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the required return on portfolio is 18% risk free rate is 6% and the market return is 14% calculate the beta of the portfolio
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- The risk premium on the market portfolio is estimated at 8 % with a standard deviation of 22 %. What is the risk premium on a portfolio invested 25 % in AELZ with a beta of 1.15 and 75 % in BAT with a beta of 1.25?What is the expected return of a portfolio that has $8,000 invested in S and $2,000 invested in T? The risk-free rate is 6% and the market portfolio's return is 14%. Do you expect the investment to be a good one for the coming year if betas for the two portfolio components are 0.6 and 1.3, respectively?A portfolio has a beta of 1.2 and an actual return of 14.1 percent. The risk-free rate is 3.5 percent and the market risk premium is 7.4 percent. What is the value of Jensen's alpha?
- A portfolio consists of two securities: a 90-day T-bill and the S&P/TSX Composite. The expected return on the T-bill is 4.5%. The expected return on the S&P/TSX Composite is 12% with a standard deviation of 20%. What is the portfolio standard deviation if the expected return for this portfolio is 15%?The market index return is 1.3% and its standard deviation is 17%. The risk free rate is 3%. Portfolio Q generates an annual return of 14%, and has a beta of 1.35, and a standard deviation of 23%. Consider a complete portfolio that consists of the portfolio Q and the risk free asset. If we require the standard deviation of the complete portfolio to be the same as the market portfolio, what is the Sharpe ratio of the complete portfolio?Security F has an expected return of 10 percent and a standard deviation of 43 percent per year. Security G has an expected return of 15 percent and a standard deviation of 62 percent per year. Required: (a) What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent of Security G? (b) If the correlation between the returns of Security F and Security G is .25, what is the standard deviation of the portfolio described in part (a)?
- Currently the risk-free return is 3 percent and the market risk premium is 8 percent. What is the required rate of return on the following two-stock portfolio? Amount Invested Beta $70,000 1.4 $30,000 0.4A 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.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.
- 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?Your portfolio has a beta of 1.73, a standard deviation of 29 percent, and an expected return of 11.4 percent. The market return is 10.9 percent and the risk-free rate is 2.2 percent. What is the Treynor ratio?Suppose you have $2,000 to invest. The market portfolio has an expected return of 10.5 percent and a standard deviation of 16 percent. The risk-free rate is 3.75 percent. How much should you invest in the risk-free asset if you wish to have a 15 percent return on the portfolio?