Question
In: Accounting
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 8...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 8 % 1.00 28 % B 16 1.60 40 The market index has a standard deviation of 25% and the risk-free rate is 9%.
a. What are the standard deviations of stocks A and B? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
b. Suppose that we were to construct a portfolio with proportions:
Stock A 0.25 Stock B 0.50 T-bills 0.2
5 Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio. (Do not round intermediate calculations. Enter your answer for Beta as a number, not a percent. Round your answers to 2 decimal places.)
Solutions
Expert Solution
Calculation of Standard deviation of Stock A & B
Calculation of Expected retun of Portfolio & Beta of portfolio
Calculation of Variance & Standard deviation
Working Note 1 for Reference to Calculation of Variance
Please feel free to reach or comment back if you need further clarity or something is missing.
ekkarill92 answered 2 years agoRelated Solutions
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 10...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
10
%
1.00
35
%
B
16
1.50
44
The market index has a standard deviation of 21% and the risk-free
(T-Bills are risk free) rate is 12%.
a. What are the standard deviations of stocks
A and B? (Do not round intermediate
calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a portfolio
with proportions:
Stock A
0.25...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 10...
The following are estimates for two stocks. Stock Expected
Return Beta Firm-Specific Standard Deviation A 10 % 0.70 28 % B 18
1.25 42 The market index has a standard deviation of 22% and the
risk-free rate is 7%. a. What are the standard deviations of stocks
A and B? (Do not round intermediate calculations. Round your
answers to 2 decimal places.) b. Suppose that we were to construct
a portfolio with proportions: Stock A 0.35 Stock B 0.35 T-bills...
The following are estimates for two stocks. Stock Expected Return Beta firm-specific Standard Deviation A 0.14...
The following are estimates for two stocks.
Stock
Expected Return
Beta
firm-specific Standard Deviation
A
0.14
0.67
0.25
B
0.20
1.21
0.37
The market index has a standard deviation of 0.21 and the risk-free
rate is 0.09.
Suppose that we were to construct a portfolio with
proportions:
Stock A 0.31
Stock B 0.42
The remaining proportion is invested in T-bills.
Compute the nonsystematic standard deviation of the portfolio.
Round your answer to 4 decimal places. For example if your
answer...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 12...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
12
%
0.65
26
%
B
20
1.15
36
The market index has a standard deviation of 20% and the
risk-free rate is 7%.
a. What are the standard deviations of stocks
A and B? (Do not round intermediate
calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a
portfolio with proportions:
Stock A
0.40
Stock B
0.40
T-bills...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 11...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
11
%
0.90
32
%
B
16
1.40
40
The market index has a standard deviation of 19% and the
risk-free rate is 11%.
a. What are the standard deviations of stocks
A and B? (Do not round intermediate
calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a
portfolio with proportions:
Stock A
0.40
Stock B
0.40
T-bills...
The following are estimates for 2 stocks. Stock Expected ret. beta firm-specific variance, or Var(e) A...
The following are estimates for 2 stocks.
Stock
Expected ret.
beta
firm-specific variance, or Var(e)
A
13%
0.6
0.4
B
18%
0
0.35
The market index has a standard deviation of 0.13, and the
risk-free rate if 0.03
What is the standard deviation of stock A's
return?
What is the standard deviation of stock B's
return?
Please round both answers to 4 decimal places.
Stock A has an annual expected return of 8%, a beta of .9, and a firm-specific...
Stock A has an annual expected return of 8%, a beta of .9, and a
firm-specific volatility of 50% Stock B has an annual expected
return of 9%, a beta of 1.3, and a firm-specific volatility of 40%
The market has a standard deviation of 20%, and the risk-free rate
is is 2%.
What is the volatility of stock A? (in %, round to 1 decimal
place)
Suppose we construct a portfolio built out of 50% stock A, 30%
stock...
What is the Standard deviation ? Consider two stocks, Stock D, with an expected return of...
What is the Standard deviation ? Consider two stocks, Stock D,
with an expected return of 13 percent and a standard deviation of
31 percent, and Stock I, an international company, with an expected
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(Do not round intermediate calculations. Enter your answer as a
percent rounded to 2...
Consider two stocks, Stock D, with an expected return of 20 percent and a standard deviation...
Consider two stocks, Stock D, with an expected return of 20
percent and a standard deviation of 35 percent, and Stock I, an
international company, with an expected return of 8 percent and a
standard deviation of 23 percent. The correlation between the two
stocks is −.21. What are the expected return and standard deviation
of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places.)
Consider two stocks, Stock D, with an expected return of 17 percent and a standard deviation...
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percent and a standard deviation of 32 percent, and Stock I, an
international company, with an expected return of 10 percent and a
standard deviation of 20 percent. The correlation between the two
stocks is −.18. What are the expected return and standard deviation
of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places.
Expected return
28.95
%...
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