Question
In: Finance
You manage a risky mutual fund with expected rate of return of 18% and standard deviation...
You manage a risky mutual fund with expected rate of return of 18% and standard deviation of 28%. The T-bill rate is 8%.
- What is the slope of the CAL of your risky mutual fund? Show the position of your client on your fund’s CAL.
- Suppose that your client decides to invest in your portfolio a
proportion ‘y’ of the total investment budget so that the
overall portfolio will have an expected rate of return of 16%.
- What is the proportion y?
- What are your client’s investment proportions in your three stocks and the T-bill fund?
- What is the standard deviation of the rate of return on your client’s portfolio?
- Suppose that your client prefers to invest in your fund a
proportion y that maximizes the expected return on the
complete portfolio subject to the constraint that the complete
portfolio’s standard deviation will not exceed 18%.
- What is the investment proportion, y?
- What is the expected rate of return on the complete portfolio?
- Your client’s degree of risk aversion is A = 3.5.
- What proportion, y, of the total investment should be invested in your fund?
- What is the expected value and standard deviation of the rate of return on your client’s optimized portfolio?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
you manage a risky portfolio with an expected rate of return of 18% and a standard...
you manage a risky portfolio with an expected rate of return of
18% and a standard deviation of 36%. The T- Bill rate is 6%
your risky portfolio includes the following investments in the
given proportions:
stock a 27%
stock b 35%
stock c 38%
suppose that your client decided to invest in your portfolio a
proportion y of the total investment budget so that the overall
portfolio will have an expected rate of return of 15%
A. what is...
Assume that you manage a risky portfolio with expected rate of return of 18% and standard...
Assume that you manage a risky portfolio with
expected rate of return of 18% and standard deviation of 28%. The
T-bill rate is 8%.
a) Calculate the optimal allocation to
risky portfolio and determine the utility score for this portfolio
(assume A=3) [2]
You manage a risky portfolio with expected rate of return of 12% and a standard deviation...
You manage a risky portfolio with expected rate of
return of 12% and a standard deviation of 24%. The
T-bill rate is 3%.
Suppose that your client decides to invest in your portfolio a
proportion, y, of the total investment budget so that the overall
portfolio will have an expected rate of return of
8.40%.
What is the proportion y?
What is the standard deviation of the rate of return on your
client’s portfolio at this new level y?
Assume that you manage a risky portfolio with an expected rate of return of 18% and...
Assume that you manage a risky portfolio with an expected rate
of return of 18% and a standard deviation of 34%. The T-bill rate
is 4%. Your client chooses to invest 85% of a portfolio in your
fund and 15% in a T-bill money market fund. a. What is the expected
return and standard deviation of your client's portfolio? (Round
your answers to 2 decimal places.) b. Suppose your risky portfolio
includes the following investments in the given proportions: Stock...
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.
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?
You manage a risky portfolio with an expected rate of return of 17% and a standard...
You manage a risky portfolio with an expected rate of
return of 17% and a standard deviation of 35%. The T-bill rate is
5%.
What is the Sharpe ratio of the risky portfolio?
Your client chooses to invest 70% of a portfolio in your fund
and 30% in an essentially risk-free money market fund. What is the
expected return and standard deviation of the rate of return on
their portfolio?
Another client wishes to invest such that the resulting
combination...
You manage a risky portfolio with an expected rate of return of 17% and a standard...
You manage a risky portfolio with an expected rate of return of
17% and a standard deviation of 28%. The T-bill rate is 7%. Your
client’s degree of risk aversion is A = 2.0, assuming a utility
function U = E(r) − ½Aσ².
a. What proportion, y, of the total investment should be
invested in your fund? (Do not round intermediate calculations.
Round your answer to 2 decimal places.)
b. What are the expected value and standard deviation of the...
You manage a risky portfolio with an expected rate of return of 17% and a standard...
You manage a risky portfolio with an expected rate of return of
17% and a standard deviation of 27%. The t-bill rate is 7%.
a) One of your clients chooses to invest 70% of a portfolio in
your risky fund and 30% in t-bills. What is the expected return and
standard deviation of your client’s portfolio?
b) What is the Sharpe Ratio of the risky portfolio you offer?
What is the Sharpe Ratio of your client’s portfolio?
c) If another...
You manage a risky portfolio with an expected rate of return of 20% and a standard...
You manage a risky portfolio with an expected rate of return of
20% and a standard deviation of 36%. The T-bill rate is 5%. Your
client’s degree of risk aversion is A = 1.6, assuming a
utility function U = E(r) -
½Aσ².
a. What proportion, y, of the total
investment should be invested in your fund? (Do not round
intermediate calculations. Round your answer to 2 decimal
places.)
b. What is the expected value and standard
deviation of the...
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