Question
In: Finance
Year Blandy Gourmange Average annual return 6.4%% 9.2% Standard deviation of annual return 25.2% 38.6% Correlation...
| Year | Blandy | Gourmange |
| Average annual return | 6.4%% | 9.2% |
| Standard deviation of annual return | 25.2% | 38.6% |
| Correlation between Blandy and Gourmange | 0.11 | |
You currently have $300,000. You want to invest it in the
following three assets: 10-year US Treasury bond with coupon raate
3.8%, Blandy and Gourmange stocks below:
Your goal is to have the expected return of 6.8% with a minimum
portfolio risk. How much money should you allocate to these three
assets?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
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Year
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1
12%
2
7%
3
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4
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Portfolio Average Return Standard Deviation Beta A &nb
Portfolio
Average Return Standard
Deviation Beta
A
14.7%
18.6%
1.47
B
8.8
14.2
.78
C
11.2
16.0
1.22
The risk-free rate is 4.5 percent and the market risk
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What is the Treynor ratio of a
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SHOW WORK
Covariance and Correlation Based on the following information, calculate the expected return and standard deviation of...
Covariance and Correlation Based on the following information,
calculate the expected return and standard deviation of each of the
following stocks. Assume each state of the economy is equally
likely to happen. What are the covariance and correlation between
the returns of the two stocks?
STATE OF ECONOMY
RETURN ON STOCK A
RETURN ON STOCK B
Bear
Normal
Bull
-.032
.124
.193
-.103
-.025
.469
Covariance and Correlation Based on the following information, calculate the expected return and standard deviation of...
Covariance and Correlation Based on the following information,
calculate the expected return and standard deviation of each of the
following stocks. Assume each state of the economy is equally
likely to happen. What are the covariance and correlation between
the returns of the two stocks?
STATE OF ECONOMY
RETURN ON STOCK A
RETURN ON STOCK B
Bear
Normal
Bull
-.032
.124
.193
-.103
-.025
.469
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Calculate the minimum amount of risk (standard deviation) you'll
need to take if investing in these two assets. (Provide your answer
in percent rounded to two decimals omitting the % sign)
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