What must be the beta of a portfolio with Ere) = 17.4%, if re = 3% and End = 15%? (Do not round intermediate calculations. Round you answer to 2 decimal places.) Beta of a portfolio
Q: A stock has a beta of 1.8 and an expected return of 13 percent. A risk-free asset currently earns…
A: Assume that the weight of risk-free asset be y. Thus, the weight of stock be (1-y).The below…
Q: A stock has an expected return of 12.4%, the risk-free rate is 6.5%, and the market risk premium is…
A: In the given problem we require to calculate the Beta of the stock using following details: Expected…
Q: Currently, the risk-free return is 4 percent, and the expected market rate of return is 14 percent.…
A: We will first find the beta of the portfolio. Portfolio beta = weighted average of betas of…
Q: A stock has an expected return of 13%, its beta is 0.79, and the risk-free rate is 5%. What must the…
A: We require to calculate the expected return on the market in this question using following details:…
Q: what is the Sharpe ratio of this portfolio?
A: Information Provided: Return = 25.30% Standard deviation = 31% T-bills = 5%
Q: A stock has an expected return of 12.5 percent and a beta of 1.16, and the expected return on the…
A: Expected return of stock (Er) = 0.125 (12.5%) Beta (b) = 1.16 Expected return on the market (Rm) =…
Q: Equity has a beta of 0.9 and an expected return of 9%. A risk free asset currently earns 2%.(a) What…
A: Since you have posted a question with multiple sub-parts, we will solve the first three subparts for…
Q: What must be the beta of a portfolio with E(rP) = 20%, if rf = 5% and E(rM) 15%? (Round your answer…
A: In the given question we need to calculate beta of portfolio given following details: E(rP) = 20% rf…
Q: Consider the following information: Probability of State of Economy 0.54 0.46 State of Rate of…
A: Expected return refers to the anticipated amount of profit or loss that an investor calculates from…
Q: A stock has a beta of 1.26 and an expected return of 12.4 percent. A risk-free asset currently earns…
A: “Since you have posted a question with multiple sub-parts, we will solve first three sub-parts for…
Q: An equally-weighted portfolio that consists of 13 stocks has a beta of 1.5. If you replace one of…
A: Here, Total no. of stocks = 13 Beta = 1.5 Beta of the stock that was replaced = 1.07 Beta of…
Q: Please help me with 11-6 ??♀️
A: Introduction : Risk free rate =4% Market risk premium = 5% Beta coefficient =2.0 Using CAPM…
Q: If a given stock in the portfolio had established 1.23 beta; the related expected return is at…
A: Part A: The expected return on the portfolio as follows: = Weight of stock ×Expected return on Stock…
Q: Assuming that the CAPM approach is appropriate, compute the required rate of return for each of the…
A: Given: Risk free rate = 0.07 Market rate = 0.13 Different betas:
Q: Suppose you are given stocks A and B. Stock A has an expected return of 11% and a standard deviation…
A: The provided information are: Stock Expected return Standard deviation A 11% 4%…
Q: Suppose the expected return on the tangent portfolio is 10% and its volatility is 40%. The risk-free…
A: Portfolio refers to basket of different financial assets in which investment is made by single…
Q: A stock has a beta of 1.15 and an expected return of 11.4 percent. A risk-free asset currently earns…
A: Given, Return on risky asset = 11.40% Return on risk free asset = 3.50% Beta of risky asset = 1.15…
Q: Consider Securities X and Y with the following estimates: E(RX) = 5% σX= 10% E(RY) = 15% σY = 25%.…
A: A portfolio is a collection of different assets held together for investment purposes. It may…
Q: An equally-weighted portfolio that consists of 13 stocks has a beta of 1.5. If you replace one of…
A: As per the given information: Number of Stocks =13 Beta of 13 stocks = 1.5 Replacing Stock with a…
Q: Using the CAPM, estimate the appropriate required rate of return for the three stocks listed here,…
A: In the given question we are required to calculate the Required rate of return of three stocks i.e.…
Q: A stock has a beta of 1.2 and an expected return of 11.8 percent. A risk-free asset currently earns…
A: The CAPM model takes into account two major risks that impact returns and combines them to tell an…
Q: Consider an investment portfolio that consists of three different stocks, with the amount invested…
A: Given The risk free rate is 2.5% The market risk premium is 6%
Q: You have a portfolio with a beta of 1.30. What will be the new portfolio beta if you keep 84 percent…
A: Portfolio Beta is calculated by doing weighted average of the Beta of the individual investment…
