10. Based on the following tables and graph, if your client wants to achieve same level of risk as Min Variance Portfolio of AAPL and NFLX, how should recommend for them to split their funds between Rf security and ORP portfolio to achieve that for their final combination portfolio? Note that Rf = 0.2% Summary Statistics Opportunity Set Table NFLX AAPL Sharpe Ratio W (NFLX) W (AAPL) R(P) Var (P) St. Dev. (P) Average 4.36% 2.02% 0.3443 1 0 4.36% 0.01458 12.08% Variance 0.01458 0.00610 0.3516 0.9 0.1 4.12% 0.01245 11.16% St. Dev. 12.08% 7.81% 0.3584 0.8 0.2 3.89% 0.01060 10.29% Covariance 0.0031922 0.3635 0.7 0.3 3.66% 0.00903 9.51% Correlation 0.3385 0.3657 0.6 0.4 3.42% 0.00776 8.81% 0.3632 0.5 0.5 3.19% 0.00677 8.23% Rf = 0.200% 0.3537 0.4 0.6 2.95% 0.00606 7.79% 0.3354 0.3 0.7 2.72% 0.00564 7.51% 0.3080 0.2 0.8 2.49% 0.00551 7.42% 0.2727 0.1 0.9 2.25% 0.00566 7.52% 0.2327 0 1 2.02% 0.00610 7.81% A. 0.84 into ORP and 0.16 into Rf B. 0.56 into ORP and 0.44 into Rf C. 0.37 into ORP and 0.63 into Rf D. 0.72 into ORP and 0.28 into Rf ORP => Rf => 0.3657 0.6 0.4 3.42% 0.200% 0.00776 8.81% 0% Returns Opportunity Set 5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% AAPL NFLX 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% St. Dev.
10. Based on the following tables and graph, if your client wants to achieve same level of risk as Min Variance Portfolio of AAPL and NFLX, how should recommend for them to split their funds between Rf security and ORP portfolio to achieve that for their final combination portfolio? Note that Rf = 0.2% Summary Statistics Opportunity Set Table NFLX AAPL Sharpe Ratio W (NFLX) W (AAPL) R(P) Var (P) St. Dev. (P) Average 4.36% 2.02% 0.3443 1 0 4.36% 0.01458 12.08% Variance 0.01458 0.00610 0.3516 0.9 0.1 4.12% 0.01245 11.16% St. Dev. 12.08% 7.81% 0.3584 0.8 0.2 3.89% 0.01060 10.29% Covariance 0.0031922 0.3635 0.7 0.3 3.66% 0.00903 9.51% Correlation 0.3385 0.3657 0.6 0.4 3.42% 0.00776 8.81% 0.3632 0.5 0.5 3.19% 0.00677 8.23% Rf = 0.200% 0.3537 0.4 0.6 2.95% 0.00606 7.79% 0.3354 0.3 0.7 2.72% 0.00564 7.51% 0.3080 0.2 0.8 2.49% 0.00551 7.42% 0.2727 0.1 0.9 2.25% 0.00566 7.52% 0.2327 0 1 2.02% 0.00610 7.81% A. 0.84 into ORP and 0.16 into Rf B. 0.56 into ORP and 0.44 into Rf C. 0.37 into ORP and 0.63 into Rf D. 0.72 into ORP and 0.28 into Rf ORP => Rf => 0.3657 0.6 0.4 3.42% 0.200% 0.00776 8.81% 0% Returns Opportunity Set 5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% AAPL NFLX 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% St. Dev.
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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Transcribed Image Text:10. Based on the following tables and graph, if your client wants to achieve same level of risk as Min
Variance Portfolio of AAPL and NFLX, how should recommend for them to split their funds between
Rf security and ORP portfolio to achieve that for their final combination portfolio?
Note that Rf = 0.2%
Summary Statistics
Opportunity Set Table
NFLX
AAPL
Sharpe Ratio W (NFLX) W (AAPL)
R(P)
Var (P)
St. Dev. (P)
Average
4.36%
2.02%
0.3443
1
0
4.36%
0.01458
12.08%
Variance
0.01458
0.00610
0.3516
0.9
0.1
4.12%
0.01245
11.16%
St. Dev.
12.08%
7.81%
0.3584
0.8
0.2
3.89%
0.01060
10.29%
Covariance
0.0031922
0.3635
0.7
0.3
3.66%
0.00903
9.51%
Correlation
0.3385
0.3657
0.6
0.4
3.42%
0.00776
8.81%
0.3632
0.5
0.5
3.19%
0.00677
8.23%
Rf =
0.200%
0.3537
0.4
0.6
2.95%
0.00606
7.79%
0.3354
0.3
0.7
2.72%
0.00564
7.51%
0.3080
0.2
0.8
2.49%
0.00551
7.42%
0.2727
0.1
0.9
2.25%
0.00566
7.52%
0.2327
0
1
2.02%
0.00610
7.81%
A. 0.84 into ORP and 0.16 into Rf
B. 0.56 into ORP and 0.44 into Rf
C. 0.37 into ORP and 0.63 into Rf
D. 0.72 into ORP and 0.28 into Rf
ORP =>
Rf =>
0.3657
0.6
0.4
3.42%
0.200%
0.00776
8.81%
0%
Returns
Opportunity Set
5.00%
4.50%
4.00%
3.50%
3.00%
2.50%
2.00%
1.50%
1.00%
0.50%
0.00%
AAPL
NFLX
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00%
St. Dev.
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