Question
In: Finance
Suppose that you are given the following information about an asset: Asset Expected Return Expected Standard...
- Suppose that you are given the following information about an asset:
|
Asset |
Expected Return |
Expected Standard Deviation |
|
X |
.1 |
.04 |
|
Y |
.15 |
.08 |
|
Z |
.2 |
.09 |
- (10 points) If you invested 50% of your portfolio in X and 50% in Y, what would be the expected return and standard deviation of the portfolio if the correlation coefficient between X and Y is .5?
- (10 points) If you invested 50% of your portfolio in X and 50% in Z, what would be the expected return and expected standard deviation of the portfolio if the correlation coefficient between X and Z is .3?
- (20 points) Suppose the correlation coefficient between Y and Z is .2. If you took 50% of your portfolio and invested it in the portfolio you formed in an above and 50% of your portfolio and invested it in the portfolio you formed in b above, what would be the expected return and expected standard deviation of the new portfolio?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Narrative Two Given the following information about two assets: Expected Return of Asset 1 12.00% Standard...
Narrative Two
Given the following information about two assets:
Expected Return of Asset 1
12.00%
Standard Deviation of Asset 1
8.00%
Expected Return of Asset 2
16.00%
Standard Deviation of Asset 2
15.00%
1. Calculate the minimum standard deviation of a two-asset
portfolio consisting of these two assets when the covariance
between Asset 1's return and Asset 2's return is -0.009.
2.Calculate the standard deviation of a two-asset portfolio
consisting of these two assets when w1 = 0.75
and the...
A. Suppose you have an asset with an expected return of 0.12 and a standard deviation...
A. Suppose you have an asset with an expected return of
0.12 and a standard deviation of 0.18. If the riskless rate is
0.04, what combination of the risky asset and a riskless asset
would give you an expected return of 0.09? What would be the
standard deviation of this combination? (5 pts.)
B.Find the proportion of risky and riskless assets
contained in a combined portfolio whose expected return is 0.12 per
year, where the riskless rate is 0.05 and...
suppose asset a has an expected return of 10% and a standard deviation of 20% asset...
suppose asset a has an expected return of 10% and a standard
deviation of 20% asset b has an expected return of 16% and a
standard deviation of 40%.if the correlation between a and b is
0.6,what are the expected return and standard deviation for a
prtifolio comprised of 40% asset a
You have been given the following return data, Expected Return Year Asset F Asset G Asset...
You have been given the following return data,
Expected Return
Year
Asset F
Asset G
Asset H
2018
17%
16%
13%
2019
18%
15%
14%
2020
19%
14%
15%
2021
20%
13%
16%
Alternative
Investment
1
100%
of asset F
2
55%
of asset F and
45%
of asset G
3
55%
of asset F and
45%
of asset H
F, G, and H over the period 2018 2021. Using these assets, you
have isolated three investment alternatives:
a. Calculate...
You are given the following information on two securities. Security Expected Return Standard Deviation of Returns...
You are given the following information on two securities.
Security
Expected Return
Standard Deviation of Returns
A
10.0%
14.0%
B
16.0%
12.0%
The correlation between the returns on the two securities is
+0.6. The standard deviation of returns of a portfolio earning an
expected return of 14.0 percent is closest to:
Group of answer choices
A 11.4%.
B 9.3%.
C 27.1%.
D 12.7%.
Given the following information: Expected return on Stock A .15 (15%) Standard deviation of return 0.3...
Given the following
information:
Expected return on Stock A
.15 (15%)
Standard deviation of return
0.3
Expected return on Stock B
.18 (18%)
Standard deviation of return
0.4
Correlation coefficient of the returns
on Stock A and Stock B
0.75
a. What are the expected returns and
standard deviations of the following
portfolios?
1. 100 percent of funds invested in
Stock A
2. 100 percent of funds invested in Stock B
3. 50 percent of funds invested in each stock?...
Given the following information: Expected return on Stock A .15 (15%) Standard deviation of return 0.3...
Given the following information:
Expected return on Stock A .15 (15%)
Standard deviation of return 0.3
Expected return on Stock B .18 (18%)
Standard deviation of return 0.4
Correlation coefficient of the returns on Stock A and Stock B
0.75
a. What are the expected returns and standard deviations of the
following portfolios?
1. 100 percent of funds invested in Stock A
2. 100 percent of funds invested in Stock B
3. 50 percent of funds invested in each stock?...
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...
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
%...
You have the following assets available to you to invest in: Asset Expected Return Standard Deviation...
You have the following assets available to you to invest in:
Asset
Expected Return
Standard Deviation
Risky debt
6%
0.25
Equity
10%
.60
Riskless debt
4.5%
0
The coefficient of correlation between the returns on the risky
debt and equity is 0.72
2A. Using the Markowitz portfolio optimization method, what
would the composition of the optimal risky portfolio of these
assets be?
2B. What would the expected return be on this optimal
portfolio?
2C. What would the standard deviation of...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- JAVASCRIPT: Please create an array of student names and another array of student grades. - Create...
- Topic - Construction: Structural, loads, tension 1.) Explain why pure tension members are the most efficient...
- Procter and Gamble (PG) paid an annual dividend of $ 1.62$1.62 in 2009. You expect PG...
- locate a recent case of online child pornography. Write a summary of the incident and describe...
- #Python 5. Write function called evaluate() that evaluates the following Python expressions or assignments as specified:...
- Suggest journal, research paper link reference. i need this as reference for writing a research with...
- Cryptography is used heavily in internet communications. True or false? Explain
ADVERTISEMENT