Q: A portfolio has a correlation of 0.40 with the overall market and produces a Sharpe Ratio of 0.2. If…
A: There are different measures which are used for the estimation of portfolio performance. One such…
Q: A stock has an expected return of 14 percent, a beta of 1.65, and the expected return on the market…
A: Given that the expected return on a stock is 14%, expected return on the market is 11.2% and the…
Q: An Equity has a beta of 0.9 and an expected return of 9%. A risk free asset currently earns 2%.…
A: Beta= 0.9 Expected return= 9% Risk free rate of asset= 2%
Q: A stock has a beta of 0.65, the expected return on the market is 15%, and the risk- free rate is 8%.…
A: In the given problem we require to calculate the expected return on stock: According to CAPM i.e.…
Q: Expected return of a portfolio using beta. The beta of four stocks—P, Q, R, and S—are 0.49,…
A: Hi There, Thanks for posting the questions. As per our Q&A guidelines, must be answered only one…
Q: A stock has a beta of 1.8 and an expected return of 13 percent. A risk-free asset currently earns…
A: “Since you have posted a question with multiple sub-parts, we will solve first three sub-parts for…
Q: Suppose that the index model for stocks A and B is estimated from excess returns with the following…
A: The beta of A is 0.45 Beta of B is 1 The SD of A is 0.28 SD of B is 0.21 SD of market is 16%. Weight…
Q: If the risk free rate is 2 9%, the expected return on the market portfolio is 1296 and the beta of…
A: Financial statements are statements which states the business activities performed by the company .…
Q: A stock has an expected return of 15.6 percent, the risk-free rate is 6.2 percent, and the market…
A: Information Provided: Expected Return = 15.6% Risk-free rate = 6.2% Market Risk Premium = 7.7%
Q: If a portfolio of the two assets has a beta of .99, what are the portfolio weights? (Do not round…
A: Hi. Since there is no information given regarding the beta of stock, we are randomly assuming the…
Q: What is portfolio A's CAPM beta based on your analysis? Round off your answer to three digits after…
A: The Beta: In the CAPM, the beta is a measure of the sensitivity of the stock's returns to that of…
Q: Stock M has a relevant risk equals 1.75, and unsystematic risk equals 2. If the real risk-free rate…
A: RRR adjusted for inflation = [(1+RRR)/(1-i)] - 1 where RRR is Required Rate of Return = Risk Free…
Q: Stock J has a beta of 1.28 and an expected return of 13.56 percent, while Stock K has a beta of .83…
A: Market beta is 1. Beta of Stock J = 1.28 Beta of Stock K = 0.83 Let Weight of Stock J = WJ Let…
Q: The expected return on the market is 15%, the risk-free rate is 8o/o, and the beta for Stock B is…
A: Given: The expected return = 15% = 0.15 Risk free rate = 8% = 0.08 Beta for stock = 0.8
Q: Using the CAPM, estimate the appropriate required rate of return for the three stocks listed here,…
A: In the given problem we need to calculate the Required rate of return of three stocks i.e. Stock A,…
Q: Please help me with 11-4 ??♀️
A: Introduction: Investment in Two stock = 10000 Weight of Stock A = 30% Weight of Stock B = 70% Stock…
Q: A stock has a beta of 1.2 and an expected return of 11.8 percent. A risk-free asset currently earns…
A: Portfolio weight refers to the holding of all assets or investments. Weight of risk-free asset in a…
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: A stock has a beta of 1.4 and an expected return of 12.7 percent. If the risk-free rate is 4.9…
A: Following details are given to us in the question : Beta = 1.4 Expected Return (ER) = 12.7% Risk…
Q: State Dep Rec Norm Boom Prob 0.1 0.3 0.4 0.2 Stock A Return A -0.25 0.12 0.33 0.42 Stock B Return B…
A: First, we will calculate the expected return of A and B, and thereafter we can apply the formula for…
Q: The data on the expected return of 2 stocks (M and C) along with the economic conditions and their…
A: Expected return of a stock is the minimum rate of return that an investor expects from the security…
Risk and return
Before understanding the concept of Risk and Return in Financial Management, understanding the two-concept Risk and return individually is necessary.
Capital Asset Pricing Model
Capital asset pricing model, also known as CAPM, shows the relationship between the expected return of the investment and the market at risk. This concept is basically used particularly in the case of stocks or shares. It is also used across finance for pricing assets that have higher risk identity and for evaluating the expected returns for the assets given the risk of those assets and also the cost of capital.
