Question

In: Finance

The market portfolio has an expected return of 8.6% with a volatility of 17.2% while the...

The market portfolio has an expected return of 8.6% with a volatility of 17.2% while the T-bills earn 3.9%. Your degree of risk aversion is 3.9. You have $50,000 to invest. How much (in $, NOT in %) will you invest in the market portfolio?

{Enter your answer in dollars with 2 decimals, but do not use the "$".}

Solutions

Expert Solution


Related Solutions

S is an efficient portfolio with volatility of return equal to that of the market portfolio....
S is an efficient portfolio with volatility of return equal to that of the market portfolio. What is the beta and the idiosyncratic volatility of portfolio S?
S is an efficient portfolio with volatility of return equal to that of the market portfolio....
S is an efficient portfolio with volatility of return equal to that of the market portfolio. What is the beta and the idiosyncratic volatility of portfolio S?
1.how to Calculate the expected rate of return and volatility for a portfolio of investments and...
1.how to Calculate the expected rate of return and volatility for a portfolio of investments and describe how diversification affects the returns to a portfolio of investments ? 2.Understand the concept of systematic risk for an individual investment and calculate portfolio systematic risk (beta). 3.Estimate an investor’s required rate of return using the Capital Asset Pricing Model.
The risk-free rate is 1% while the expected return and standard deviation of the market portfolio...
The risk-free rate is 1% while the expected return and standard deviation of the market portfolio (S&P 500) are 9% and 19%, respectively. (a) What is the standard deviation of a combination of risk-free security and S&P 500 that has an expected return of 12%? What is its probability of loss? Assume that the S&P 500 returns have a normal probability distribution. (b) The optimal allocation to S&P 500 for an investor is 60%. What will be the optimal allocation...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6 percent and a standard deviation of 9 percent. The risk-free rate is 3 percent, and the expected return on the market portfolio is 11 percent. Assume the capital asset pricing model holds.    What expected rate of return would a security earn if it had a .35 correlation with the market portfolio and a standard deviation of 54 percent?
A portfolio that combines the risk-free asset and the market portfolio has an expected return of...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.7 percent and a standard deviation of 9.7 percent. The risk-free rate is 3.7 percent, and the expected return on the market portfolio is 11.7 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .42 correlation with the market portfolio and a standard deviation of 54.7 percent? (Do not round intermediate calculations....
A stock has a beta of 1.4, an expected return of 17.2 percent, and lies on...
A stock has a beta of 1.4, an expected return of 17.2 percent, and lies on the security market line. A risk-free asset is yielding 3.2 percent. You want to create a portfolio that is comprised of the stock and the risk free and will have a portfolio beta of 0.8. What is the expected return on this portfolio? a) 12.33% b) 13.87% c) 11.20% d) 14.41%
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...
Maynard Crabbes has determined the expected return on the market portfolio at 17% and a 5%...
Maynard Crabbes has determined the expected return on the market portfolio at 17% and a 5% return on the risk-free security when examining Anstell Ltd. shares for possible additional investment, given that he has been acquiring shares in the company each year for the last 4 years. From plotting historical returns he has assessed that returns for Anstell Ltd. have outperformed or underperformed the market on average by a factor of 1.7. Required: (1) What is the company’s risk-adjusted rate...
The market portfolio has an expected return of 11 percent and a standard deviation of 19...
The market portfolio has an expected return of 11 percent and a standard deviation of 19 percent. The risk-free rate is 3.2 percent. a. What is the expected return on a well-diversified portfolio with a standard deviation of 27 percent b. What is the standard deviation of a well-diversified portfolio with an expected return of 15 percent?
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT