A portfolio's return was 15% and the standard deviation was 20%. The market return was 5% and the standard deviation was 10%. The risk-free rate was 3%. What is the M²? 4% 3% 2% 5%

Q: Assume your portfolio standard deviation is 8 whereas the market has a standard deviation of 6.8.…

A: First we need to determine the systematic risk using the formula below:

Q: SkyHi Corp.'s beta is 1.2. The expected market return is 6.4%. The risk-free rate is 3.7%. Find…

A: Capital Asset Pricing Model(CAPM) is used to find out cost of equity or expected return of a risky…

Q: what is the Sharpe ratio of this portfolio?

A: Information Provided: Return = 25.30% Standard deviation = 31% T-bills = 5%

Q: If the risk-free rate is 10.2% and the market risk premium is 4.4%, what is the required return for…

A: In the Given question we require to calculate the required return for the market from the following…

Q: The optimal risky portfolio has an expected return of 15% and a standard deviation of 10%. The…

A: Optimal risky portfolio is suitable to risk averse investors who want to minimise their investment…

Q: If the expected rate of return on AZNG is 12.72, its beta is 1.09 and the market risk premium is 8%,…

A: The objective of the question is to find the risk-free rate given the expected rate of return on a…

Q: The NXP fund has an expected return of 3.60%, with volatility 24.00%. The risk free rate is 1.70%,…

A: The reward-to-volatility ratio, also known as the Treynor ratio, gauges how much excess return a…

Q: What is kd of investment whose Beta is 1.4 and market premium is 8% while risk free rate is 5%?

A: Here kd of investment means cost of investment, therefore we need to calculate cost of investment…

Q: 1. Consider the table below which lists a set of portfolios with each of their expected return E(R)…

A: To create the efficient frontier, we plot the expected return (E(R)) on the y-axis and the standard…

Q: What is the standard deviation of an efficient portfolio with a 21.4-percent expected rate of…

A: ERP : 21.4%R(f): 6.4%ERM: 9.4%σM: 25.4%

Q: A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market…

A: Market return, Rm = 12%Standard deviation of market return = 20% Market's treynor measure = 0.10 We…

Q: he discounted returns on a portfolio are normally distributed with mean 1.2% and volatility 13%.…

A: The Expected Shortfall (ES): The expected shortfall is a risk measure that measures the average…

Q: he risk-free rate is 8% and the expected return on a market portfolio is 13%. If a share has a beta…

A: Risk free rate = 8% Market return = 13% Stock beta = 1.20

Q: A portfolio has a variance of .0139, a beta of 1.13, and an expected return of 13.93%. What is the…

A: Sharpe ratio  is computed by following formula:-Sharpe ratio = whereRp=  expected return of…

Q: Asset A has an expected return of 22.8% and a beta of 1.8. The expected market return is 14%. What…

A: The risk free rate can be calculated as per the capital asset pricing model.

Q: The risk free rate is 4% and the expected rate of return on the market portfolio is 10%.  A.…

A: Risk-free rate = 4% Expected rate of return on market = 10%  The required rate of return on security…

Q: Consider portfolio x with a beta of 1.3 and standard deviation of 25%. If the standard deviation of…

A: The portfolio will be considered as efficient or optimal if the standard deviation for the portfolio…

Q: Given the market expected return of 10%, standard deviation of market return of 15% and a risk free…

A: In the given question we need to compute the expected return of an efficient portfolio from the…

Q: 1. Given the following summary statistics, Mean Asset A 0.52 Asset B 0.44 S.D. 1.235 0.997 (a) If…

A: Since your questions has multiple subparts, we will provide answer to first two parts.   Asset…

Q: A portfolio has a beta of 1.2 and an actual return of 14.1 percent. The risk-free rate is 3.5…

A: Given: Beta = 1.2 Actual return = 14.1% Risk free rate = 3.5% Market risk premium = 7.4%

Q: The expected return on the market is 15% with a standard deviation of 12.5% and the risk-free rate…

A: Explanation : If the Expected return from the stock is equal to actual return from the stock it…

Q: A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market…

A: Market return, Rm = 13.5%Standard deviation of market return = 20% Market's treynor measure = 0.10…

