An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 24%, while the standard deviation on stock B is 14%. The correlation coefficient between the returns on A and B is .35. The expected return on stock A is 25%, while on stock B it is 11%. The proportion of the minimum-variance portfolio that would be invested in stock B is approximately

Q: You are going to invest in Asset J and Asset S. Asset J has an expected return of 13.6 percent and a…

A: ParticularsExpected ReturnStandard DeviationAsset J13.6%54.6%Asset S10.6%19.6%Correlation between…

Q: The market portfolio has an expected return of 11.5 percent and a standard deviation of 19 percent.…

A: Data given:: Standard deviation of well diversified portfolio = 9% Standard deviation of a market…

Q: You manage a risky portfolio with expected rate of return of 20% and standard deviation of 36%. The…

A: Expected return on portfolio, E(Rp) = 20%Risk aversion, A = 1.6Risk free rate = 5% Standard…

Q: Suppose Stock A has an expected return of 18% and a variance of 0.17, while Stock B has an expected…

A: Expected return of a portfolio is calculated as the sum of their weighted returns. It can be…

Q: You are going to invest in Asset J and Asset S. Asset J has an expected return of 10.8 percent and a…

A:

Q: You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%.…

A: Therefore, the proportion of y is 36.44%.

Q: "An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected…

A: Optimum risk portfolio is 0.084Explanation:

Q: An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected…

A: given, RA=26%RB=20%RP=23.25%

Q: Asset A offers an expected rate of return of 25%, with a standard deviation of 20%. Asset B offers…

A: Optimal risky portfolio of two assets A and B is the portfolio with certain weights of asset A and…

Q: A mean - variance optimising investor forms a portfolio of a risky stock and the risk - free asset.…

A: Answer image:Allocation of Capital between Risk free assets and Optimal risky portfolio can be…

Q: If your portfolio includes 35 percent of X, 40 percent of Y and 25 percent of Z, answer the…

A: Hi, there, Thanks for posting the question. As per our Q&A honour code, we must answer the first…

Q: An Investor has access to a set of N securities (where N is large). Each of them has an annual…

A: A group of financial assets such as stocks, bonds, commodities, cash, and cash equivalents, as well…

Q: A portfolio is made up of share A and share B. Share A has a standard deviation of 16% and has a…

A: Rate of return of the portfolio is the average rate of return of each security comprised in the…

Q: You estimate that a passive portfolio, for example, one invested in a risky portfolio that mimics…

A: The Capital Market Line (CML) and the Capital Allocation Line (CAL), two ideas from contemporary…

Q: risk-averse investor is interested to know the Sharpe ratio of the portfolio to make an investment…

A: Risk-free rate = 2.5%Portfolio standard deviation = 5% Market return = 10%Portfolio' expected return…

Q: A stock has a beta of 1.14 and an expected return of 10.5 percent. A risk-free asset currently earns…

A: Calculating the expected return on a portfolio that is equally invested in the two assets. We…

Q: is 2%. Your client chooses to invest 67% of her portfolio in the portfolio and 33% in T-bills. What…

A: Risk and return are essential financial principles. The term “risk” refers to the uncertainty and…

Q: An investor can design a risky portfolio based on two stocks, X and Y. Stock X has an expected…

A: Given information:Expected return of stock X (Ex) = 13%Expected return of stock Y(Ey) = 16%Risk-free…

Q: You are constructing a portfolio of two assets. Asset A has an expected return of 12 percent and a…

A: Sir If you got the answer, please give a helpful rate. Thank you

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: 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: Consider a portfolo consisting of the following three stocks: E The volatility of the market…

A: Beta is used as a measure of systematic risk in the CAPM model. It provides a direct relation…

Q: There are three stocks, A, B, and C, with the following expected return, volatility, and correlation…

A: The solution requires use of excel and matrix multiplication functions embedded in excel. We also…

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: You are considering investing $1,000 in a complete portfolioin a T - bill that pays a rate of return…

A: A portfolio is an assortment or mixture of investments, cash, stocks, bonds, and other financial…

Q: rew can design a risky portfolio based on two risky assets, Origami and Gamiori. Origami has an…

A: In portfolio optimization, a portfolio with minimum variance is considered to be an optimal…

Q: A stock has a beta of 1.15 and an expected return of 11.4 percent. A risk-free asset currently earns…

A: Given, Return on risky asset = 11.40% Return on risk free asset  = 3.50% Beta of risky asset = 1.15…

Q: Assume you wish to construct a portfolio by investing $4000 in Stock A which has a return of 6% and…

A: Expected return of a portfolio is the sum of weighted average returns of individual stocks.

Q: You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the…

A: To address this question initially, we must calculate the weight of each asset using the following…

Q: What is the expected return on the minimum variance portfolio created using the two stocks?

A: The minimum variance portfolio is a portfolio that has been thoughtfully put together with the goal…

Q: The standard deviation of return on stock A is 15% and the standard deviation on stock B is 15%. The…

A: The standard deviation of return on stock A = 15% The standard deviation of return on stock B = 15%…

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

A:

Q: Consider two high-risk stocks, X and Y. The expected return on stock Y is 16%, with a standard…

A: Computation of Expected Return as follows: The expected return of the portfolio =Weight of…

Q: An investor can design a complete portfolio based on a risky portfolio and a risk-free asset. The…

A: The funds infused into the various investment alternatives available in the market is recognized as…

Q: sset X has a beta of 1.7 and an expected return of 15.1%. Asset Y has a beta of .70 and an expected…

A: Let the total portfolio should of $ 1.     Total portfolio = Investment in Asset X + Investment in…

Q: There are three stocks, A, B, and C, with the following expected return, volatility, and correlation…

A: The solution requires use of excel and matrix multiplication functions embedded in excel. We also…

Q: An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected…

A:

Q: You are going to invest in Asset J and Asset S. Asset J has an expected return of 14.2 percent and a…

A: Here, Expected ReturnStandard DeviationAsset J14.20%55.20%Asset S11.20%20.20%Correlation0.5

Q: You manage a risky portfolio containing 25% of Stock A, 32% of Stock B and 43% of Stock C,…

A: A portfolio is a mix of various investment alternatives in which the investor put his money. The CAL…

Q: An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected…

A:

Q: Drew can design a risky portfolio based on two risky assets, Origami and Gamiori. Origami has an…

A: ParticularsExpected ReturnStandard DeviationOrigami 13%20%Gamiori6%10%Correlation between…

Q: You manage a risky portfolio with an expected rate of return of 20% and a standard deviation of 34%.…

A: Risky portfolio rate of return (Re) = 20% Risky portfolio standard deviation (Se) = 34% T bill rate…