Question

In: Finance

Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You...

Expected Return

Standard Deviation

Portfolio A

12%

20%

Portfolio B

6%

12%

T-bill

3%

0%

You are an investment adviser and you have the three investments above to recommend to your clients. The correlation between A and B is -0.5.

Solve for the optimal risky portfolio and enter the weights as a %, 99% should be entered as 99.00%.

Percent invested in Portfolio A

Percent invested in Portfolio B

Solutions

Expert Solution

jeff jeffy answered 2 years ago
Next > < Previous

Related Solutions

Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You...
Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You are an investment adviser and you have the three investments above to recommend to your clients. The correlation between A and B is -0.5. Solve for the optimal risky portfolio and enter the weights as a %, 99% should be entered as 99.00%. Percent invested in Portfolio A Percent invested in Portfolio B What is the standard deviation of the optimal risky portfolio? What...
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?
You manage a risky portfolio with expected rate of return of 7% and standard deviation of 15%. The T-bill rate is 4%.
 You manage a risky portfolio with expected rate of return of 7% and standard deviation of 15%. The T-bill rate is 4%.  (1) Your client chooses to invest 50% of a portfolio in your fund and 50% in a T-hill money market fund. What is the expected value and standard deviation of the rate of return on his portfolio?   (2) Draw the CAL of your portfolio on an expected return-standard deviation diagram. What is the slope of the CAL? Show the position...
Weight of Security A Weight of Security B Portfolio Return Portfolio Standard Deviation 0% 100% 12...
Weight of Security A Weight of Security B Portfolio Return Portfolio Standard Deviation 0% 100% 12 225.0 20% 80% 10.4 121.0 40% 60% 8.8 49.0 60% 40% 7.2 9.0 80% 20% 5.6 1.0 100% 0% 4.0 25.0 How can you choose the right combination (i.e.,, the weights on A and B) to create a risk-free portfolio? Based on the result in part , could the equilibrium rf be greater than 6%? Explain.
You manage a risky portfolio with expected rate of return of 12% and a standard deviation...
You manage a risky portfolio with expected rate of return of 12% and a standard deviation of 24%.  The T-bill rate is 3%. Suppose that your client decides to invest in your portfolio a proportion, y, of the total investment budget so that the overall portfolio will have an expected rate of return of 8.40%.   What is the proportion y? What is the standard deviation of the rate of return on your client’s portfolio at this new level y?
The Treasury bill rate is 6%, and the expected return on the market portfolio is 12%....
The Treasury bill rate is 6%, and the expected return on the market portfolio is 12%. According to the capital asset pricing model: a. What is the risk premium on the market? b. What is the required return on an investment with a beta of 1.7? (Do not round intermediate calculations. Enter your answer as a percent rounded to 1 decimal place.) c. If an investment with a beta of 0.9 offers an expected return of 8.7%, does it have a positive or...
The Treasury bill rate is 6%, and the expected return on the market portfolio is 12%
Problem 12-27 CAPM (LO2) The Treasury bill rate is 6%, and the expected return on the market portfolio is 12%. According to the capital asset pricing model: a. What is the risk premium on the market? b. What is the required return on an investment with a beta of 1.7? (Do not round intermediate calculations. Enter your answer as a percent rounded to 1 decimal place.) c. If an investment with a beta of 0.9 offers an expected return of 8.7%, does it have...
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...
Consider a portfolio that offers an expected rate of return of 12% and a standard deviation...
Consider a portfolio that offers an expected rate of return of 12% and a standard deviation of 21%. T-bills offer a risk-free 6% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
ADVERTISEMENT
Subjects
ADVERTISEMENT
Latest Questions
ADVERTISEMENT