None Back to AssignmentAttemptsAverage/21. The two-asset caseThe expected return for asset A is 4.50% with a standard deviation of 7.00%, and the expected return for asset B is 4.25% with a standard deviationof 7.00%.Based on your knowledge of efficient portfolios, fill in the blanks in the following table with the appropriate answers.Proportion of Portfolioin Security AProportion of PortfolioExpected Portfolioin Security BReturnWAWBTPStandardDeviation OpCase I(PAB = -0.4)StandardDeviation OpStandardDeviation OpCase II(PAB = 0.4)Case III(PAB = 0.7)1.000.004.50%7.07.00.750.254.44%4.86.60.500.503.85.96.50.250.754.31%4.86.20.001.004.25%7.07.07.0The minimum risk portfolio allocation to asset A within the portfolio for case III isTherefore, you are better offGrade It NowSave & ContinueContinue without saving

1. Expected Portfolio Return (rpr_prp) Formula:The expected return for a portfolio that includes…

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EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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Consider the expected return and standard deviation of the following two assets: Asset 1: E[r1]=0.1 and σ1=0.2 Asset 2: E[r2]=0.3 and σ2=0.4 (a) Draw (e.g. with Excel) the set of achievable portfolios in mean-standard deviation space for the cases: (i) ρ12= -1, (ii) ρ12=0. (b) Suppose ρ12=-1. Which portfolio has the minimal variance? What is the variance and expected return of that portfolio? (c) Derive the formula for the variance of a portfolio with four assets.
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The optimal proportion of the risky asset in the complete portfolio is given by the equation below y*= E(Rp− Rf) A0² For each of the variables on the right side of the equation, discuss the impact of the variable's effect on y* and why the nature of the relationship makes sense intuitively. Assume the investor is risk averse
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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 16.00% бр 32.00% 15.00 27.00 7.30 17.00 11.30 5.80 22.00 0 Bp 1.90 1.25 0.75 1.00 0 Assume that the tracking error of Portfolio X is 13.40 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places. Information ratio
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: 8p 1.70 1.30 0.85 1.00 Portfolio X Y Z Market Risk-free Rp 11.5% 10.5 7.2 10.9 4.6 R-squared op 38.00% 33.00 23.00 28.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.76. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.
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1. The two-asset case The expected return for asset A is 5.50% with a standard deviation of 7.00%, and the expected return for asset B is 9.75% with a standard deviation of 7.00%. 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 Proportion of Portfolio in Security B Expected Portfolio Return WA WB P Standard Deviation op Case I (PAB = -0.4) Standard Deviation op Standard Deviation op Case II (PAB = 0.3) Case III (PAB = 0.8) 1.00 0.00 5.50% 7.0 7.0 0.75 0.25 6.56% 4.8 6.7 0.50 0.50 3.8 5.6 6.6 0.25 0.75 8.69% 4.8 6.0 0.00 1.00 9.75% 7.0 7.0 7.0 The minimum risk portfolio allocation to asset A within the portfolio for case II is Therefore, you are better off

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