Consider a portfolio 30% of which is invested in stock A and 70% invested in ETF mimicking the S&P500. Stock A has an expected return of 27% and a standard deviation of 35%, and ETF has an expected return of 19% and a standard deviation of 21%. Calculate stock A’s beta if correlation between stock A and ETF equals -0.48.     1.15     -1.07     1.95     -0.80

Q: beta of 1.40 and an expected return of 19%. Stock Z has a beta of 0.65 and an expected return of…

A: We need to compute expected return using CAPM (Capital asset pricing model) for each stock. CAPM…

Q: Y has a beta of 1.50 and an expected return of 17 percent. Stock Z has a beta of 0.80 and an…

A: CAPM gives the required rate of return based beta of the stock and risk free rate and market average…

Q: Given two stocks with E(r1) = 8%, E(r2) = 10%, σ1 = 15%, σ2 = 20%. Calculate the expected returns…

A: Portfolio Return is the rate of return which is earned by the investor from the stock. When the…

Q: Suppose that the risk-free rate of return is 5%, and the expected rate of return on the market…

A: Risk-free rate of return5%Expected return on market portfolio14%Beta of stock X0.8Beta of stock…

Q: a. What are the standard deviations of stocks A and B? b. Suppose that we were to construct a…

A: Portfolio beta is a measure of an investment portfolio's overall volatility or systematic risk…

Q: Stock A has a beta of 1.62 and an expected return of 19.1 percent. Stock B has a beta of 1.02 and an…

A: The Capital Asset Pricing Model (CAPM) is a financial model that describes the relationship between…

Q: Assume you have invested in two other stocks: Stock A has a beta of 1.20 and Stock B has a beta of…

A: Required return calculation is wrong. Correct solution is provided below.…

Q: A price-weighted index comprises of 3 stocks A, B, and C. The beginning of year prices of 3 stocks…

A: Since you have provided two different snips with two different questions, it possible to solve to…

Q: invest 40% in A and 60% in B, what would be the return standard deviation of your portfolio? Enter…

A: First we need to find the standard deviation of individual stocks and their correlation co-efficient…

Q: Please conduct the computation based on the following materials. What is the standard deviation of…

A: Standard deviation of portfolio consisting of three assets With weight of asset 1 (W1), weight of…

Q: The following are estimates for two stocks. Stock A B Expected Return 0.16 0.19 Beta 0.84 1.23…

A:

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: Calculate each stock's required rate of return. Round your answers to two decimal places. rx = ry…

A: Introduction: Capital asset pricing model is the widely used financial model which is used in…

Q: Consider the following probability distribution for stocks C and D: State Probability Return on…

A: ProbabilityReturn on stock CReturn on stock D0.307%-9%0.5011%14%0.20-16%26%Proportion invested25%75%

Q: assume that expected return of the stock A in Rachel's portfolio is 13.6% this year.The risk premium…

A:

Q: An analyst gathers the following data: * Expected (estimated) rate of return on the market = 15% *…

A: Expected (estimated) rate of return on the market = Rm =15%Risk Free Rate = Rf = 8%Expected…

Q: When the return on the market portfolio goes up by 5%, the return on Stock A goes up on average by…

A: Return is the basic factor which affects the investor’s decision. CAPM is the tool which is used to…

Q: Suppose that the index model for stocks A and B is estimated from excess returns with the following…

A: ParticularsStock AStock BBeta1.201.50R-square0.250.15σM16%Weight0.700.30

Q: A stock has the following projected rates of return (outcomes): 10%, 15%, and 30%. The probabilities…

A: Formulas:

Q: Consider a portfolio that is comprised of two stocks A and B. The position in stock A is valued at…

A: Portfloio

Q: Assume that two stocks are available. The first stock (Stock A) has an expected return of 25% and a…

A: The minimum variance portfolio refers to the mix of risky assets taken in such a proportion as to…

Q: Stock X and Stock Y has following distribution: Stock X: expected return of 10%, a beta coefficient…

A: (iv) Here the expected return should be greater than the required rate. We should select stock Y…

Q: A portfolio has 30% invested in stock A and the rest invested in stock B. If stock A has a beta of…

A: In this question, we are required to determine the portfolio beta.

Q: Find the Beta for Stock Y given the Expected Return of Stock Y is 18.4% The expected return on the…

A: A stock with a beta higher than 1.0 fluctuates far more than the market with age. The beta of a…

Q: Calculate the Sharpe ratio, Treynor ratio, M-squared and Jensen's alpha for a stock with an expected…

A: 1) Sharp ratio = (Return of the portfolio - Return of Risk free investment) / Standard deviation of…

Q: An analyst has modeled the stock of a company using the Fama-French three-factor model. The market…

A: Market return is 12% return on the SMB portfolio (rSMB) is 2.1%  return on the HML portfolio (rHML)…

Q: Consider the following information about three stocks: State of Economy Probability of State of…

A: Weights:Stock A: 40%Stock B: 40%Stock C: 20%

Q: Suppose that the index model for stocks A and B is estimated from excess returns with the following…

A: Given:   Constant Beta Standard deviation Proportions A 2.60% 0.9 21% 0.7 B -2.00% 1.2 12%…

Q: The following shows beta for several companies. Calculate each stock’s expected rate of return using…

A: CAPM stands for the capital asset pricing model. It is an important model in finance that is used to…

Q: Suppose that the index model for stocks A and B is estimated from excess returns with the following…

A: Portfolio consists of a combination of the assets i..e stocks, bonds, etc which are managed by the…

Q: Expected return of a portfolio using beta. The beta of four stocks-P, Q, R, and S-are 0.59, 0.89,…

A: Beta of stock P = Bp = 0.59 Beta of stock Q = Bq = 0.89 Beta of stock R = Br = 1.05 Beta of stock S…

Q: Stock A and B have the following probability distributions of expected future returns: Probability…

A: Answer: Expected rate of return for stock A is 15%. Standard deviation of stock B is 24%.

Q: tfolio P has a beta of 1.0.

A: The beta of the portfolio refers to the weighted sum of the assets of the company according to the…

Q: Currently the risk-free rate equals 5% and the expected return on the market portfolio equals 11%.…

A: Given: Risk free rate “Rf” = 5% Market return “Rm” = 11% Stock A Beta = 1.33 Stock B Beta = 0.7…

Q: Assume the return on a market index represents the common factor and all stocks in the economy have…

A: Stock's Beta1Standard Deviation31%Total number of stocks20One-half alpha2%Second-half alpha-2%Equity…

Q: Stock A has a correlation with the market of 0.53. Assuming that the standard deviation of returns…

A: Given:Correlation coefficient (ρ) between Stock A and the market = 0.53The standard deviation of…

Q: Stock Y has a beta of 1.4 and an expected return of 15.1 percent. Stock Z has a beta of .7 and an…

A: Step 1:Reward to risk=(return-risk free rate)/betaReward to risk ratioStock…