der the information for assets A, B, and C below: State Boom Average Bust Probability 0.2 0.4 0.4 Return on A Return on B Return on C 0.3 0.2 0.1 0.05 Q.15 0.2 0.1 0.25 0.3 Consider Portfolio (Y) comprising 60% Asset A and 40% Asset C. What is the vari portfolio Y?
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- APT An analyst has modeled the stock of Crisp Trucking using a two-factor APT model. The risk-free rate is 6%, the expected return on the first factor (r1) is 12%, and the expected return on the second factor (r2) is 8%. If bi1 = 0.7 and bi2 = 0.9, what is Crisp’s required return?For minimum variance portfolio,the weight of Asset A1 Ltd in two asset portfolio ,having correlation coefficient of 0 with B2 Ltd , risk of 12 and 15 respectively is a. 0.39 b. 0.61 c. 0.55 d. 0.45Calculate 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.
- Using the information in the above table answer the following questions: a. What is the expected return of a portfolio with 40% in FUSTA and 60% in FANSA? b. What are the portfolio’s variance and standard deviation using the same asset weights from part (c)?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?Asset X has an expected return of 6% and a variance of 0.001. Asset Y has an expected return of 12% and the same variance asX (i.e., 0.001). The returns of assets X and are uncorrelated, and the risk-free rate is 3%. Find the variance of the highestSharpe ratio portfolio that can be formed of the two risky assets X and Y.
- Below are the returns for two assets; State of nature r1 r2 probability Weak growth 15% 15% 1/3 Strong growth 30% 12 1/3 Very strong growth 45% 9 1/3 Expected returns 30% 12 total 1.0 Calculate the two variances and Cov (r1, r2). If assets 1 and 2 are combined 50-50 into a portfolio, what is the variance of this portfolio? Show your calculations.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.Consider the information below, compute the expected return, variance, and standard deviation. Show the solution. Probability Return of Assets 25% .30 25% .050 25% .100 25% .280
- The following table provides information relating to Omega Ltd, as well as the market portfolio. The risk-free rate of return is 3.4% . Asset Excess Return Variance Beta Omega 12% 0.021904 1.4 M 8.1% 0.010201 1 What is Omega's M2 value? a. 7.41% b. 11.59% c. 8.99% d. 9.27% What is Omega's Sharpe Ratio? a. 0.061 b. 0.811 c. 0.086 d. 0.581 please explain the calculation step by stepUncorrelated assets A and B have standard deviation of return 0.3 and 0.4 respectively. If a denotes the proportion invested in A, which value of a leads to the Minimum Variance Portfolio? A. 0.55 B. 0.64 C. 0.12 D. 0.80 .Expected Return and risk of Hitech Ltd. is 13% and variance 225 % square and Expected Return and risk of Sigma Ltd is 18 % and 400 % Square, the Correlation Coefficient between the two is 0.2. Find the minimum variance portfolio. Also find the return and risk of the minimum variance portfolio. Clearly show the diversification benefit ?
