Question
In: Finance
Assume that tangent portfolio T has an expected return of 14%, with a standard deviation of...
Assume that tangent portfolio T has an expected return of 14%, with a standard deviation of 20%, and that the risk-free rate is 3%.
You choose to invest a total of $1,000. $350 is invested in portfolio T and $650 in the risk-free asset. What are the expected return and standard deviation of your portfolio?
Suppose you borrow $200 at the risk-free rate. Combining this with your original sum of $1,000, you invest a total of $1,200 in the risky asset. What are the expected return and standard deviation of your portfolio?
Solutions
jeff jeffy answered 2 years agoRelated Solutions
Calculate the expected return and standard deviation of the portfolio.
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...
Assume you manage a risky portfolio with an expected return of 8% and a standard deviation...
Assume you manage a risky portfolio with an expected return of
8% and a standard deviation of 21%. The T-bill rate is 2%. Your
client chooses to invest 60% of a portfolio in your fund and 40% in
a T-bill money market fund. What is the standard deviation of your
client's portfolio. convert you answer into percentages and round
to ONE decimal point.
33. Assume the expected return on the market portfolio is 15% and its standard deviation is...
33. Assume the expected return on the market portfolio is 15%
and its standard deviation is 12%. The risk-free rate is 5%. Denote
the expected return and standard deviation of portfolios on the
Capital Market Line (CML) with () and SD, respectively. Which
statement on the CML is FALSE?
A) The Sharpe ratio of a CML portfolio that contain 150% of the
market portfolio and 50% borrowed money is smaller than 1.
B) The CML can be represented by the...
Assume you manage a risky portfolio with an expected return of 17% and a standard deviation...
Assume you manage a risky portfolio with an expected return of
17% and a standard deviation of 27%. The T-bill rate is 7%. Your
client chooses to invest a proportion (y) of his portfolio in your
fund and the rest (1-y) in the T-bill money market fund. His
overall portfolio will have an expected rate of return of 15% What
is the proportion y? What is the standard deviation of the rate of
return on your client’s portfolio?
A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15....
A portfolio has an expected rate of return of 0.15 and a
standard deviation of 0.15. The risk-free rate is 6%. An investor
has the following utility function: U = E(r) - (A/2)s 2 . Which
value of A makes this investor indifferent between the risky
portfolio and the risk-free asset?
How would I complete this on a scientific calculator?
For example, you cannot put algebra into a scientific calculator.
So I'll need to do it manually, is it possible...
Given the following information, calculate the expected return and standard deviation for a portfolio that has...
Given the following information, calculate the expected return
and standard deviation for a portfolio that has 50 percent invested
in Stock A, 20 percent in Stock B, and the balance in Stock C.
(Do not round intermediate calculations. Enter your answers
as a percent rounded to 2 decimal places.)
Returns
State of
Economy
Probability of
State of Economy
Stock A
Stock B
Stock C
Boom
.80
15
%
18
%
25
%
Bust
.20
16
0
−16
Expected return:__________%
Standard...
Portfolio A has an expected return of 10% per year and a standard deviation of 20%...
Portfolio A has an expected return of 10% per year and a
standard deviation of 20% per year, while the risk-free asset
returns 2% per year.
a. What is the expected return of a portfolio consisting the
risk-free asset and portfolio A that has a standard deviation of
15%?
b. What is the portfolio weight on A of a portfolio consisting
the risk-free asset and portfolio A that has a standard deviation
of 15%?
c. What is the standard deviation...
Given the following information, calculate the expected return and standard deviation for a portfolio that has...
Given the following information, calculate the expected return
and standard deviation for a portfolio that has 25 percent invested
in Stock A, 32 percent in Stock B, and the balance in Stock C.
(Do not round intermediate calculations. Enter your answers
as a percent rounded to 2 decimal places.
Returns
State of Economy
Probability of State of Economy
Stock A
Stock B
Stock C
Boom
0.30
10
%
19
%
20
%
Bust
0.70
11
0
−11
Expected return
%...
Security X has expected return of 14% and standard deviation of 22%. Security Y has expected...
Security X has expected return of 14% and standard deviation of
22%. Security Y has expected return of 16% and standard deviation
of 28%. The two securities have a correlation coefficient of -1.
You wish to combine the two securities in order to construct a
portfolio that has a standard deviation of zero. Which percentage
of your capital should you invest in security X? (Enter your answer
as a percent)
Assume a security has an expected return of .12 and a standard deviation of 0.08 a)...
Assume a security has an expected return of .12 and a standard
deviation of 0.08 a) What is the expected return two standard
deviation above the mean and what is the probability of a return
greater that this amount? B) What is the probability of a return
greater than 0.04 for a given year.
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