Question
In: Finance
Suppose an investor creates a portfolio of two assets: Stock A and Stock B. Calculate the...
Suppose an investor creates a portfolio of two assets: Stock A and Stock B. Calculate the expected return on the minimum variance portoflio. (Enter percentages as decimals and round to 4 decimals)
| State | Prob(State) | Stock A | Stock B | Stock C |
| Boom | 30% | -12% | 16% | -3% |
| Modest Growth | 50% | 30% | 5% | -1% |
| Recession | 20% | -12% | -1% | 25% |
Solutions
jeff jeffy answered 2 years agoRelated Solutions
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 24% and a standard
deviation of return of 31%. Stock B has an expected return of 17%
and a standard deviation of return of 26%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 24% and a standard
deviation of return of 35%. Stock B has an expected return of 13%
and a standard deviation of return of 20%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 26% and a standard
deviation of return of 39%. Stock B has an expected return of 15%
and a standard deviation of return of 25%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two
stocks, A and B. Stock A has an expected return of 15% and a
standard deviation of return of 25%. Stock B has an expected return
of 12% and a standard deviation of return of 20%. The correlation
coefficient between the returns of A and B is 0.2. The risk-free
rate of return is 1.5%.
A.)Approximately what is the proportion of the optimal
risky portfolio that should be invested in...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 14% and a standard
deviation of return of 20%. Stock B has an expected return of 21%
and a standard deviation of return of 39%. The correlation
coefficient between the returns of A and B is .4. The risk-free
rate of return is 5%. Would the proportion of the optimal risky
portfolio that should be invested in stock A...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 15% and a standard
deviation of return of 25%. Stock B has an expected return of 12%
and a standard deviation of return of 20%. The correlation
coefficient between the returns of A and B is 0.2. The risk-free
rate of return is 1.5%.
1) Approximately what is the proportion of the optimal risky
portfolio that should be invested...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 11% and a standard
deviation of return of 18.0%. Stock B has an expected return of 7%
and a standard deviation of return of 3%. The correlation
coefficient between the returns of A and B is 0.50. The risk-free
rate of return is 5% Find the proportion of the optimal risky
portfolio that should be invested in stock A....
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two
stocks, A and B. Stock A has an expected return of 21% and a
standard deviation of return of 39%. Stock B has an expected return
of 14% and a standard deviation of return of 20%. The correlation
coefficient between the returns of A and B is 0.4. The risk-free
rate of return is 5%.
1.Approximately what is the proportion of the optimal
risky portfolio that should be invested in...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two
stocks, A and B. Stock A has an expected return of 21% and a
standard deviation of return of 39%. Stock B has an expected return
of 14% and a standard deviation of return of 20%. The correlation
coefficient between the returns of A and B is 0.4. The risk-free
rate of return is 5%.
What is the REWARD to VARIABILITY Ratio of the Optimal
Portfolio?
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 19% and a standard
deviation of return of 33%. Stock B has an expected return of 14%
and a standard deviation of return of 18%. The correlation
coefficient between the returns of A and B is .6. The risk-free
rate of return is 8%. The proportion of the optimal risky portfolio
that should be invested in stock B is...
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