The market portfolio has an expected return of 11.5 percent and a standard deviation of 19 percent. The risk-free rate is 4.1 percent. **You are required to calculate any extra information i.e. beta, covariance if necessary Calculate the expected return on well-diversified portfolio with a standard deviation of 9 percent; and the standard deviation of a well-diversified portfolio if the expected return is 20 percent.

Q: You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the…

A: Particulars                                                               Asset A…

Q: Suppose the risk-free rate is 5.1 percent and the market portfolio has an expected return of 11.8…

A: Standard deviation of market portfolio and portfolio Z is calculated. Then covariance and beta of…

Q: beta and expected return

A: : Beta refers to the measurement of stock movement in relation to the overall market. A beta greater…

Q: what is the Sharpe ratio of this portfolio?

A: Information Provided: Return = 25.30% Standard deviation = 31% T-bills = 5%

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: what is ythe standard devaition of the market portfolio if the standard deviation of a well…

A: Market portfolio refers to the portfolio consisting of every asset available for investment in the…

Q: The optimal risky portfolio has an expected return of 15% and a standard deviation of 10%. The…

A: Optimal risky portfolio is suitable to risk averse investors who want to minimise their investment…

Q: What is the standard deviation of the following portfolio if the coefficient of the correlation…

A: Given Information:Variance A is 10% Weight of portfolio A is 0.30 Variance B is 20% Weight of…

Q: Suppose the risk-free return is 4.0% and the market portfolio has an expected return of 10.0% and a…

A: Expected return can be calculated by using CAPM equation given below Expected return =Risk free…

Q: Suppose the risk-free return is 7.9% and the market portfolio has an expected return of 11.5% and a…

A: Risk free rate = 7.9% Stock beta = 0.77 Market return = 11.5%

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 has a beta of 1.2 and an actual return of 14.1 percent. The risk-free rate is 3.5…

A: Given: Beta = 1.2 Actual return = 14.1% Risk free rate = 3.5% Market risk premium = 7.4%

Q: A portfolio has an average return of 14.4 percent, a standard deviation of 18.5 percent, and a beta…

A: The Sharpe ratio: The Sharpe ratio is one of the most commonly used measures to assess the…

Q: Your portfolio has a beta of 1.24, a standard deviation of 14.3 percent, and an expected return of…

A: Portfolio beta = 1.24 Standard deviation = 14.3% Expected return = 12.50% Market return = 10.7% Risk…

Q: Determine the weights of a portfolio with a standard deviation of 7% created by combining T-Bill and…

A: Expected Return on Portfolio: It is estimated by adding the individual security returns that are…

Q: You have a two-asset portfolio that comprises stocks XX and ZZ. The information related to these two…

A: The Expected return of a portfolio refers to the total return which is expected by the investor…

Q: Assume the market portfolio's and risk-free rate's projected returns are 13% and 3%, respectively.…

A: There are various portfolio performance measures and one such measure is Treynors' ratio. This ratio…

Q: Consider the following information: the risk-free rate is 2%, and the expected rate of return on the…

A: Risk free rate (Rf) = 2% Market portfolio return (Rm) = 10% Beta = 1.5 We need to find the required…

Q: The risk-free rate is 3 percent, the expected return on the PSEi is 13 percent, and its standard…

A: Here, Risk Free Rate is 3% Expected Return of Market is 13% Standard Deviation of Market is 23%…

Q: Suppose the assumption behind that the CAPM hold. The risk free rate is 2% and the expected return…

A:

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: An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of…

A: The weights of assets A & B in minimum variance portfolio is given by the expressions below. The…

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: If the market portfolio has a required return of 0.12 and a standard deviation of 0.40, and the…

A: SML is an abbreviation used for security market line. It represent the market equilibrium and its…

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: Suppose that there exist two securities (A and B) with annual expected returns equal to ra = 3% and…

A: The portfolio is the combination of different securities which combine to minimize the risk and to…

Q: According to CAPM, the expected rate of return of a portfolio with a beta of 1.0 and an alpha of 0…

A: CAPM is useful model to calculate theoretically/ expected rate of return It considers risk free rate…

Q: a) The covariance between stocks A and B is 0.0014, standard deviation of stock A is 0.032, and…

A: “Since you have asked multiple questions, we will solve the first question for you. If you want any…

Q: Consider a risky portfolio, A, with an expected rate of return of 0.15 and a standard deviation of…

A: The risk reward ratio of Portfolio A = Risk / Return = 0.15/0.15 = 1

Q: A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.4…

A: Given Expected return is 6.4% and standard deviation is 9.4%. The risk free rate is 3.4%  Expected…

Q: What is the Sharpe ratio (S) of your risky portfolio and your client’s overall portfolio? , assume…

A: Sharpe Ratio = (Return on portfolio - Risk free Rate ) / (Standard Deviation of portfolio)

Q: You have a portfolio which consists of 75% of stock 1 (o^2 = 0.16) and 25% of stock 2 (o^2 = 0.09).…

A: Return on the stock is based on the risk free rate, market return and the risk associated with the…

Q: What is the standard deviation of this portfolio?

A: Information Provided: Correlation = -0.10 Standard Deviation of Stock A = 3.0 Standard Deviation of…

Q: Assume that two securities, A and B, constitute the market portfolio, their proportions and…

A: Most of the investors use beta in order to know whether the stock moves in the same direction as the…

Q: TABLE 1. Fim Portfolio Data - Expedel returns on cOMmponent stocks (%) in fundion of the state of…

A: We should first compute the expected return of the portfolio and its standard deviation. Then we…

Q: Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .092, E(RB) =…

A: The expected rate of return of the portfolio is the weighted average rate of return of all the…

Q: The following expected return and the standard deviation of current returns are known:   Security…

A: The standard deviation is a measure of the consistency of returns of an investment. The standard…

Q: A portfolio that combines the risk-free asset and the market portfolio has an expected return of 7…

A: The CAPM the capital assets pricing model gives the risk adjusted return of the security and gives…

Q: Suppose the risk-free return is 2% and the market portfolio has an expected return of 12% and a…

A: Beta=Volatility of stock x correlation with market /volatility of market  Expected return =Risk free…

Q: An analyst wants to evaluate Portfolio X consisting entirely of US common stocks, using both the…

A: Sharpe and Treynor ratios are calculated by the investors to determine the relationship between the…

Q: maximum level of risk aversion

A: Solution: Utility for T-bills is, U = E(r) – 0.5A *σ^2 Where E(r) = risk free rate = 7% Utility…

Q: You form a complete portfolio by investing 30% of your portfolio in a risky portfolio that has an…

A: Given information: Weight of risky portfolio is 30% Expected rate of return is 9% Standard deviation…

Q: You estimate that a passive portfolio, that is, one invested in a risky portfolio that mimics the…

A: Here, Expected Return of Passive Portfolio is 13% Standard Deviation of Passive Portfolio is 25%…