Question
In: Finance
For a portfolio consisting of assets ABC and XYZ with return standard deviation given by 13...
For a portfolio consisting of assets ABC and XYZ with return standard deviation given by 13 and 48, respectively, the minimum-risk portfolio based on an assumption of ρ = − 1 has what weight of asset XYZ?
(Enter your result as a percent; e.g., 38.5)
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jeff jeffy answered 2 years agoRelated Solutions
Find the average return and standard deviation of an equal-weighted (1/3 in each) portfolio consisting of...
Find the average return and standard deviation of an
equal-weighted (1/3 in each) portfolio consisting of the three
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than any of the three stock’s standard deviations that make up that
portfolio. Year LAX return UWL return WIS return 2013 5% 2% 10%
2014 10% 4% 12% 2015 -3% 3% 8% 2016 12% -2% 9% 2017 1% 5% 15%
Problem 11-13 More Portfolio Variance (LO4, CFA3) The expected return and standard deviation of a portfolio...
Problem 11-13 More Portfolio Variance (LO4, CFA3)
The expected return and standard deviation of a portfolio that
is 30 percent invested in 3 Doors, Inc., and 70 percent invested in
Down Co. are the following:
3 Doors, Inc.
Down Co.
Expected return, E(R)
13
%
12
%
Standard deviation, σ
56
36
What is the standard deviation if the correlation is +1? 0? −1?
(Do not round intermediate calculations. Enter your answer
as a percent rounded to 2 decimal places....
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
%...
Calculate the expected return and standard deviation of the portfolio.
A portfolio consists of two stocks:
Stock Expected Return Standard Deviation Weight
Stock 1 10% 15% 0.30
Stock 2 13% 20% ???
The correlation between the two stocks’ return is 0.50
Calculate the expected return and standard deviation of the portfolio.
Expected Return:
Standard Deviation:
(i) Briefly explain, in general, when there would be “benefits of diversification” (for any portfolio of two securities).
(ii) Describe whether the above portfolio would...
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
premium is 7 percent.
What is the Treynor ratio of a
portfolio comprised of 30 percent portfolio A, 20 percent portfolio
B, and 50 percent portfolio C?
SHOW WORK
The expected return of market portfolio is 10%. The standard deviation of market portfolio is 20%....
The expected return of market portfolio is 10%. The standard
deviation of market portfolio is 20%. Risk free interest rate is
2%. There is an investor with mean-variance utility
function Answer the following questions.
1) Calculate the optimal weight to be invested in the market
portfolio for the investor with A=5 . Calculate the expected return
and standard deviation of the optimal complete portfolio for the
investor.
2) According to the CAPM, calculate the expected returns of two
stocks (stock 1...
The expected return on Tobiko is 13% and its standard deviation is 21.8%. The expected return...
The expected return on Tobiko is 13% and its standard deviation
is 21.8%. The expected return on Chemical Industries is 10% and its
standard deviation is 27.7%.
a.
Suppose the correlation coefficient for the two
stocks' returns is 0.29. What are the expected return and standard
deviation of a portfolio with 56% invested in Tobiko and the rest
in Chemical Industries? (Round your answers to 2 decimal
places.)
Portfolio's expected return
%
Portfolio's standard deviation
%
b.
If the...
You have a portfolio with a standard deviation of 25 % and an expected return of...
You have a portfolio with a standard deviation of 25 % and an
expected return of 15 %. You are considering adding one of the two
stocks in the following table. If after adding the stock you will
have 20 % of your money in the new stock and 80 % of your money in
your existing portfolio, which one should you add? Expected
Return Standard Deviation Correlation with Your Portfolio's
Returns Stock A 15% 23% 0.4 Stock B 15%...
You have a portfolio with a standard deviation of 22 % and an expected return of...
You have a portfolio with a standard deviation of 22 % and an
expected return of 16 %. You are considering adding one of the two
shares in the table below. If after adding the shares you will have
20 % of your money in the new shares and 80 % of your money in your
existing portfolio, which one should you add?
Expected
return
Standard
deviation
Correlation with
your portfolio's returns
Share A
13%
26%
0.4
Share B
13%...
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