A portfolio combines two assets: X and Y. The proportion of Asset X in the portfolio is 25%, and the proportion of Asset Y is 75%. The standard deviation of Asset X is 6% and the variance of Asset Y is 2%. Returns of Asset X and Asset Y are positively correlated as far as the correlation coefficient equals 0.44. What is standard deviation of this portfolio? 7.03% O 12.11% 10.29% O 11.35%

A portfolio combines two assets: X and Y. The proportion of Asset X in the portfolio is 25%, and the proportion of Asset Y is 75%. The standard deviation of Asset X is 6% and the variance of Asset Y is 2%. Returns of Asset X and Asset Y are positively correlated as far as the correlation coefficient equals 0.44. What is standard deviation of this portfolio? 7.03% O 12.11% 10.29% O 11.35%

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13P

See similar textbooks

Similar questions

Two-Asset Portfolio Stock A has an expected return of 12% and a standard deviation of 40%. Stock B has an expected return of 18% and a standard deviation of 60%. The correlation coefficient between Stocks A and B is 0.2. What are the expected return and standard deviation of a portfolio invested 30% in Stock A and 70% in Stock B?
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 24%, while stock B has a standard deviation of return of 18%. Stock A comprises 60% of the portfolio, while stock B comprises 40% of the portfolio. If the variance of return on the portfolio is .0380, the correlation coefficient between the returns on A and B is _________. ) .583 ) .225 ) .327 ) .128
Asset K has an expected return of 10 percent and a standard deviation of 28 percent. Asset L has an expected return of 7 percent and a standard deviation of 18 percent. The correlation between the assets is .40. What are the expected return and standard deviation of the minimum variance portfolio?
A portfolio consists of 70% of investment A and 30% of investment B. The expected returnon investment A is 7% and the expected return on investment B is 9%. The standarddeviation of returns of investment A is 2.19%. The standard deviation of returns ofinvestment B is 4.1%. The correlation coefficient of the returns of investment A andinvestment B=+1. Finda. the expected return from the portfoliob. the standard deviation (risk) of the returns from the portfolio
Asset 1 has a standard deviation of returns of 0.15 while Asset 2 has a standard deviation of returns of 0.20. The correlation coefficient between the returns of the two assets is 0.34. Which of the following is closest to the covariance of the returns of the two assets if they are combined into an equally weighted portfolio? Group of answer choices 0.0129 0.0207 0.0102 0.1440
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 15 percent, respectively. The standard deviations of the assets are 29 percent and 48 percent, respectively. The correlation between the two assets is .25 and the risk-free rate is 5 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 2.5 percent?
Compute the correlation between assets A and B if you know that the standard deviation of B is 50% of the standard deviation of A and the covarancce between the two assets is 0.5 times the variance of asset A. What is the risk (measured as the variance) of the portfolio created by investing 50% in asset A and 50% in asset B in the previous point? Assume that the variance of the asset A is 4/9.
A portfolio is comprised of equal weights of two stocks labeled Stock X and Stock Y. The covariance between Stock X and Stock Y is 0.10. The standard deviation of Stock X is 0.50, and the standard deviation of Stock Y is 0.50. Which of the following comes closest to the variance of the portfolio? Select one: a. 0.60 b. 1.00 c. 0.42 d. 0.18 e. 0.55
Calculate the risk (standard deviation) of a 2-asset portfolio, in which asset A has a variance of return = 0.112, asset B a variance of return = 0.045, and the convariance between the return of 2 assets is = 0.102. asset A comprises 60% ans asset B comprises 40% of the total portfolio. Give your answer 0.000.
An investment portfolio has 45% invested in stock A and 55% invested in stock B. The standard deviations of A and B are 12% and 17%, respectively, and the portfolio’s standard deviation is 14%. What is the correlation coefficient between the two stocks?
Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 28 percent, and Stock I, an international company, with an expected return of 16 percent and a standard deviation of 38 percent. The correlation between the two stocks is -0.1. What is the weight of stock D in the minimum variance portfolio?
Suppose the risk-free rate is 5.1 percent and the market portfolio has an expected return of 11.8 percent. The market portfolio has a variance of .0472. Portfolio Z has a correlation coefficient with the market of .37 and a variance of .3375 According to the capital asset pricing model, what is the expected return on Portfolio Z?