Arrange the following portfolios according to the efficient frontier and identify the portfolio that falls below the efficient frontier Portfolio Expected return Expected Standard deviation A 7% 14% B 9% 26% C 12% 22% D 15% 30%
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- Arrange the following portfolios according to the efficient frontier and identify the portfolio that falls below the efficient frontier
|
Portfolio |
Expected return |
Expected Standard deviation |
|
A |
7% |
14% |
|
B |
9% |
26% |
|
C |
12% |
22% |
|
D |
15% |
30% |
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- 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 = -0.14The following portfolios are being considered for investment. During the period under consideration, RFR = 0.08. Portfolio Return Beta σi P 0.14 1.00 0.05 Q 0.20 1.30 0.11 R 0.10 0.60 0.03 S 0.17 1.20 0.06 Market 0.12 1.00 0.04 Compute the Sharpe measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Sharpe measure P Q R S Market Compute the Treynor measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Treynor measure P Q R S MarketThe following portfolios are being considered for investment. During the period under consideration, RFR = 0.07.Portfolio Return Beta σiA 0.15 1.0 0.05B 0.20 1.5 0.10C 0.10 0.6 0.03D 0.17 1.1 0.06Market 0.13 1.0 0.04 a. Compute the Sharpe measure for each portfolio and the market portfolio. b. Compute the Treynor measure for each portfolio and the market portfolio. c. Rank the portfolios using each measure, explaining the cause for any differences you find in the rankings.
- The following portfolios are being considered for investment. During the period under consideration, RFR =0.07 Porfolio Return Beta P 0.15 1.00 0.05 Q 0.20 1.50 0.1 R 0.10 0.60 0.03 S 0.17 1.10 0.06 Market 0.13 1.00 0.04 Compute the Sharpe measure for each portfolio and the market portfolio Compute the Treynor measure for each portfolio and the market portfolio Rank the portfolios using each measure explaining the cause for any differences you find in the rankings.State whether the Portfolio Nature is Defensive/Aggressive. Weight on XOM Weight on PFE Portfolio Return Portfolio Beta Portfolio Standard Deviation**** Portfolio Nature: Defensive/Aggressive 0 1 -0.0016 0.2854 0.0439 0.1 0.9 -0.0025 0.3069 0.0420 0.2 0.8 -0.0034 0.3285 0.0408 0.3 0.7 -0.0044 0.3501 0.0405 0.4 0.6 -0.0053 0.3717 0.0410 0.5 0.5 -0.0063 0.3932 0.0424 0.6 0.4 -0.0072 0.4148 0.0445 0.7 0.3 -0.0081 0.4364 0.0472 0.8 0.2 -0.0091 0.4579 0.0504 0.9 0.1 -0.0100 0.4795 0.0541 1 0 -0.0110 0.5011 0.0582Determine which one of these three portfolios dominates another. Name the dominatedportfolio and the portfolio that dominates it. Portfolio Blue has an expected return of 14percent and risk of 19 percent. The expected return and risk of Portfolio Yellow are 15 percentand 18 percent; and for the Portfolio Purple are 16 percent and 21 percent.
- Bay Land, Inc. has the following distribution of returns: StateReturnProbabilityBoom0.30.25Normal0.40.15Bust0.30.30 What is the expected return of the portfolio? What is the standard deviation of the portfolio?Consider following information on a risky portfolio, risk-free asset and the market index. What is the M2 of the risky portfolio? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% BetaWhich of the following portfolios constitute the efficient set: Portfolio Expected return (%) Standard deviation (%) 1 10 12 2 8 10 3 20 18 4 15 11 5 22 20 6 18 15 7 15 12
- A portfolio management organization analyzes 75 stocks and constructs a mean-variance efficient portfolio that is constrained to these 75 stocks. How many estimates of expected returns, variances and covariances are needed to optimize this portfolio? (Using Markowitz Model) 75, 150, 2625 75, 75, 2700 75, 75, 2775 75, 75, 2925 75, 150, 2775.The following expected return and the standard deviation of current returns are known: Security (i) Expected Return Standard Deviation βi A 0.20 0.12 1.1 B 0.12 0.10 0.8 T-Bills 0.05 0 0 Market Portfolio 0.20 0.15 1 Required: Determine the weights of a portfolio with a standard deviation of 7% created by combining T-Bill and the market portfolio.Consider the following performance data for a portfolio manager: Benchmark Portfolio Index Portfolio Weight Weight Return Return Stocks 0.65 0.7 0.11 0.12 Bonds 0.3 0.25 0.07 0.08 Cash 0.05 0.05 0.03 0.025 a.Calculate the percentage return that can be attributed to the asset allocation decision. b.Calculate the percentage return that can be attributed to the security selection decision.