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- D4) Consider two stocks A and B. Both have an expected return of 10%, and their standard deviations are 18% and 16% respectively. Also, their correlation is 0.35. If the risk-free rate of return is 3%, identify the tangency portfolio, and calculate its expected return and standard deviation.INV 2 -1 You are considering an investment in a portfolio P with the following expected returns in three different states of nature: Recession Steady Expansion Probability 0.10 0.55 0.35 Return on P -15% 20% 40% The risk-free rate is currently 4%, and the market portfolio M has an expected return of 16% and standard deviation of 20%, and its correlation with P is .7. Is P an efficient portfolio relative to the market?19. You have a portfolio consisting solely of Stock A and Stock B. The portfolio has an expected return of 9.8 percent. Stock A has an expected return of 13.4 percent while Stock B is expected to return 6.4 percent. What is the portfolio weight of Stock A? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)
- Problem 11-25 Portfolio Returns and Deviations [LO 1, 2] Consider the following information on a portfolio of three stocks: State of Economy Probability of State of Economy Stock A Rate of Return Stock B Rate of Return Stock C Rate of Return Boom .13 .02 .32 .50 Normal .55 .10 .22 .20 Bust .32 .16 −.21 −.35 If your portfolio is invested 40 percent each in A and B and 20 percent in C, what is the portfolio’s expected return, the variance, and the standard deviation? Note: Do not round intermediate calculations. Round your variance answer to 5 decimal places, e.g., .16161. Enter your other answers as a percent rounded to 2 decimal places, e.g., 32.16. If the expected T-bill rate is 4.25 percent, what is the expected risk premium on the portfolio? Note: Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.Quantitative Problem: You are holding a portfolio with the following investments and betas: Stock Dollar investment Beta A $300,000 1.3 B 200,000 1.6 C 500,000 0.75 D 0 -0.15 Total investment 1,000,000 The market's required return is 11% and the risk-free rate is 3%. What is the portfolio's required return? Round your answer to 3 decimal places. Do not round intermediate calculations.%The discounted returns on a portfolio are normally distributed with mean 1.2% and volatility 13%. Find the 1% 10-day expected shortfall (ES) assuming the returns are i.i.d. You are given that ϕ(Φ−1(0.01))=0.02265.
- If a given stock in the portfolio had established 1.23 beta; the related expected return is at 11.7percent, and 3.5percent is the current earning of a risk-free asset; a. Determine the expected return on a portfolio that is equally invested in the two assets? b. If a portfolio of the two assets has a beta of 0.7, what are the portfolio weights? c. If a portfolio of the two assets has an expected return of 9%, what is its beta? d. If a portfolio of the two assets has a beta of 2.46, what are the portfolio weights? How do you interpret the weights for the two assets in this case? Discuss.Quantitative Problem: You are holding a portfolio with the following investments and betas: Stock Dollar investment Beta A $300,000 1.2 B 200,000 1.6 C 400,000 0.75 D 100,000 -0.35 Total investment $1,000,000 The market's required return is 11% and the risk-free rate is 4%. What is the portfolio's required return? Do not round intermediate calculations. Round your answer to three decimal places.QUESTION 7 An investor wishes to construct a portfolio consisting of a 70 percent allocation to a stock index and a 30 percent allocation to a risk-free asset. The return on the risk-free asset is 4.5 percent, and the expected return on the stock index is 12 percent. Calculate the expected return on the portfolio. a. 16.50 percent b. 17.50 percent c. 14.38 percent d. 9.75 percent e. 8.25 percent
- KF2. --Suppose the return on the market is expected to be 13%, a stock has a beta of 1.3, and the T-bill rate is 4%. You believe your portfolio will achieve an 18% return. *Briefly describe the value of Alpha you generated insofar as it relates to performance measurement and the Security Market LineFigure 12.11 shows plots of monthly rates of return on three stocks versus the stock market index. The beta and standard deviation of each stock is given beside its plot. Required: What is the expected rate of return on each stock? Use the capital asset pricing model with a market risk premium of 8%. The risk-free rate of interest is 4%. (Answer for Intel is not 7.87%)vvk.1 Portfilio A has an expected return of 12% and a beta of1.2. Portfolio B has an expected return of 5% and a beta of 0. suppose there exists another portfolio C that is well diversifed and has a beta of 0.6 and expected return of 8%. If arbitrage is possible, what would be the return?