You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 32%. The T-bill rate is 7%. Your client’s degree of risk aversion is A = 3.3, assuming a utility function U = E(r) - ½Aσ².   a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.)   b. What is the expected value and standard deviation of the rate of return on your client’s optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

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

A: Particulars                                                               Asset A…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Covariance matrix is prepared for the stock and bond as below. Note Covariance is calculated suing…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: The conceptual formula of Standard deviation is:

Q: d) What is the reward-to-volatility ratio of the best feasible CAL? e) You require that your…

A: Sharpe ratio is refer as reward to volatility ratio which used to determine the performance of an…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Portfolio is a mix or collection of the financial instruments held by an investor or financial…

Q: The average returns, standard deviation and betas for three funds and the S&P are given below. The…

A: Here, Risk-free Return (Rf) is 3% To create a complete portfolio, the investor uses Fund A and…

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: Your client, Jane Hislop, has an investment portfolio which is 30% invested in Fund 1 and 70%…

A: The beta of a portfolio is nothing but the weighted average of betas of individual assets included…

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: Find the optimal risky portfolio if you could only use these two funds, ABC and 123,  assume the two…

A: Here,   ABC 123 Expected return 0.12 0.15 Standard Deviation 0.2 0.3 Correlation…

Q: Assuming risk free rate to be 2% p.a while market return is expected to be 8% return with a Standard…

A: Given: Risk free rate = 2% Market return = 8% Standard deviation = 10% Portfolio risk = 5%

Q: You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 31%.…

A: Given information: Expected rate of return of a risky portfolio is 19%, Standard deviation is 31%,…

Q: Suppose that Jerry Tan has surplus funds to invest in both stocks, Alpha and Beta. He has decided to…

A: For Stock: Expected return E(r) = ∑p*r Standard deviation = √∑p*(r-E(r))2  For portfolio: Expected…

Q: Consider a T-bill with a rate of return of 5 percent and the following risky securities. From which…

A: Risk Seekers:  Risk seekers willing to pay for taking risk for getting more profits.…

Q: standard

A: To calculate the expected return & SD, following assumptions are made: Let c be the portfolio of…

Q: invest 40% in A and 60% in B, what would be the return standard deviation of your portfolio? Enter…

A: First we need to find the standard deviation of individual stocks and their correlation co-efficient…

Q: (1) Find out the minimum-variance portfolio, its expected return and standard     deviation.     (2)…

A: Since you have posted a question with multiple sub-parts, we will solve the first three sub-parts…

Q: . a. A mutual fund with beta of .8 has an expected rate of return of 14%. If rf = 5%, and you expect…

A: The question is based on the concept of capital asset pricing model (CAPM) , the model used to…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Given:

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

A: Passive portfolio Expected rate of return=13% Standard deviation=25% Active portfolio Expected rate…

Q: You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 33%.…

A: The investment proportions of the individual assets are given above on the basis of 80% of…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Given, Risk-free rate = 8% Stock expected return = 17% Stock standard deviation = 30% Bonds expected…

Q: You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 30%.…

A: Risk aversion The behavior of an individual, when such an individual is exposed to the risk and try…

Q: As an equity analyst, you have developed the following return forecasts and risk estimates for two…

A: Financial statements are statements which states the business activities performed by the company .…

Q: Portfolio AB is formed by investing 50% of the funds in each of the assets A and B. A similar…

A: Expected return = ∑p*r Expected variance = ∑p*(r-E(r))2

Q: A fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Given: Risk free rate 8%   Particulars Return Standard deviation Stock fund 20.00% 30.00%…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: a-1) Formula: Weight (Stock)=Bond…

Q: Consider the following information and then calculate the required rate of return for the Global…

A: The portfolio beta needs to be computed to calculate the required return of portfolio

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: In two asset portfolio, the optimum weights can be computed by using methematical formulas. In case…

Q: You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 29%.…

A: Expected return of risky portfolio (Re) = 18% Standard deviation of risky portfolio (SDe) = 29%…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Given the following information :    Expected return Standard deviation Stock fund (S) 17% 30%…

Q: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…

A: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…

Q: You are considering investing $1,000 in a T-bill that pays 0.05 and a risky portfolio, P,…

A: Weight in Risk Portfolio = 40% Therefore, Weight of X = 40% * 60%  = 24% Weight of Y = 40% * 40%  =…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Risk-free rate = 8% Expected return on stock fund = 19%  Expected return on bond fund = 12%…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Here, To Find: Part 1. Weightage of the portfolio invested in stocks =? Part 2. Weightage of the…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Expected returns are returns which are expected to be earned, whereas standard deviation is the risk…

Q: The Manhawkin Fund has an expected return of 16% and a standard deviation of 20%. The risk-free rate…

A: Given: Expected return = 16% = 0.16 Standard deviation = 20% = 0.20 Risk-free rate = 4% = 0.04

Q: Following is the portfolio weights, w, percentage expected return in (%), R, vectors and…

A: Here, Lets name three security as A, B and C Covariance Matrix

Q: An investor puts 60% of her assets in a risky portfolio with an expected return of 15% and variance…

A: The expected return is the amount of profit or loss an investor can anticipate receiving on an…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Expected return is the possible rate of return an investor expects to receive on an investment made…

Q: A pension fund manager is considering three assets. The first is a stock fund, the second is a…

A: Expected return of a portfolio is measured by multiplying the standard variation of each security by…

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 manage a risky portfolio with expected rate of return of 16% and a standard deviation of 28%.…

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

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Given:

Q: An investor can design a risky portfolio based on two funds, HighYieldBond and SmallCapStock. Fund…

A: standard DEVIATION of portfolio =(w12σ12 + w22σ22 + 2w1w2 p(1,2)σ1σ2)1/2

Q: Assume that you manage a risky portfolio with an expected rate of return of 20% and a standard…

A: a.Given,Standard Deviation of Portfolio = 46%New Standard Deviation of Portfolio = 35% Calculation…