2. An investor is evaluating a o-asset portfolio of the following two securiti Portfolio A: 75% Ooredoo and 25% Woqod Portfolio B: Investor has QAR 100,000 and will invest QAR 50,000 in Woqod Expected returns and risks: ● . . ● Expected Return 12.50% Woqod 10.80% The correlation between Ooredoo and Woqod is 0.72. Calculate: a. Expected return of both the portfolios Security Ooredoo Expected Risk (0) 26.40% 22.50%

2. An investor is evaluating a o-asset portfolio of the following two securiti Portfolio A: 75% Ooredoo and 25% Woqod Portfolio B: Investor has QAR 100,000 and will invest QAR 50,000 in Woqod Expected returns and risks: ● . . ● Expected Return 12.50% Woqod 10.80% The correlation between Ooredoo and Woqod is 0.72. Calculate: a. Expected return of both the portfolios Security Ooredoo Expected Risk (0) 26.40% 22.50%

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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Asset W has an expected return of 13.15 percent and a beta of 1.28. If the risk free rate is 4.53 percent, complete the following table for portfollos of Asset W and a risk-free asset. Note: Leave no cells blank- be certain to enter "0" wherever required. Do not round intermediate calculations. Enter your portfolio expected return answers as a percent rounded to 2 decimal places, e.g., 32.16. Enter your portfolio beto answers rounded to 3 decimal places, e.g. 32.161. Percentage of Portfolio Expected Portfolio in Asset W Return 0% 25 50 25 100 125 150 453 % 669% 184% 11.00% 13.15 % 15.31% 17.46% Portfolio Beta 0250 0640 1024 1.200 6057 006
Parts A-C have already been answered, looking for answer D.
The expected return for asset A is 4.00% with a standard deviation of 9.00%, and the expected return for asset B is 6.75% with a standard deviation of 3.00%. 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 4.00% 4.69% 6.06% 6.75% Standard Deviation Op Case I (PAB= -0.4) 6.5 4.1 2.5 3.0 Standard Deviation op Case II (PAB= 0.3) 9.0 5.2 3.6 3.0 The minimum risk portfolio allocation to asset A within the portfolio for case III is. Therefore, you are better off Standard Deviation op Case III (PAB=0.8) 9.0 7.4 5.8 ▼ 3.0
Consider following information on a risky portfolio, risk-free asset and the market index. What is the M2 of the risky portfolio? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta
You are evaluating various investment opportunities currently available and you have the fol-lowing information about five different well-diversified portfolios of risky assets. Interest raterf = 3% a) Calculate the Sharpe ratio for each portfolio. (b) Explain which of these five portfolios is most likely to be the optimal risky portfolio. (c) Suppose you are willing to invest with an expected return of 6%. What would be theinvestment proportions in the riskless asset and the optimal risky portfolio? What is thestandard deviation of the return for this investment?
Suppose you are considering investing your entire portfolio in three assets A, B and C. You expect that after you invest, four possible mutually exclusive scenarios will occur, with associated returns (in %) for each of the three assets as listed below. The probability of each scenario is given below. A B C Probabilities return 0.05 0.50% -3.60% 3.60% 0.35 0.60% 2.75% 0.15% 0.45 3.66% 1.45% 0.45% 0.15 -4.80% -0.60% 6.30% Find the expected returns and standard deviations of Asset A, B & C. (HINT: the expected return is given by the probability-weighted sum of returns in each scenario. The expected standard deviation is given by the square root of the probability-weighted sum of squared deviations from the expected return.) Is there any reason to invest in Asset A given its low expected return and high standard deviation?
Consider the following two assets: Asset Expected return Standard deviation of returns 1 18% 30% 2 8% 10% The returns on the two assets are perfectly negatively correlated (i.e. coefficient of -1). Calculate the proportions of assets 1 and 2 that generate a portfolio with a standard deviation of zero. What is the expected return of that portfolio Calculate the expected returns and standard deviations of three other portfolios with weightingsof your choice. Present a graph of your results.
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp X 15.0% Y 14.0 Z 9.0 Market 10.3 Risk-free 4.2 op 32% 27 17 22 0 Portfolio X Y Z Market 6p 1.40 1.10 0.75 1.00 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Leave your ratio answers as a decimal rounded to 5 places (e.g., 0.23546). Enter your alpha answers as a percent rounded to 2 decimal places (e.g., 0.22%).) Sharpe Ratio Treynor Ratio Jensen's Alpha % % % %
2. Assuming the following: Average Return (Risky Portfolio) 3.86% Standard Dev (Risky Portfolio) 10.56% Average Risk Free Rate 2.18% Return on Risk Free Asset Avg 4.15% Using the formula: E(rc)=rf + y* (E(rp) - rf) Solve for: 1. % of Risky Assets (y): 2. % of Risk Free Assets (1-y): Note: You wish to generate a 7% return for your complete portfolio E(rc)
Mansuk
Sangita
Asset W has an expected return of 12.3 percent and a beta of 1.2. If the risk-free rate is 4 percent, complete the following table for portfolios of Asset W and a risk-free asset. (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Enter your expected return answers as a percent rounded to 4 decimal places, e.g., 32.1623, and beta answers to 3 decimal places, e.g., 32.161.) > Answer is complete but not entirely correct. Percentage of Portfolio in Asset W % 0 25 50 75 100 125 150 Portfolio Expected Return 4.0000 % 6.0750X % 8.1500 X % 10.2250 % 12.3000 x % 14.3750 % 16.4500 X % Portfolio Beta 0 0.300 0.600 0.900 1.200 1.500 1.800

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