1. The risk-free rate is equal to 1%. The tangency portfolio has a Sharpe Ratio of 0.75. Tracy holds a portfolio with an expected return of 12.17%.The portfolio has 50 % in the risk-free asset and the rest in the tangency portfolio. The standard deviation of the tangency portfolio is --_%. Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35.
1. The risk-free rate is equal to 1%. The tangency portfolio has a Sharpe Ratio of 0.75. Tracy holds a portfolio with an expected return of 12.17%.The portfolio has 50 % in the risk-free asset and the rest in the tangency portfolio. The standard deviation of the tangency portfolio is --_%. Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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M4
Transcribed Image Text:1. The risk-free rate is equal to 1%. The tangency
portfolio has a Sharpe Ratio of 0.75. Tracy holds a
portfolio with an expected return of 12.17%.The
portfolio has 50 % in the risk-free asset and the
rest in the tangency portfolio. The standard
deviation of the tangency portfolio is
Answers must be entered with 2 decimal places
and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35.
_%.
2. The shares of closed-end mutual fund XYZ
currently trade at $50. XYZ has $37.36 millions in
liabilities and 5.09 million shares outstanding. The
fund is traded at a 10% premium over its NAV. The
implied value of the portfolio held by XYZ is
$__millions.
Answers must be entered with 2 decimal places
and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35.
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