Question

In: Accounting

Consider the following probability distribution for stocks A and B: State Probability Return on Stock A...

Consider the following probability distribution for stocks A and B:

State Probability Return on Stock A Return on Stock B
1 0.10 10 % 8 %
2 0.20 13 % 7 %
3 0.20 12 % 6 %
4 0.30 14 % 9 %
5 0.20 15 % 8 %

Let G be the global minimum variance portfolio. The weights of A and B in G are ________ and ________, respectively.

Solutions

Expert Solution

ekkarill92 answered 1 year ago
Next > < Previous

Related Solutions

Consider the following probability distribution for stocks A and B: State Probability Return on A Return...
Consider the following probability distribution for stocks A and B: State Probability Return on A Return on B 1 .15 8% 8% 2 .2 13% 7% 3 .15 12% 6% 4 .3 14% 9% 5 .2 16% 11% If you invest 35% of your portfolio in stock A, and the rest (65%) in stock B, what would be your portfolio's standard deviation? Please enter your answer in percent rounded to the nearest basis point.
Consider the following probability distribution for stocks A and B. Scenario Probability Return on Stock A...
Consider the following probability distribution for stocks A and B. Scenario Probability Return on Stock A Return on Stock B 1 .35 12% -15% 2 .4 4% 5% 3 .25 -4% 25% 1. What are the expected returns and standard deviations for stocks A and B? 2. What is the correlation coefficient between the two stocks? 3. Suppose the risk-free rate is 2%. What is the optimal risky portfolio, its expected return and its standard deviation? 4. Suppose that stocks...
Consider the following probability distribution for stocks C and D: State Probability Return on Stock C...
Consider the following probability distribution for stocks C and D: State Probability Return on Stock C Return on Stock D 1 0.30 7 % – 9 % 2 0.50 11 % 14 % 3 0.20 – 16 % 26 % If you invest 25% of your money in C and 75% in D, what would be your portfolio's expected rate of return and standard deviation? Select one: a. 9.891%; 8.70% b. 9.945%; 11.12% c. 8.225%; 8.70% d. 10.275%; 11.12%
Consider the following probability distributions for stocks A and B: State Probability Return on A Return...
Consider the following probability distributions for stocks A and B: State Probability Return on A Return on B 1 .3 7% -9% 2 .5 11% 14% 3 .2 -16% 26% What is the standard deviation of returns for stock A? Please give your answer in percent rounded to the nearest basis point. What is the standard deviation of returns for stock B? Please give your answer in percent rounded to the nearest basis point.
Consider the following probability distributions for stocks A and B: State Probability Return on A Return...
Consider the following probability distributions for stocks A and B: State Probability Return on A Return on B 1 .3 7% -9% 2 .5 11% 14% 3 .2 -16% 26% a) What is the standard deviation of returns for stock A? Please give your answer in percent rounded to the nearest basis point. b) What is the standard deviation of returns for stock B? Please give your answer in percent rounded to the nearest basis point.
Consider the following probability distributions for stocks A and B: State Probability Return on A Return...
Consider the following probability distributions for stocks A and B: State Probability Return on A Return on B 1 .3 7% -9% 2 .5 11% 14% 3 .2 -16% 26% A. What is the correlation between stocks A and B? Please give your answer in decimal form rounded to the third decimal place. B. What is the standard deviation of returns for stock A? Please give your answer in percent rounded to the nearest basis point. C. What is the...
Consider the following probability distribution for Stock Fund (S) and Bond Fund (B). State Probability Return...
Consider the following probability distribution for Stock Fund (S) and Bond Fund (B). State Probability Return on Bond Fund Return on Stock Fund 1 .2 -10% 20% 2 .4 10% 30% 3 .4 18% -10% The expected return and the standard deviation of the Stock Fund are 12% and 18.33%, respectively. What is the expected return of Bond Fund? 8.2% 8.5% 8.9% 9.2% 9.6% What is the standard deviation of Bond Fund? 8.57% 9.23% 9.45% 10.25% 12.78% What is the...
Consider the following information on a portfolio of three stocks: State of Probability of Stock A...
Consider the following information on a portfolio of three stocks: State of Probability of Stock A Stock B Stock C Economy State of Economy Rate of Return Rate of Return Rate of Return Boom .12 .09 .34 .53 Normal .53 .17 .19 .27 Bust .35 .18 − .18 − .37 a. If your portfolio is invested 36 percent each in A and B and 28 percent in C, what is the portfolio’s expected return, the variance, and the standard deviation?...
Consider the following information on Stocks I and II: State of Probability of Rate of Return...
Consider the following information on Stocks I and II: State of Probability of Rate of Return if State Occurs Economy State of Economy Stock I Stock II Recession .21 .015 ? .31 Normal .56 .325 .23 Irrational exuberance .23 .185 .41 The market risk premium is 11.1 percent, and the risk-free rate is 4.1 percent. Calculate the beta and standard deviation of Stock I. (Do not round intermediate calculations. Enter the standard deviation as a percent and round both answers...
Consider the following information on Stocks I and II: State of Probability of Rate of Return...
Consider the following information on Stocks I and II: State of Probability of Rate of Return if State Occurs Economy State of Economy Stock I Stock II Recession .27 .030 ? .22 Normal .62 .330 .14 Irrational exuberance .11 .190 .42 The market risk premium is 11.2 percent, and the risk-free rate is 4.2 percent. Calculate the beta and standard deviation of Stock I. (Do not round intermediate calculations. Enter the standard deviation as a percent and round both answers...
ADVERTISEMENT
Subjects
ADVERTISEMENT
Latest Questions
ADVERTISEMENT