Q: You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the…
A: Particulars Asset A…
Q: What are the expected return and standard deviation of a portfolio invested 30% in Stock A and 70%…
A: Expected return from a portfolio is the weighted average of the return expected from individual…
Q: Two investments, X and Y, have the characteristics shown below. E(X) = $70, E(Y)%3D$120, o =7,000, o…
A: Expected Return on Portfolio = (Weight of security X * Return on security X ) + (Weight of security…
Q: A two-asset portfolio has the following characteristics. The correlation coefficient between the…
A: The expected return of the portfolio is the weighted average of individual securities' returns. The…
Q: b) Assume that Assets I has an expected returm of 15% with standard deviation of 30% and asset 2 has…
A: The minimum variance portfolio: Markowitz's modern portfolio theory states that investors are…
Q: An investment portfolio consists of two securities, X and Y. The weight of X is 30%. Asset X's…
A: a. expected return of portfolio=wx×rx+wy×ry=0.3×15%+0.7×23%=20.6% answer: expected return = 20.6%
Q: A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.2…
A: Formula for expected return is: E(r) = Rf + Beta(Rm - Rf)
Q: A portfolio consists of $15 million of asset A (for which annual expected return is 10% and annual…
A: Volatility of returns of a portfolio containing three assets Volatility is measured in terms of…
Q: price
A: Formula to calculate bond price is: P = C* 1 - (1+r)^-n + F/(1+r)^n r Where C…
Q: You are evaluating various investment opportunities currently available and you have calculated…
A: Since you have asked a question with multiple subparts, we will solve the first three sub-parts for…
Q: Given there are two assets making up a portfolio where each asset has the following characteristics:…
A: “Hi There, thanks for posting the question. But as per Q&A guidelines, we must answer the first…
Q: You are evaluating various investment opportunities currently available and you have calculated…
A: We will only answer the first three suparts for the reaming subparts kindly resubmit the question…
Q: a. What is the expected return on a portfolio that is equally invested in the two assets? (Do not…
A: Portfolio Expected Return: It represents the sum of expected return on individual security/assets…
Q: Portfolio contains of two assets. Asset A has an expected return of 2% and asset B has an expected…
A: Hi There, Thanks for posting the questions. As per our Q&A guidelines, must be answered only one…
Q: You are investing in a portfolio consisting two shares - D and E. You plan to invest 70% of your…
A: the expected return of a portfolio is weighted average return of individual stocks or funds or…
Q: EXPECTER RETURN OF A PORTFOLIO please see attatch file
A: Expected return on portfolio is sum of weighted return on individual stocks
Q: A portfolio that combines the risk-free asset and the market portfolio has an expected return of 7…
A: A portfolio is a combination or group of financial instruments and securities that are held by an…
Q: A portfolio manager creates the following portfolio: Assets Expected Annual Return % Annual Standard…
A: Given:
Q: Asset W has an expected return of 8.8 percent and a beta of .90. If the risk-free rate is 2.6…
A: Since you have asked multiple questions, we will solve the first question for you. If you want any…
Q: Beta Expected return Determine whether this portfolio have more or less systematic risk than an…
A: The question is based on the concepts of portfolio theory. A portfolio is a pool of investment in…
Q: The following portfolios are being considered for investment. During the period under consideration,…
A: Sharpe measure: In sharpe measure, total risk of the portfolio is measured by the standard deviation…
Q: Security F has an expected return of 10 percent and a standard deviation of 43 percent per year.…
A: The expected return of the company is the return of security adjusted with the volatility with…
Q: A risky portfolio is provided with an expected rate of return of 19.5%, standard deviation of 30%…
A: This is a question is regarding Capital Market Line where a risky portfolio is invested along with…
Q: If a portfolio had a return of 12%, the risk-free asset return was 4%, and the standard deviation of…
A: Sharpe measure = (Portfolio Return - Risk free Rate) / Standard Deviation
Q: Equity has a beta of 1.35 and an expected return of 16 percent. A risk-free asset currently earns…
A: Beta = 1.35 Expected Return = 16% Return Risk-free asset = 4.8% Part a: Weight of asset = 50%…
Q: Suppose the risk-free rate is 6 percent and the market portfolio has an expected return of 12…
A: The question can be answered by determining the expected return for the stock using the capital…
Q: The following expected return and the standard deviation of current returns are known: Security…
A: Portfolio standard deviation is the standard deviation of all the different investments in the…
Q: Using the SML [LO4] Asset W has an expected return of 11.8 percent and a beta of 1.15. If the…
A:
Q: According to the tangency portfolio allocation, stock A contributes 10%, stock B contributes 40%,…
A: Expected return of portfolio 10%-0.5*2%=11%
Q: Security F has an expected return of 10 percent and a standard deviation of 43 percent per year.…
A: Solution- (A)-The expected return of the portfolio is the sum of the weight of each asset timesthe…
Q: You are evaluating various investment opportunities currently available and you have calculated…
A: Hello. Since your question has multiple sub-parts, we will solve the first three sub-parts for you.…
Q: sider two assets with the following characteristics: Expected return of asset 1 = 0.15,…
A: Expected return of portfolio depends on the weight of assets in the portfolio
Q: A portfolio has 50% of its funds invested in Security A and 50% of its funds invested in Security B.…
A: Portfolio variance Portfolio variance is a concept used in modern investment theory that assesses…
Q: minimum variance portfolio?
