PRIN.OF CORP.FINANCE-CONNECT ACCESS
13th Edition
ISBN: 2810023360757
Author: BREALEY
Publisher: MCG
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Textbook Question
Chapter 7, Problem 16PS
Portfolio risk
- a) How many variance terms and how many different covariance terms do you need to calculate the risk of a 100-share portfolio?
- b) Suppose all stocks had a standard deviation of 30% and a correlation with each other of .4. What is the standard deviation of the returns on a portfolio that has equal holdings in 50 stocks?
- c) What is the standard deviation of a fully diversified portfolio of such stocks?
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Students have asked these similar questions
How many variance terms and how many covariance terms do you need to calculate the risk of a 100-share portfolio?
Suppose that all stocks had a standard deviation of 30% and a correlation with each other of 0.4. What is the standard deviation of the returns on a portfolio that has equal holdings in 50 stocks?
What is the standard deviation of a fully diversified portfolio of such stocks?
How many variance terms and how many covariance terms do you need to calculate therisk of a 100-share portfolio?b. Suppose that all stocks had a standard deviation of 30% and a correlation with each otherof 0.4. What is the standard deviation of the returns on a portfolio that has equal holdingsin 50 stocks?c. What is the standard deviation of a fully diversified portfolio of such stocks?
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.
Chapter 7 Solutions
PRIN.OF CORP.FINANCE-CONNECT ACCESS
Ch. 7 - Rate of return The level of the Syldavia market...Ch. 7 - Real versus nominal returns The Costaguana stock...Ch. 7 - Arithmetic average and compound returns Integrated...Ch. 7 - Risk premiums Here are inflation rates and U.S....Ch. 7 - Risk Premium Suppose that in year 2030, investors...Ch. 7 - Stocks vs. bonds Each of the following statements...Ch. 7 - Expected return and standard deviation A game of...Ch. 7 - Standard deviation of returns The following table...Ch. 7 - Average returns and standard deviation During the...Ch. 7 - Prob. 10PS
Ch. 7 - Prob. 11PSCh. 7 - Diversification Here are the percentage returns on...Ch. 7 - Risk and diversification In which of the following...Ch. 7 - Prob. 14PSCh. 7 - Portfolio risk To calculate the variance of a...Ch. 7 - Portfolio risk a) How many variance terms and how...Ch. 7 - Portfolio risk Table 7.8 shows standard deviations...Ch. 7 - Portfolio risk Hyacinth Macaw invests 60% of her...Ch. 7 - Stock betas What is the beta of each of the stocks...Ch. 7 - Stock betas There are few, if any, real companies...Ch. 7 - Portfolio betas A portfolio contains equal...Ch. 7 - Portfolio betas Suppose the standard deviation of...Ch. 7 - Portfolio risk Here are some historical data on...Ch. 7 - Portfolio risk Suppose that Treasury bills offer a...
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