44 The standard deviation of XXX is 12.66% while the standard deviation of YYY is 8.3%. Covariance of XXX to YYY is 0.00829. Find the weight of XXX and YYY where the a portfolio of XXX and YYY is the lowest risk? 45 Using data provided in Question 44, what is the standard deviation of the portfolio with 29.52% in XXX and 70.48% in YYY? XXX YYY

44 The standard deviation of XXX is 12.66% while the standard deviation of YYY is 8.3%. Covariance of XXX to YYY is 0.00829. Find the weight of XXX and YYY where the a portfolio of XXX and YYY is the lowest risk? 45 Using data provided in Question 44, what is the standard deviation of the portfolio with 29.52% in XXX and 70.48% in YYY? XXX YYY

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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11.9
Asset A has a standard deviation of 0.17, and asset B has a standard deviation of 0.52. Assets A and B have a correlation coefficient of 0.44. What is the standard deviation of a portfolio consisting with a weight of 0.40 in asset A, a weight of 0.24 in asset B, and the remainder invested in a risk-free asset? Give your answer to four decimal places.
QUESTION 1 Under which of the following scenarios, the minimum variance portfolio that contains two stocks has the smallest standard deviation? OA. The correlation between the two stock returns is -1 OB. The correlation between the two stock returns is -0.2 OC. The correlation between the two stock returns is 0.2 OD. The correlation between the two stock returns is 0.5
Following is information for the required returns and standard deviations of returns for A, B, and C. The correlation coefficients for each pair also are shown below in a matrix. Which is the portfolio you will recommend AB, AC, or BC, and why? A B C Required Rate of return 7% 10% 20% Standard Deviation 33% 54% 90% Coefficient A,B 0.16 Coefficient A,C 0.19 Coefficient B,C 0.17
Haaha
A portfolio consists of 500 equally weighted securities. The average variance of the securities is 0.09 and the average covariance between all pairs is 0.02. What is the standard deviation of the equal-weighted portfolio? 8.19% 6.19% 12.19% 14.19%
1. Using the following returns, calculate the average returns, the variance, standard deviations, and coefficient of variation for X and Y. Which stock is the least risky? Yr 1 2 3 Rx 12.20 9.65 0.00 6.50 Ry 4 8.00 -2.00 12.50 9.57
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
Assume that the following data available for the portfolio, calculate the expected return, variance and standard deviation of the portfolio given stock A accounts for 45% and stock B accounts for 55% of your portfolio? (4 marks) A B Expected return 12.5% 18.5% Standard Deviation of return 15% 20% Correlation of coefficient (p) 0.4
An investor has preferences represented by the utility function U = E(r) - 20². What is her certainty equivalent return for a portfolio with an expected return of 10% and a standard deviation of 15%? Oa. 1.0% O b. 2.5% O c. 0.5% O d. 5.5% O e. 10.0%
15. (Singular) Suppose there are two stocks that are uncorrelated. Each of these has variance of 1, and there are expected returns are 7₁ and 72, respectively. The risk-free rate is rf. Find the portfolio of weights w₁ and w₂ for the Markowitz (market) portfolio. Show that for some value of rf there is no Markowitz portfolio.
If beta of Stock A with market is 0.72 and and the market variance is 225 , the covariance between A and B is 202.5, beta of stock B with market is a. 1.10 b. 0.81 c. 1.20 d. 1.25

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