Question
In: Finance
The following are estimates for two stocks. Stock Expected Return Beta firm-specific Standard Deviation A 0.14...
The following are estimates for two stocks.
|
Stock |
Expected Return |
Beta |
firm-specific Standard Deviation |
|
A |
0.14 |
0.67 |
0.25 |
|
B |
0.20 |
1.21 |
0.37 |
The market index has a standard deviation of 0.21 and the risk-free
rate is 0.09.
Suppose that we were to construct a portfolio with
proportions:
Stock A 0.31
Stock B 0.42
The remaining proportion is invested in T-bills.
Compute the nonsystematic standard deviation of the portfolio.
Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.
Solutions
jeff jeffy answered 1 year agoRelated Solutions
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 10...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
10
%
1.00
35
%
B
16
1.50
44
The market index has a standard deviation of 21% and the risk-free
(T-Bills are risk free) rate is 12%.
a. What are the standard deviations of stocks
A and B? (Do not round intermediate
calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a portfolio
with proportions:
Stock A
0.25...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 8...
The following are estimates for two stocks. Stock Expected
Return Beta Firm-Specific Standard Deviation A 8 % 1.00 28 % B 16
1.60 40 The market index has a standard deviation of 25% and the
risk-free rate is 9%.
a. What are the standard deviations of stocks A and B? (Do not
round intermediate calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a portfolio with
proportions:
Stock A 0.25 Stock B 0.50 T-bills...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 10...
The following are estimates for two stocks. Stock Expected
Return Beta Firm-Specific Standard Deviation A 10 % 0.70 28 % B 18
1.25 42 The market index has a standard deviation of 22% and the
risk-free rate is 7%. a. What are the standard deviations of stocks
A and B? (Do not round intermediate calculations. Round your
answers to 2 decimal places.) b. Suppose that we were to construct
a portfolio with proportions: Stock A 0.35 Stock B 0.35 T-bills...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 12...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
12
%
0.65
26
%
B
20
1.15
36
The market index has a standard deviation of 20% and the
risk-free rate is 7%.
a. What are the standard deviations of stocks
A and B? (Do not round intermediate
calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a
portfolio with proportions:
Stock A
0.40
Stock B
0.40
T-bills...
The following are estimates for two stocks. Stock Expected Return Beta Firm-Specific Standard Deviation A 11...
The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
11
%
0.90
32
%
B
16
1.40
40
The market index has a standard deviation of 19% and the
risk-free rate is 11%.
a. What are the standard deviations of stocks
A and B? (Do not round intermediate
calculations. Round your answers to 2 decimal
places.)
b. Suppose that we were to construct a
portfolio with proportions:
Stock A
0.40
Stock B
0.40
T-bills...
The following are estimates for 2 stocks. Stock Expected ret. beta firm-specific variance, or Var(e) A...
The following are estimates for 2 stocks.
Stock
Expected ret.
beta
firm-specific variance, or Var(e)
A
13%
0.6
0.4
B
18%
0
0.35
The market index has a standard deviation of 0.13, and the
risk-free rate if 0.03
What is the standard deviation of stock A's
return?
What is the standard deviation of stock B's
return?
Please round both answers to 4 decimal places.
What is the Standard deviation ? Consider two stocks, Stock D, with an expected return of...
What is the Standard deviation ? Consider two stocks, Stock D,
with an expected return of 13 percent and a standard deviation of
31 percent, and Stock I, an international company, with an expected
return of 16 percent and a standard deviation of 42 percent. The
correlation between the two stocks is –0.10. What are the expected
return and standard deviation of the minimum variance portfolio?
(Do not round intermediate calculations. Enter your answer as a
percent rounded to 2...
5) A stock has an expected return of 0.14, its beta is 0.94, and the expected...
5) A stock has an expected return of 0.14, its beta is 0.94, and
the expected return on the market is 0.07. What must the risk-free
rate be? (Hint: Use CAPM) Enter the answer in 4 decimals e.g.
0.0123.
6) You own a portfolio equally invested in a risk-free asset and
two stocks (If one of the stocks has a beta of 1.77 and the total
portfolio is equally as risky as the market, what must the beta be
for...
Consider two stocks, Stock D, with an expected return of 20 percent and a standard deviation...
Consider two stocks, Stock D, with an expected return of 20
percent and a standard deviation of 35 percent, and Stock I, an
international company, with an expected return of 8 percent and a
standard deviation of 23 percent. The correlation between the two
stocks is −.21. What are the expected return and standard deviation
of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places.)
Consider two stocks, Stock D, with an expected return of 17 percent and a standard deviation...
Consider two stocks, Stock D, with an expected return of 17
percent and a standard deviation of 32 percent, and Stock I, an
international company, with an expected return of 10 percent and a
standard deviation of 20 percent. The correlation between the two
stocks is −.18. What are the expected return and standard deviation
of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places.
Expected return
28.95
%...
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