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1. The two-asset case The expected return for asset A is 7.00% with a standard deviation of 5.00%, and the expected return for asset B is 6.50% with a standard deviation of 4.00%. Based on your knowledge of efficient portfolios, fill in the blanks in the following table with the appropriate answers. Proportion of Portfolio in Security A WA 1.00 0.75 0.50 0.25 0.00 Proportion of Portfolio in Security B WB 0.00 0.25 0.50 0.75 1.00 Expected Portfolio Return fp 7.00% 6.88% 6.75% 6.63% 6.50% The minimum risk portfolio allocation to asset A within the portfolio for case III is rolling off both assets from the portfolio. Standard Deviation op Case I (PAB = -0.4) 5.0 3.5 2.5 2.8 4.0 Standard Deviation op Case II (PAB = 0.3) 5.0 4.6 ▼ 3.6 3.6 4.0 . Therefore, you are better off Standard Deviation op Case III (PAB = 0.8) 5.0 4.6 4.3 4.1 ▼ 4.0

1. The two-asset case The expected return for asset A is 7.00% with a standard deviation of 5.00%, and the expected return for asset B is 6.50% with a standard deviation of 4.00%. Based on your knowledge of efficient portfolios, fill in the blanks in the following table with the appropriate answers. Proportion of Portfolio in Security A WA 1.00 0.75 0.50 0.25 0.00 Proportion of Portfolio in Security B WB 0.00 0.25 0.50 0.75 1.00 Expected Portfolio Return fp 7.00% 6.88% 6.75% 6.63% 6.50% The minimum risk portfolio allocation to asset A within the portfolio for case III is rolling off both assets from the portfolio. Standard Deviation op Case I (PAB = -0.4) 5.0 3.5 2.5 2.8 4.0 Standard Deviation op Case II (PAB = 0.3) 5.0 4.6 ▼ 3.6 3.6 4.0 . Therefore, you are better off Standard Deviation op Case III (PAB = 0.8) 5.0 4.6 4.3 4.1 ▼ 4.0

Essentials Of Investments
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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Question

The minimum risk portfolio allocation to asset A within the portfolio for case III is _______ .

 

answer choices:

 

0.64

 

0.10

 

0.56

 

0.00

 

Therefore, you are better off _________.

 

answer choices:

 

selling asset A short

 

selling asset B short

 

rolling off both assets from the portfolio

1. The two-asset case The expected return for asset A is 7.00% with a standard deviation of 5.00%, and the expected return for asset B is 6.50% with a standard deviation of 4.00%. Based on your knowledge of efficient portfolios, fill in the blanks in the following table with the appropriate answers. Proportion of Portfolio in Security A WA 1.00 0.75 0.50 0.25 0.00 Proportion of Portfolio in Security B WB 0.00 0.25 0.50 0.75 1.00 Expected Portfolio Return fp 7.00% 6.88% 6.75% 6.63% 6.50% The minimum risk portfolio allocation to asset A within the portfolio for case III is rolling off both assets from the portfolio. I Standard Deviation Op Case I (PAB = -0.4) 5.0 ▼ 3.5 2.5 2.8 4.0 Standard Deviation Op Case II (PAB = 0.3) 5.0 4.6 3.6 3.6 4.0 Therefore, you are better off Standard Deviation Op Case III (PAB = 0.8) 5.0 4.6 4.3 4.1 ▼ 4.0
Transcribed Image Text:1. The two-asset case The expected return for asset A is 7.00% with a standard deviation of 5.00%, and the expected return for asset B is 6.50% with a standard deviation of 4.00%. Based on your knowledge of efficient portfolios, fill in the blanks in the following table with the appropriate answers. Proportion of Portfolio in Security A WA 1.00 0.75 0.50 0.25 0.00 Proportion of Portfolio in Security B WB 0.00 0.25 0.50 0.75 1.00 Expected Portfolio Return fp 7.00% 6.88% 6.75% 6.63% 6.50% The minimum risk portfolio allocation to asset A within the portfolio for case III is rolling off both assets from the portfolio. I Standard Deviation Op Case I (PAB = -0.4) 5.0 ▼ 3.5 2.5 2.8 4.0 Standard Deviation Op Case II (PAB = 0.3) 5.0 4.6 3.6 3.6 4.0 Therefore, you are better off Standard Deviation Op Case III (PAB = 0.8) 5.0 4.6 4.3 4.1 ▼ 4.0
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