Consider the Excel template for the two-asset efficient frontier as provided in the announcement for the quiz. Set the mean return for the SP500 to be 10% with 20% standard deviation (green box) Set the mean return for the TBond to be 5% with 10% standard deviation (green box) Set the correlation between the SP500 and the TBond to be 10% (green box) Set the target portfolio return to be 10% in expectation (yellow box) Find the minimum standard deviation using Excel's solver (blue box). What is it? O About 14.48% O About 20.77% O About 18.37% O About 13.45%
Consider the Excel template for the two-asset efficient frontier as provided in the announcement for the quiz. Set the mean return for the SP500 to be 10% with 20% standard deviation (green box) Set the mean return for the TBond to be 5% with 10% standard deviation (green box) Set the correlation between the SP500 and the TBond to be 10% (green box) Set the target portfolio return to be 10% in expectation (yellow box) Find the minimum standard deviation using Excel's solver (blue box). What is it? O About 14.48% O About 20.77% O About 18.37% O About 13.45%
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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Transcribed Image Text:Consider the Excel template for the two-asset efficient frontier as provided in the
announcement for the quiz.
Set the mean return for the SP500 to be 10% with 20% standard deviation (green box)
Set the mean return for the TBond to be 5% with 10% standard deviation (green box)
Set the correlation between the SP500 and the TBond to be 10% (green box)
Set the target portfolio return to be 10% in expectation (yellow box)
Find the minimum standard deviation using Excel's solver (blue box). What is it?
O About 14.48%
About 20.77%
O About 18.37%
O About 13.45%
Question 5
Same setup as last question, but consider the minimum standard deviation when the SP500
and the TBond are uncorrelated. Does it move down or up relative to the answer to Question
4?
It moves up
It moves down
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