Question
In: Finance
Assume that you manage a risky portfolio with an expected rate of return of 15% and...
Assume that you manage a risky portfolio with an expected rate of return of 15% and a variance of 20%. The risk-free rate is 7%.
a) Draw capital allocation line considering the scenario: (i) y=0, (ii) y=1 and (iii)
y=1.50; where, y is proportions of your investment in risky assets.
b) Your client chooses to invest $15,000 in your fund and $5,000 in risk-free asset.
What is the reward-to-variability ratio of your client’s overall portfolio?
c) Suppose this client decides to invest in your risky portfolio a proportion (y) of her total
investment budget with the remainder in risk free asset so that her overall portfolio will have
an expected rate of return of 20%.
I. What is the investment proportion in risky portfolio (y)?
II. What is the Standard deviation on your client’s overall portfolio?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Assume that you manage a risky portfolio with an expected rate of return of 15% and...
Assume that you manage a risky portfolio with an expected rate
of return of 15% and a standard deviation of 29%. The T-bill rate
is 5%.
Your risky portfolio includes the following investments in the
given proportions:
Stock A
22
%
Stock B
31
Stock C
47
Your client decides to invest in your risky portfolio a proportion
(y) of his total investment budget with the remainder in a
T-bill money market fund so that his overall portfolio will have...
Assume that you manage a risky portfolio with an expected rate of return of 15% and...
Assume that you manage a risky portfolio with an expected rate
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is 5%.a.(5 points) Your client chooses to invest $6,000 in your
fund and $4,000 in a T-bill money market fund. What is the
reward-to-variability ratio (S) of your client’s overall
portfolio?b.Suppose this client decides to invest in your risky
portfolio a proportion (y) of his total investment budget ($10,000)
so that his overall portfolio will have...
Assume that you manage a risky portfolio with an expected rate of return of 15% and...
Assume that you manage a risky portfolio with an expected rate
of return of 15% and a standard deviation of 25%. The T-bill rate
is 3% . Suppose your risky portfolio includes the following
investments in the given proportions.
Dell
50%
Apple
30%
HP
20%
What are the investment proportions of your client’s overall
portfolio, including the position in T-bills, if your client's risk
aversion coefficient is 3?
Dell
Apple
HP
T-Bill
A.
32%
B.
19.2%
C.
12.8%
D.
36%
Assume that you manage a risky portfolio with an expected rate of return of 15% and...
Assume that you manage a risky portfolio with an expected rate
of return of 15% and a standard deviation of 47%. The T-bill rate
is 5%. Your client chooses to invest 70% of a portfolio in your
fund and 30% 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.) Expected return % per year
Standard deviation % per year b. Suppose your risky...
Assume that you manage a risky portfolio with an expected rate of return of 12% and...
Assume that you manage a risky portfolio with an expected rate
of return of 12% and a standard deviation of 44%. The T-bill rate
is 5%.
Your client chooses to invest 80% of a portfolio in your fund
and 20% in a T-bill money market fund.
What is the expected return of your client's portfolio?
(Enter your answer as a decimal number rounded to four
decimal places.)
Expected return?
Assume that you manage a risky portfolio with an expected rate of return of 17% and...
Assume that 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%. Your client chooses to invest 70% of a portfolio in your
fund and 30% in a T-bill money market fund.
QUESTION 12 What is the Sharpe ratio of your risky portfolio? A.
27% B. 37% C. 19.32% D. 62.9% E. 17.58% 4 points
QUESTION 13 What is the Sharpe ratio of your overall portfolio?...
Assume that you manage a risky portfolio with an expected rate of return of 17% and...
Assume that you manage a risky portfolio with an expected rate
of return of 17% and a standard deviation of 35%. The T-bill rate
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A client prefers to invest in your portfolio a proportion
(y) that maximizes the expected return on the overall
portfolio subject to the constraint that the overall portfolio's
standard deviation will not exceed 25%.
What is the expected rate of return on your client's overall
portfolio?
Expected rate of return?
Assume you manage a risky portfolio with an expected rate of return of 8% and a...
Assume you manage a risky portfolio with an expected rate of
return of 8% and a standard deviation of 18%. The T-bill rate is
3%. Suppose your client prefers to invest in your portfolio a
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portfolio subject to the constraint that the overall portfolio's
standard deviation will note exceed 12%. What is the expected
return of the overall portfolio? convert your answer to percentages
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Assume you manage a risky portfolio with an expected rate of return of 12% and a...
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Assume you manage a risky portfolio with an expected rate of return of 12% and a...
Assume you manage a risky portfolio with an expected rate of
return of 12% and a standard deviation of 21%. The T-bill rate is
3%. Your client decides to invest in your risky portfolio a
proportion (y) of her total investment budget so that her overall
portfolio will have an expected rate of return of 8%. What is the
proportion of y? Convert your answer to percentages with two
decimal points
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