Question
In: Finance
Determine the tangency portfolio of the three stocks (i.e. determine the weights that the three stocks...
Determine the tangency portfolio of the three stocks (i.e.
determine the weights that the three stocks have in the
portfolio:
| Stock | Std. Deviation Of the return | Expected return | Correlation with return on Y | Correlation with return on Z |
| X | 0,2 | 0,15 | 0,8 | -0,1 |
| Y | 0,3 | 0,1 | 1 | 0,2 |
| Z | 0,25 | 0,12 | 0,2 | 1 |
| R(f) | 5% | |||
| X | Y | Z | ||
| Problem 1.1 + 1.2 | X | 0,04 | 0,048 | -0,005 |
| Y | 0,048 | 0,09 | 0,015 | |
| Z | -0,005 | 0,015 | 0,0625 | |
Solutions
jeff jeffy answered 7 months agoRelated Solutions
If a portfolio holds three stocks in equal amounts, and the betas of the three stocks...
If a portfolio holds three stocks in equal amounts, and the
betas of the three stocks are 0, 0.5, and 1.1, what is the beta of
the portfolio?
Question No : 31 I have a portfolio of two stocks. The weights are equal. The...
Question No : 31 I have a portfolio of two stocks. The weights
are equal. The one volatility is 30% while the other is 40%. The
minimum and maximum possible values of the volatility of my
portfolio are:
A. 30% and 40% B. 5% and 35% C. 10% and 40% D. 10% and 70%
Consider the following information on a portfolio of three stocks: &
Consider the following information on a portfolio of three
stocks:
Rate of Return
State of
Economy
Probability of
State Occurring
Stock A
(%)
Stock B
(%)
Stock C
(%)
Boom
.15
7
15
28
Normal
.70
9
12
17
Bust
.15
10
2
−35
The portfolio is invested 40 percent in each of Stock A and
Stock B and the rest in Stock C.
Which of the three stocks has the lowest risk? Why?
What is the expected return...
Consider the following information on a portfolio of three stocks: &
Consider the following information on a portfolio of three
stocks:
Rate of Return
State of
Economy
Probability of
State Occurring
Stock A
(%)
Stock B
(%)
Stock C
(%)
Boom
.05
7
15
28
Normal
.80
9
12
17
Bust
.15
10
2
−35
The portfolio is invested 40 percent in each of Stock A and
Stock B and the rest in Stock C.
Which of the three stocks has the lowest risk? Why?
What is the expected return...
Consider a portfolio consisting of the following three stocks: Portfolio Weight Volatility Correlation with Market Portfolio...
Consider a portfolio consisting of the following three
stocks:
Portfolio Weight
Volatility
Correlation with Market Portfolio
HEC Corp
0.26
13%
0.35
Green Midget
0.29
28%
0.52
Alive And Well
0.45
11%
0.54
The volatility of the market portfolio is 10% and it has an
expected return of 8%. The risk-free
rate is 3%.
Compute the beta and expected return of each stock.
Using your answer from part (a), calculate the expected return
of the portfolio.
What is the beta of...
Portfolio returns and deviations. Consider the following information on a portfolio of three stocks: State of...
Portfolio returns and deviations. Consider the following
information on a portfolio of three stocks:
State of
Probability
of
Stock A Rate of return Stock B
ROR Stock C ROR
Economy
State of Economy
Boom
.15
.02
.32
.60
Normal
.60
.10
.12
.20
Bust
.25
.16
-.11
-.35
a. If your portfolio is invested 40 percent each in A and B and
20 percent in C, what is the portfolio's expected return? the
variance? the standard deviation?
b. if...
Assume CAPM is correct (the market is the tangency portfolio), and all securities are priced correctly....
Assume CAPM is correct (the market is the tangency
portfolio), and all securities are priced correctly. a), b) Fill in
the blanks.
Security
Expected
Variance
Standard Correlation
BETA
Returns
Deviation (with
Market)
Market
0.08
________
0.40
________
________
Risk-free
0.02
________
_______
0.0
________
Stock
D
________
________
0.50
________ 0.8
Stock
E
________
________
1.60
0.40
________
c) Suppose a well known fund manager invites you to
invest in a special fund that promises expected returns of 0.06,...
How can I find out the tangency portfolio base on the info state.
How can I find out the tangency portfolio base on the info
state.
Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual...
Your portfolio allocates equal amounts to three stocks. All
three stocks have the same mean annual return of 13 percent. Annual
return standard deviations for these three stocks are 30 percent,
40 percent, and 50 percent. The return correlations among all three
stocks are zero. What is the smallest expected loss for your
portfolio in the coming year with a probability of 2.5 percent?
(Negative value should be indicated by a minus sign. Do not round
intermediate calculations. Enter your...
What is the expected return on an equally weighted portfolio of these three stocks?
Consider the following
information:
Rate of Return if State Occurs
State of Economy
Probability
of
State of Economy
Stock A
Stock B
Stock C
Boom
0.74
0.23
0.25
0.17
Bust
0.26
0.11
0.15
0.11
Requirement
1:
What is the expected return on an equally weighted portfolio of
these three stocks? (Do not round your intermediate
calculations.)
(Click to select)19.24%21.74%31.27%34.04%13.51%
Requirement
2:
What is the variance of a portfolio invested 10 percent each in
A and B and 80 percent in...
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