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
Stock Y has a Beta of 0.95 while the standard deviation of its residual is 0.24. The standard deviation of the Market portfolio is 0.19. What percent of the total variance of Stock Y comes from systematic risk? Group of answer choices 36.1% 59.0% 62.3% 44.4% None of the above
The betas for company 1 and company 2 are 0.636 and 0.291, respectively. The market variance is 10.3%. Form an equally-weighted portfolio of company 1 and company 2. The systematic risk of this portfolio according to the single index model is closest to Select one: a. 1.92% b. 4.56% c. 2.21% O d. 3.25% <
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%
Calculate the risk (standard deviation) of a 2-asset portfolio, in which asset A has a variance of return = 0.112, asset B a variance of return = 0.045, and the convariance between the return of 2 assets is = 0.102. asset A comprises 60% ans asset B comprises 40% of the total portfolio. Give your answer 0.000.
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
Q6. ) A portfolio is formed by investing 32% in Asset-1; 28% in Asset-2; and 40% in Asset-3. The covariances of the three assets with the market portfolio are 24, 36, and 48. The variance of the market portfolio is 40. If the risk - less rate is 7.5%, and the expected return on the market portfolio is 12.5%, what is the expected return of this portfolio, assuming that the CAPM is valid?
What are the expected return and the standard deviation for the CoR Stock? CoR Stock I Probability Rate of Scenario of Scenario Return Worst Case 0.10 -20% Poor Case 0.20 -5% Most Likely 0.40 1% Good Case 0.20 5% Best Case 0.10 30%
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.

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