Chapter 6: An Introduction to Portfolio Management USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Asset (A) Asset (B) E(RA)-10% E(R)-15% (GA)-8% (01)-9.5% WA-0.25 We-0.75 SOVAN-0.006 1. What is the expected retum of a portfolio of two risky assets if the expected return E(RI), standard deviation (CD, covariance (COV), and asset weight (Wi) are as shown above?
Chapter 6: An Introduction to Portfolio Management USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Asset (A) Asset (B) E(RA)-10% E(R)-15% (GA)-8% (01)-9.5% WA-0.25 We-0.75 SOVAN-0.006 1. What is the expected retum of a portfolio of two risky assets if the expected return E(RI), standard deviation (CD, covariance (COV), and asset weight (Wi) are as shown above?
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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Please give me answer very fast in 5 min sau
Transcribed Image Text:Chapter 6: An Introduction to Portfollo Management
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Asset (B)
E(Ra) -15%
(08)-9.5%
WE 0.75
Asset (A)
E(RA) -10%
(GA)-8%
WA=0,25
1. What is the expected retum of a portfolio of two risky assets if the expected return E(RI),
standard deviation (CD, covariance (CDM), and asset weight (Wi) are as shown above?
SOYAN-0.006
2 What is the expected return of the three stock portfolio described below?
Common Stock
Market Value
Lupka Inc.
50,000
Mackey Co.
25,000
Nippon Inc.
75,000
b.
3. Semi-variance, when applied to portfolio theory, is concerned with
the square root of deviations from the mean
all deviations below the mean
all deviations above the mean.
all deviations.
the summation of the squared deviations from the mean
C.
d
I c
Expected Return
13%
9%
14%
In a three-asset portfolio, the standard deviation of the portfolio is one-third of the square root of
the sum of the individual standard deviations
a True
b. False
+5. All of the following are assumptions of the Markowitz model EXCEPT
risk is measured based on the variability of returns
investors maximize one-period expected utility.
investors' utility curves demonstrate properties of diminishing
marginal utility of wealth.
investors base decisions solely on expected return and time
there are no tax costs involved.
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