Mean ReturnStandard DeviationCorrelationOptimal Portfolio mean returnOptimal Portfolio varianceOptimal Portfolio standard deviationABC16.50%18.00%Optimal Risky Portfolio P_optimal with 40% ABC and 60% XYZweight of ABCweight of XYZWeight of the optimal risky portfolio P_optimal Return00.10.20.30.40.50.60.70.80.91XYZ40%60%0.189.50%10.00%A new portfolio P2 with the risk-free asset and the optimal risky portfolio P_optimal.Porfolio P2 MeanPortfolio P2 StandardDeviationGet FormulaRisk-free asset (3-monthT-bill)2.50%00Get FormulaSharpe Ratio ofP2Get Formula

Here, ABCWYZRisk Free Asset (3 month T bill)Mean Return16.50%9.50%2.50%Standard…

ean Return andard Deviation rrelation etimal Portfolio mean return timal Portfolio variance timal Portfolio standard deviation ABC 16.50% 18.00% ptimal Risky Portfolio P_optimal with 40% ABC and 60% XYZ eight of ABC eight of XYZ 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 eight of the optimal risky portfolio P_optimal Return 40% 60% XYZ Porfolio P2 Mean 0.18 new portfolio P2 with the risk-free asset and the optimal risky portfolio P_optimal. Portfolio P2 Standard Deviation 9.50% 10.00% Get Formula T-bill) 2.50% 0 0 Get Formula Sharpe Ratio of P2 Get Formula

ean Return andard Deviation rrelation etimal Portfolio mean return timal Portfolio variance timal Portfolio standard deviation ABC 16.50% 18.00% ptimal Risky Portfolio P_optimal with 40% ABC and 60% XYZ eight of ABC eight of XYZ 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 eight of the optimal risky portfolio P_optimal Return 40% 60% XYZ Porfolio P2 Mean 0.18 new portfolio P2 with the risk-free asset and the optimal risky portfolio P_optimal. Portfolio P2 Standard Deviation 9.50% 10.00% Get Formula T-bill) 2.50% 0 0 Get Formula Sharpe Ratio of P2 Get Formula

EBK CFIN

6th Edition

ISBN:9781337671743

Author:BESLEY

Publisher:BESLEY

Chapter8: Risk And Rates Of Return

Section: Chapter Questions

Problem 9PROB

See similar textbooks

Similar questions

Using the following data: Scenario Probability return K1 return K2 0.2 -10% 5% W2 0.4 0% 30% W3 0.4 20% -5% compute the weights in the portfolio with minimum risk. What are the expected return and risk of this minimum risk portfolio?
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Op 1.45 1.20 0.75 1.00 Portfolio: X Y Z Market Risk-free Rp 11.00% 10.00 8.10 10.40 5.20 Information ratio Op 33.00% 28.00 18.00 23.00 0 Assume that the tracking error of Portfolio X is 9.10 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places. 02148 0
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 11.0% ор 33.00% 10.0 28.00 8.1 10.4 5.2 18.00 23.00 Ө вр 1.45 1.20 0.75 1.00 Ө Assume that the correlation of returns on Portfolio Y to returns on the market is 0.66. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places. R-squared
If E(rX)=0.12 and E(rY)=0.08, what would be the expected rate of return of a portfolio made of 30% of X and 70% of Y? A. 0.080 B. 0.120 C. 0.108 D. 0.092 E. 0.100
Risky Portfolio Standard Deviation: 10.56% Average Risk Free Rate: 2.18% Using these figures: a) Select the best one among these using appropriate tool (formula) and provide your rationale for your selection. Show necessary calculations.b. Should you stick to your original portfolio or switch to one of the following? Explain Avaliable Portfolios to invest: Avg Return Standard Deviation Portfolio A 7.5 12.4 Portfolio B 7.2 11.75 Portfolio C 6.7 10.55 Portfolio D 8.5 14.3
Portfolio Expected return Standard deviation Q 7.8% 10.5% R 10.0% 14.0% S 4.6% 5.0% T 11.7% 18.5% U 6.2% 7.5% (Q1) For each portfolio, calculate the risk premium per unit of risk (Sharpe ratio) that you expect to receive. Assume that the risk-free rate is 3.0%. (Q2) Using answers from Q1, which of these five portfolios is most likely to be the market portfolio and explain why. (200 words maximum)
Consider the following information for four portfolios, the market, and the risk-free rate (RFR): Portfolio Return Beta SD A1 0.15 1.25 0.182 A2 0.1 0.9 0.223 A3 0.12 1.1 0.138 A4 0.08 0.8 0.125 Market 0.11 1 0.2 RFR 0.03 0 0 Refer to Exhibit 18.6. Calculate the Jensen alpha Measure for each portfolio. a. A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02 b. A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014 c. A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014 d. A1 = 0.03, A2 = -0.002, A3 = 0.02, A4 = -0.14 e. A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14
Given an optimal risky portfolio with expected return of 20%, standard deviation of 24%, and a risk free rate of 7%, what is the slope of the best feasible CAL? A. 0.64 B. 0.14 C. 0.33 D. 0.62 E. 0.54
Consider the following two securities X and Y. Y Security Expected Return Standard Deviation Beta 12.5% 10.0% Risk-free asset 5.0% OA. 1.33 ○ B. 0.88 OC. 1.17 OD. 1.67 20.0% 1.5 30.0% 1.0
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 13.5% бр 35.00% 12.5 30.00 7.1 20.00 10.6 4.4 25.00 0 Вр 1.55 1.20 0.80 1.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.70. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places. × Answer is complete but not entirely correct. R-squared 0.9785
Portfolio Suppose rA ~ N (0.05, 0.01), rB ~ N (0.1, 0.04) with pA,B = 0.2 where rA and rB are CCR’s. a) Suppose you construct a portfolio with 50% for A and 50% for B. Find the variance of the portfolio CCR. b) Find the portfolio expected gross return. c) Find the expected portfolio CCR.
You are given the following Information concerning three portfolios, the market portfollo, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 14.10% 13.10 8.50 12.00 7.20 Information ratio op 39.00% 34.00 1.15 0.90 1.00 0 Assume that the tracking error of Portfolio X is 8.90 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round Intermediate calculations. Round your answer to 4 decimal places. 6p 1.50 24.00 29.00 0