An investor is considering an exchange traded fund with 12% expected return and 24% standard deviation....

An investor is considering an exchange traded fund with 12% expected return and 24% standard deviation. What will be his expected return, if his risk aversion coefficient is 4? The risk free rate is 2%. The investor maximizes his utility.

		43.4%
		0.434%
		6.34%
		3.04%

Expert Solution

SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

jeff jeffy answered 10 months ago

A large institutional investor is considering three Exchange Traded Funds: Fund Expected Return Standard deviation Internet...

A large institutional investor is considering three Exchange Traded Funds: Fund Expected Return Standard deviation Internet ETF (Q) 11% 16% Health Care ETF (H). 9% 12% T-bill money-market ETF 4% The two ETFs, Q and H are uncorrelated. 1. Find the proportions of each asset, and the expected return and standard deviation of the tangency portfolio. 2. What is the reward-to-variability (Sharpe) ratio of the best feasible capital allocation line? 3. Suppose this investor is highly risk averse with a...

Stock A has an expected return of 12%, a standard deviation of 24% on its returns,...

Stock A has an expected return of 12%, a standard deviation of 24% on its returns, and a beta of 1.2. Stock B has an expected return of 15%, a standard deviation of 30% on its returns, and a beta of 1.5. The correlation between the two stocks is 0.8. If we invested $30,000 in Stock A and $20,000 in Stock B, what is the beta of our portfolio? Select one: a. 1.03 b. 1.25 c. 1.32 d. 1.40 e....

Fund A offer an expected return of 8% with a standard deviation of 15%, and Fund...

Fund A offer an expected return of 8% with a standard deviation of 15%, and Fund B offers an expected return of 5% with a standard deviation of 25%. a. Would Fund B be held by investors?Explainwith the aid of a diagram using Markowitz Portfoliotheory.(8marks) b. How would you answer part a. if the correlation coefficient between Funds A and B were 1? Could these expected returnsand standard deviationsrepresent an equilibrium in the market?(12marks)

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...

Expected Return Standard Deviation Stock fund (S) 20% &nbsp

Expected Return Standard Deviation Stock fund (S) 20% 30% Bond fund (B) 12% 15% Correlation = .10 7. If you were to use only the two risky funds, and still require an expected return of 14%, what would be the investment proportions of your portfolio? Compare its standard deviation to that of the optimized portfolio in Problem 9. What do you conclude? Problem 9 Stock Expected Return Standard Deviation A 10% 5% B...

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.)

Assume a security has an expected return of .12 and a standard deviation of 0.08 a)...

Assume a security has an expected return of .12 and a standard deviation of 0.08 a) What is the expected return two standard deviation above the mean and what is the probability of a return greater that this amount? B) What is the probability of a return greater than 0.04 for a given year.

expected return and standard deviation of a bond fund b is 4% and 9%, respectively. The...

expected return and standard deviation of a bond fund b is 4% and 9%, respectively. The expected return and standard deviation of a stock fund s is 12% and 25%, respectively. The correlation between two fund returns is 0.1. What is the standard deviation of a portfolio that invests 40% in s and the rest in b?

You manage equity fund with an expected risk premium of 12% and a standard deviation of...

You manage equity fund with an expected risk premium of 12% and a standard deviation of 14%. The rate on T-bill is 4%. Your client chooses to invest $80,000 her portfolio in your equity fund and $20,000 in T-bill money market fund What are the expected return and standard deviation of return on your client's portfolio? 13.60% and 11.20% What is the reward-to-volatility ratio (Sharpe Ratio) for this equity fund? 0.8571 QUESTION: Suppose your risky portfolio includes the following investments...

Putnam small cap fund has an expected rate of return of 24%, it has a standard...

Putnam small cap fund has an expected rate of return of 24%, it has a standard deviation of 14% and three month treasury is yielding a 4%. Please find the CAL slope of a portfolio formed with Putnam small cap and risk free asset. A) 0.84 B) 1.24 C) 1.42 D) 1.71 E) 6.00

Question