Consider an investor with risk aversion of A = 4. The investor owns a portfolio with expected return of 12.00% and standard deviation of 0.18%. If an alternative portfolio had an expected return of 14.00%, what standard deviation would it need for the investor to be indifferent? The standard deviation would need to be %. Round your answer to the nearest two decimal places. Should the investor switch to a portfolio with expected return of 10% and standard deviation of 12%? ---Select---

Consider an investor with risk aversion of A = 4. The investor owns a portfolio with expected return of 12.00% and standard deviation of 0.18%. If an alternative portfolio had an expected return of 14.00%, what standard deviation would it need for the investor to be indifferent? The standard deviation would need to be %. Round your answer to the nearest two decimal places. Should the investor switch to a portfolio with expected return of 10% and standard deviation of 12%? ---Select---

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

See similar textbooks

Similar questions

Nikul
By looking at the sensivities of your portfolio to ds = -$2 and So = -1%, you decide to hedge delta, gamma and Vega risk of your portfolio with the underlying stock and two different options on the same asset with below data. Calculate the units of stock you need to trade to hedge away all delta, gamma and Vega risks of your portfolio.(Note that here you have to calculate the units of stock, Option A and Option B, but you will only submit the units of stock.) Variable Option A Option B Delta (A) -0.5 0.2 Gamma (T) 0.2 0.1 Vega (v) 8
You manage a risky portfolio with an expected rate of return of 10% and a standard deviation of 34%. The T-bill rate is 4%. Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolio's standard deviation will not exceed 10%. Required: a. What is the investment proportion, y? b. What is the expected rate of return on the complete portfolio?
An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 17% and a standard deviation of return of 28%. Stock B has an expected return of 15% and a standard deviation of return of 15%. The correlation coefficient between the returns of A and B is 0.8. The risk-free rate of return is 3.2%. What is the expected return on the optimal risky portfolio? Note:- Do not provide handwritten solution. Maintain accuracy and quality in your answer. Take care of plagiarism. Answer completely. You will get up vote for sure.
Consider a portfolio that offers an expected rate of return of 11% and a standard deviation of 26%. T-bills offer a risk-free 7% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Portfolio A has an expected return of 15% and a Sharpe ratio of 0.42. Portfolio B has an expected return of 20% and a Sharpe ratio of 0.37. Portfolio C has an expected return of 25% and a Sharpe ratio of 0.31. Among A, B, and C, rational risk-averse investors prefer to include which one into her complete portfolio? O There is not enough information to choose among A, B, C. O Portfolio B O Portfolio C O Portfolio A
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp X 15.0% Y 14.0 Z 9.0 Market 10.3 Risk-free 4.2 op 32% 27 17 22 0 Portfolio X Y Z Market 6p 1.40 1.10 0.75 1.00 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Leave your ratio answers as a decimal rounded to 5 places (e.g., 0.23546). Enter your alpha answers as a percent rounded to 2 decimal places (e.g., 0.22%).) Sharpe Ratio Treynor Ratio Jensen's Alpha % % % %
For a risk-averse investor, which of the following portfolios would be preferred? Portfolio B, with a Sharpe Ratio of 3. Portfolio A, with a Sharpe Ratio of 4. Portfolio D, with a Sharpe Ratio of 1. Portfolio C, with a Sharpe Ratio of 2.
An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39 %. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 5%. The standard deviation of returns on the optimal risky portfolio is Multiple Choice 25.5% 22.3% 21.4% 20.7% O 11:18PM 20/200
Nikul
An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 17% and a standard deviation of return of 29 %. Stock B has an expected return of 12% and a standard deviation of return of 14%. The correlation coefficient between the returns of A and B is 0.4. The risk - free rate of return is 6 %. The proportion of the optimal risky portfolio that should be invested in stock B is approximately Multiple Choice 73 % 27 % 35% 65%

Recommended textbooks for you

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

SEE MORE TEXTBOOKS