Q: If the T Bill rate is 1.1% and the market risk premium is 10.8%, what is the CAPM-implied expected…

A: Portfolio is a bunch of various assets or investments. Investors invest their funds in various…

Q: Your portfolio has a beta of 1.24, a standard deviation of 14.3 percent, and an expected return of…

A: Portfolio beta = 1.24 Standard deviation = 14.3% Expected return = 12.50% Market return = 10.7% Risk…

Q: If the simple CAPM is valid, which of the following situations are possible? Explain. Consider each…

A: The simple CAPM is a model that describes the relationship between the expected return and risk of a…

Q: A portfolio has an expected return of 16.78% and a variance of 1.03%. If the risk-free rate is…

A: The Sharpe ratio refers to the return of the portfolio that is adjusted for risk to determine the…

Q: The risk-free rate is 2% and the expected return on a market portfolio is 6%. If a share has a beta…

A: As per CAPM Ri = Rf + B (Rm - Rf) Where Ri = Return on equity Rf = Risk free rate of return B = Beta…

Q: Which of the following portfolio risk-return combinations yields the best CAL for investors assuming…

A: The Sharpe ratio is a commonly used financial metric that measures the risk-adjusted return of an…

Q: Suppose the assumption behind that the CAPM hold. The risk free rate is 2% and the expected return…

A:

Q: The market risk premium for next period is 5.28% and the risk-free rate is 2.55%. Stock Z has a beta…

A: Market risk premium= 5.28%Risk-free rate = 2.55%Stock Z beta = 1.14Expected return = 8.17%

Q: Stock A has an expected return of 12 percent and a standard deviation of 14 percent. Stock B has an…

A: Honor codeAs per the Q&A guidelines, if multiple subparts are asked at once then the answer for…

Q: You calculated that the average retum of your portfolio is 3% and the standard deviation is 22%,…

A: The objective of this question is to calculate the Value at Risk (VaR) for a portfolio given the…

Q: A portfolio has a correlation of 0.40 with the overall market and produces a Sharpe Ratio of 0.2. If…

A: There are different measures which are used for the estimation of portfolio performance. One such…

Q: If benchmark Sharpe’s Ratio is 1.5, return of the market is 13% and, risk free rate is 4%, standard…

A:

Q: Use the following information: ElrXOM E[TMS)=29.7%, standard deviationMS = 35.2% = 15.6%, standard…

A: Weight of XOM is 0.43 and weight of MS is 1-0.43= 0.57

Q: Security A has a standard deviation of 10%. Security B . What is the covariance between the two…

A: We need to compute covariance and standard deviation as desired. Standard deviation of portfolio =…

Q: f a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, and market return…

A: Alpha of stock is excess return earned over the return calculated by CAPM.

Q: If a fund has a return of 10% and a beta of 1.5, and if the risk-free rate is 5%, and market return…

A: Jensen's Alpha measures the excess of actual return over expected return as per Capital asset…

Q: The beta on risky asset A is 1.8 and the beta on risky asset B is 1.1. The expected return on the…

A: As Capital Asset pricing Model hold good, Expected Return of Stock = Risk Free rate + (market rate…

Q: The risk-free rate is 2.58% and the market risk premium is 4.31%. A stock with a β of 1.22 will have…

A: Introduction: The term expected return refers to the anticipated loss or gain by an investor from…

Q: What is the expected return on asset A if it has a beta of 0.5, the expected market return is 13%,…

A: The expected return on the asset can be calculated as per capital asset pricing model.

Q: Suppose the risk free rate is 5% and the market portfolio has an expected return of 10%. Portfolio Z…

A: Beta assesses a stock's volatility relative to the broader market, focusing on systematic risk. It…

Q: Risk-free rate is 7%, expected return on the market portfolio is 12%. Identify the correct equation…

A: Security market line is the graphical representation of the values of stock against the risk…

Q: A manager's portfolio generated a return of 11.3% over the past year. The portfolio's beta was 1.16…

A: Rp=11.3%βp=1.16σp=15.7%Rm=9.8%σm=13.4%Rf=3.7%