Question
In: Finance
Asset K has an expected return of 18 percent and a standard deviation of 33 percent....
Asset K has an expected return of 18 percent and a standard deviation of 33 percent. Asset L has an expected return of 6 percent and a standard deviation of 17 percent. The correlation between the assets is 0.42. What are the expected return and standard deviation of the minimum variance portfolio?
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Stock A has an expected return of 18% and a standard deviation of 33%. Stock B...
Stock A has an expected return of 18% and a standard deviation
of 33%. Stock B has an expected return of 13% and a standard
deviation of 17%. The risk-free rate is 3.6% and the correlation
between Stock A and Stock B is 0.2. Build the optimal risky
portfolio of Stock A and Stock B. What is the standard deviation of
this portfolio?
Asset A has an expected return of 15% and standard deviation of 20%. Asset B has an expected return of 20% and standard deviation of 15%.
1. Asset A has an expected return of 15% and standard deviation of
20%. Asset B has an expected return of 20% and standard deviation
of 15%. The riskfree rate is 5%. A risk-averse investor would
prefer a portfolio using the risk-free asset and _______.
A) asset A
B) asset B
C) no risky asset
D) cannot tell from data provided2. The Sharpe-ratio is useful for
A) borrowing capital for investing
B) investing available capital
C) correctly...
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
Stock A has an expected return of 20 percent and a standard deviation of 38 percent....
Stock A has an expected return of 20 percent and a standard
deviation of 38 percent. Stock B has an expected return of 26
percent and a standard deviation of 42 percent. Calculate the
expected return and standard deviations for portfolios with the 6
different weights shown below assuming a correlation coefficient of
0.28 between the returns of stock A and B.
WA
WB
1.00 0.00
0.80 0.20
0.60 0.40
0.40 0.60
0.20 0.80...
The risky asset has an expected return of 0.22 and a standard deviation of 0.31, and...
The risky asset has an expected return of 0.22 and a standard
deviation of 0.31, and the T-bill has a rate of return of 0.04.
What fraction of the portfolio must be invested in the risk-free
asset to form a portfolio with a standard deviation of 0.19?
Round your answer to 4 decimal places. For example, if your
answer is 3.205%, then please write down 0.0321.
Asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2...
Asset 1 has an expected return of 10% and a standard deviation
of 20%. Asset 2 has an expected return of 15% and a standard
deviation of 30%. The correlation between the two assets is less
than 1.0 i.e., they are not perfectly correlated. You form a
portfolio by investing half of your money in asset 1 and half in
asset 2. Which of the following best describes the expected return
and standard deviation of your portfolio?
The expected return...
Asset 1 has an expected return of 10% and a standard deviation of 20%. Asset 2...
Asset 1 has an expected return of 10% and a standard deviation
of 20%. Asset 2 has an expected return of 20% and a standard
deviation of 50%. The correlation coefficient between the two
assets is 0.0. Calculate the expected return and standard deviation
for each of the following portfolios, and plot them on a graph.
SHOW ALL WORK!
Portfolio
% Invested in Asset 1
% Invested in Asset 2
A
100
0
B
75
25
C
50
50
D...
Stock JAY has an expected return of 13 percent and a standard deviation of 75 percent....
Stock JAY has an expected return of 13 percent and a standard
deviation of 75 percent. Stock ELIZABETH has an expected return of
9 percent and a standard deviation of 42 percent. The covariancr
between the two stocks is .07. you invest 1/3 of your money in JAY
and the rest in ELIZABETH. What is the variance of the portfolios
returns?
There are 2 assets. Asset 1: Expected return 7.5%, standard deviation 9% Asset 2: Expected return...
There are 2 assets. Asset 1: Expected return 7.5%, standard
deviation 9% Asset 2: Expected return 11%, standard deviation 12%,
correlation with asset 1 is 0.4 You hold 30% of your portfolio in
asset 1 and 70% in asset 2. a) (1 point) What is the expected
return of your portfolio? b) (1 point) What is the covariance
between assets 1 and 2? c) (1 point) What is the standard deviation
of your portfolio?
The stock of Bruin, Inc., has an expected return of 16 percent and a standard deviation...
The stock of Bruin, Inc., has an expected return of 16 percent
and a standard
deviation of 30 percent. The stock of Wildcat Co. has an expected
return of 8
percent and a standard deviation of 14 percent. The correlation
between the two
stocks is .20.
Required:
a) What are the expected return and standard deviation of a
portfolio that is
40 percent invested in Bruin, Inc., and 60 percent invested in
Wildcat Co.?
b) What is the standard deviation...
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