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

Expert Solution

Calculate the expected return and standard deviation of the portfolio.

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...

If your portfolio is invested 40 percent each in A and B and 20 percent in C, what is the portfolio expected return? The variance? The standard deviation?

Consider a portfolio that offers an expected rate of return of 12% and a standard deviation...

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 5 days ago

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...

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?

Consider the following information about three stocks: State of Economy Probability of State of Economy Rate of Return If State Occurs Stock A Stock B Stock C Boom .25 .21 .36 .55 Normal .60 .17 .13 .09 Bust .15 .00 −.28 −.45 If your portfolio is invested 40 percent each in A and B and 20 percent in C, what is the portfolio expected return? The variance? The standard deviation? If the expected T-bill rate is 3.80 percent, what is...

Consider a portfolio that offers an expected rate of return of 12% and a standard deviation of 21%. T-bills offer a risk-free 6% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

3 Doors, Inc.

Expected return, E(R)

Standard deviation, σ