RB) = .151, σA = .361, and σB = .621. a-1. Calculate the expected return of a portfolio that is composed of 36 percent A and 64 percent B when the correlation between the returns on A and B is .51. (Do not round intermediate calculations and round your final answer to 2 decimal places. (e.g., 32.16)) ...

The expected return on Tobiko is 13% and its standard deviation is 21.8%. The expected return on Chemical Industries is 10% and its standard deviation is 27.7%. a. Suppose the correlation coefficient for the two stocks' returns is 0.29. What are the expected return and standard deviation of a portfolio with 56% invested in Tobiko and the rest in Chemical Industries? (Round your answers to 2 decimal places.) Portfolio's expected return % Portfolio's standard deviation % b. If the...

Stock X has an expected return of 11% and the standard deviation of the expected return is 12%. Stock Z has an expected return of 9% and the standard deviation of the expected return is 18%. The correlation between the returns of the two stocks is +0.2. These are the only two stocks in a hypothetical world. A.What is the expected return and the standard deviation of a portfolio consisting of 90% Stock X and 10% Stock Z? Will any...

You have a portfolio with a standard deviation of 25 % and an expected return of 15 %. You are considering adding one of the two stocks in the following table. If after adding the stock you will have 20 % of your money in the new stock and 80 % of your money in your existing portfolio, which one should you add? Expected Return Standard Deviation Correlation with Your Portfolio's Returns Stock A 15% 23% 0.4 Stock B 15%...

You have a portfolio with a standard deviation of 22 % and an expected return of 16 %. You are considering adding one of the two shares in the table below. If after adding the shares you will have 20 % of your money in the new shares and 80 % of your money in your existing portfolio, which one should you add? Expected return Standard deviation Correlation with your portfolio's returns Share A 13% 26% 0.4 Share B 13%...

You have a portfolio with a standard deviation of 30 % and an expected return of 18 %. You are considering adding one of the two stocks in the following table. If after adding the stock you will have 30 % of your money in the new stock and 70 % of your money in your existing portfolio, which one should you add? Expected Return Standard Deviation Correlation with Your Portfolio's Returns Stock A 15% 23% 0.3 Stock B 15%...

The expected return of market portfolio is 10%. The standard deviation of market portfolio is 20%. Risk free interest rate is 2%. There is an investor with mean-variance utility function Answer the following questions. 1) Calculate the optimal weight to be invested in the market portfolio for the investor with A=5 . Calculate the expected return and standard deviation of the optimal complete portfolio for the investor. 2) According to the CAPM, calculate the expected returns of two stocks (stock 1...

1 - What is the range, expected rate of return, variance, and standard deviation of the information below? Economic Condition Probability Expected Return Better than expected 0.15 0.65 Good 0.25 0.3 Average 0.45 0.15 Poor 0.1 -0.15 Terrible 0.05 -0.35 2 - A stock has a beta of 1.65, risk-free rate of return of 0.04, and a market risk premium of 0.15. What is the required rate of return?

3 Doors, Inc.

Expected return, E(R)

Standard deviation, σ