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In: Finance
Stock A has an expected return of 20% and a standard deviation of 28%. Stock B...
Stock A has an expected return of 20% and a standard deviation of 28%. Stock B has an expected return of 14% and a standard deviation of 13%. The risk-free rate is 6.6% 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 expected return on this portfolio?
Solutions
jeff jeffy answered 2 years agoRelated Solutions
Stock A has an expected annual return of 24% and a return standard deviation of 28%....
Stock A has an expected annual return of 24% and a return
standard deviation of 28%. Stock B has an expected return 20% and a
return standard deviation of 32%. If you are a risk averse
investor, which of the following is true?
A. You would never include Stock B in your portfolio, as it
offers a lower return and a higher risk.
B. Under certain conditions you would put all your money in
Stock B.
C. You would never...
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...
A stock portfolio has an expected return of 12% and a standard deviation of 20%. A...
A stock portfolio has an expected return of 12% and a standard
deviation of 20%. A bond portfolio has an expected return of 6% and
a standard deviation of 9%. The two portfolios have a correlation
coefficient of 0.3. T-Bills have an expected return of 2%. Your
coefficient of risk aversion is 7. (15 points)
What are the weights of the minimum variance portfolio that can
be formed between the two portfolios if they are the only risky
assets being...
A stock portfolio has an expected return of 12% and a standard deviation of 20%. A...
A stock portfolio has an expected return of 12% and a standard
deviation of 20%. A bond portfolio has an expected return of 6% and
a standard deviation of 9%. The two portfolios have a correlation
coefficient of 0.3. T-Bills have an expected return of 2%. Your
coefficient of risk aversion is 7.
What is the expected return and standard deviation of the
minimum variance portfolio?
Stock A has an expected return of 15% and a standard deviation of 26%. Stock B...
Stock A has an expected return of 15% and a standard deviation
of 26%. Stock B has an expected return of 15% and a standard
deviation of 12%. The risk-free rate is 4% and the correlation
between Stock A and Stock B is 0.5. Build the optimal risky
portfolio of Stock A and Stock B. What is the standard deviation of
this portfolio? Round answer to 4 decimal places
Stock A has an expected return of 15% and a standard deviation of 26%. Stock B...
Stock A has an expected return of 15% and a standard deviation
of 26%. Stock B has an expected return of 15% and a standard
deviation of 12%. The risk-free rate is 4% and the correlation
between Stock A and Stock B is 0.5. Build the optimal risky
portfolio of Stock A and Stock B. What is the standard deviation of
this portfolio?
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?
Stock A has an expected return of 17% and a standard deviation of 29%. Stock B...
Stock A has an expected return of 17% and a standard deviation
of 29%. Stock B has an expected return of 14% and a standard
deviation of 18%. The risk-free rate is 2.8% and the correlation
between Stock A and Stock B is 0.3. Build the optimal risky
portfolio of Stock A and Stock B. What is the expected return on
this portfolio?
Stock A has an expected return of 16% and a standard deviation of 31%. Stock B...
Stock A has an expected return of 16% and a standard deviation
of 31%. Stock B has an expected return of 15% and a standard
deviation of 14%. The risk-free rate is 3.2% and the correlation
between Stock A and Stock B is 0.5. Build the optimal risky
portfolio of Stock A and Stock B. What is the standard deviation of
this portfolio?
Stock A has an expected return of 18% and a standard deviation of 26%. Stock B...
Stock A has an expected return of 18% and a standard deviation
of 26%. Stock B has an expected return of 13% and a standard
deviation of 20%. The risk-free rate is 6.7% and the correlation
between Stock A and Stock B is 0.6. Build the optimal risky
portfolio of Stock A and Stock B. What is the standard deviation of
this portfolio?
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