A: A portfolio of securities means a pool of different financial investments in the investment…
Q: Consider a position consisting of a K200,000 investment in Asset A and a K300,000 investment in…
A: Value at Risk (VaR) gives the potential and probability of loss in a portfolio, firm, or position…
Q: a) Calculate the expected return and standard deviation for the following portfolios: i) All in Z…
A: Given, The expected and standard deviation of returns as follows:…
Q: Security F has an expected return of 10 percent and a standard deviation of 43 percent per year.…
A: given, rf=10%σf=43%rg=15%σg=62%wf=0.3wg=0.7
Q: Assume a Portfolio of two assets A and B whose standard deviations of their returns are 8.6% and…
A: The question is related to the portfolio Management. In this question we will first calculate…
Q: onsider the case of two financial assets and three market conditions (states). The table below gives…
A: Expected rate of the portfolio depends on the weight of stocks in portfolio and return on stocks of…
Q: Consider a position consisting of 200,000 investment in asset A and 300,000 investment in asset B.…
A: Variance and standard deviation of a portfolio of two assets With weight of asset A (WA), weight of…
Q: Your employer has asked you to investigate the firm’s portfolio risk and return. The portfolio…
A: State of economy Probability Stock-A Stock-B Stock-C Good 60.00% 3.00% 34.00% 70.00% Poor 40.00%…
Portfolio consists of two independent risky assets AA and BB with expected returns 4\%4% and 5\%5% and standard deviations 2\%2% and 6\%6%. Share of asset AA is 60\%60%
Standard deviation of the portfolio return is:
Step by step
Solved in 2 steps with 2 images
- 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 consists of $15 million of asset A (for which annual expected return is 10% and annual return volatility is 25%), $15 million of asset B (for which annual expected return is 15% and annual return volatility is 30%), and $20 million of asset C (for which annual expected return is 20% and annual return volatility is 35%). The return correlation between each pairing of assets A, B and C is 0.2. Assume the annual portfolio return is normally distributed. What is the annual return volatility of the portfolio? a. 21.3% b. 24.9% c. 27.8% d. 32.5% e. None of the aboveA portfolio that combines the risk-free asset and the market portfolio has an expected return of 7 percent and a standard deviation of 10 percent.The risk-free rate is 4 percent, and the expected return on the market portfolio is 12 percent. Assume the capital asset pricing model holds. Compute and justify the expected rate of return would a security earn if it had a 0.45 correlation with the market portfolio and a standard deviation of 55 percent.
- A portfolio consists of $15 million of asset A (for which annual expected return is 10% and annual return volatility is 25%), $15 million of asset B (for which annual expected return is 15% and annual return volatility is 30%), and $20 million of asset C (for which annual expected return is 20% and annual return volatility is 35%). The return correlation between each pairing of assets A, B and C is 0.2. Assume the annual portfolio return is normally distributed. What is the 1-year 5% Value-at-Risk of the portfolio (i.e., there is a 5% probability that the portfolio will suffer a loss greater than what dollar value for the year)? a. $1.24 million b. $3.86 million c. $9.75 million d. $19.50 million e. None of the aboveA 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 portfolioExpected returns and standard deviations of three risky assets are as follows: Expected Return Standard Deviations Correlations A B C A 11% 30% 1.0 0.3 0.15 B 14.5% 45% 0.3 1.0 0.45 C 9% 30% 0.15 0.45 1.0 1. Calculate the expected return and standard deviations of a portfolio of stocks A, B and C. Assume an equal investment in each stock. 2. Compute the Sharpe ratio of a portfolio that has 30% in A, 30% in B and 40% in C. The risk-free interest rate is 4%. 3. Assume a portfolio of asset B and C. Determine the weight in asset B, such that the total portfolio risk is minimized.
- Calculate the expected return and standard deviation for the three - asset portfolio assuming the portfolio consists of the following weights:a ) 1/3 of Uno, 1/3 of Dos, and 1/3 Tres (meaning equal amounts of each stock in the portfolio). b ) 50% Uno, 40% Dos and 10% Tresc) 0% Uno, 0% Dos, 100% TresConsider a position consisting of a K200,000 investment in Asset A and a K300,000 investment in Asset B. Assume that the daily volatilities of the assets are 1.5% and 1.8% respectively, and that the coefficient of correlation between their returns is 0.4. What is the five day 95% Value at Risk (VaR) for the portfolio (95% confidence level represents 1.65 standard deviations on the left side of a normal distribution)?Use the following information to calculate the expected return and standard deviation of a portfolio that is 40 percent invested in Kuipers and 60 percent invested in SuCo:Kuipers SuCoExpected return, E(R) 30% 26%Standard deviation, F 65 45Correlation 30
- 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 between Stock 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? (Please show work)You are evaluating various investment opportunities currently available and you have calculated expected returns and standard deviations for five different well-diversified portfolios of risky assets:Portfolio Expected Return Standard DeviationQ 7.8% 10.5%R 10.0 14.0S 4.6 5.0T 11.7 18.5U 6.2 7.5a. For each portfolio, calculate the risk premium per unit of risk that you expect to receive ([E(R) − RFR]/σ). Assume that the risk-free rate is 3.0 percent.b. Using your computations in Part a, explain which of these five portfolios is most likely tobe the market portfolio. Use your calculations to draw the capital market line (CML).c. If you are only willing to make an investment with σ = 7.0%, is it possible for you toearn a return of 7.0 percent?d. What is the minimum level of risk that would be necessary for an investment to earn7.0 percent? What is the composition of the portfolio along the CML that will generatethat expected return?e. Suppose you are now willing to make an investment…Expected returns and standard deviations of three risky assets are as follows: Expected Return Standard Deviations Correlations A B C A 11% 30% 1.0 0.3 0.15 B 14.5% 45% 0.3 1.0 0.45 C 9% 30% 0.15 0.45 1.0 3. Assume a portfolio of asset B and C. Determine the weight in asset B, such that the total portfolio risk is minimized.