Consider two stocks, Stock D, with an expected return of 19 percent and a standard deviation of 34 percent, and Stock I, an international company, with an expected return of 7 percent and a standard deviation of 22 percent. The correlation between the two stocks is -0.20. What are the expected return and standard deviation of the minimum variance portfolio? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Expected return Standard deviation 7.66% 10.07%

Consider two stocks, Stock D, with an expected return of 19 percent and a standard deviation of 34 percent, and Stock I, an international company, with an expected return of 7 percent and a standard deviation of 22 percent. The correlation between the two stocks is -0.20. What are the expected return and standard deviation of the minimum variance portfolio? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Expected return Standard deviation 7.66% 10.07%

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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The index model has been estimated using historical excess return data for stocks A, B, and C, with the following results: RA = 0.02 + 0.9RM + eA RB = 0.04 + 1.2RM + eB RC = 0.10 + 1.ORM + eC OM oM = 0.22 o(eA) = 0.21 o(eB ) = 0.11 o(eC ) = 0.23 a. What are the standard deviations of stocks A, B, and C? b. Break down the variances of stocks A, B, and C into their systematic and firm-specific components. c. What is the covariance between the returns on each pair of stocks? d. What is the covariance between each stock and the market index?
What is the average annual return? b. What is the variance of the stock's returns? c. What is the standard deviation of the stock's returns? Note: Notice that the average return and standard deviation must be entered in percentage format. The variance must be entered in decimal format. Year 1 2 3 4 Return (%) Year1: -4.1% Year2: 27.6% Year 3: 12.3% Year 4: 3.6%
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% +1.2(rm - rf) Stock B 2% +0.8(rm – rf) 0.635 0.466 11.3% 22.6% 20.1% 26.9% Required: a. Calculate the following statistics for each stock: b. Which stock is the best choice under the following circumstances? Complete this question by entering your answers in the tabs below. Required A Required B Calculate the following statistics for each stock: Note: Round your answers to 4 decimal places. i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A Stock B % %
The standard deviation of the market-index portfolio is 20%. Stock A has a beta of 1.5 and a residual standard deviation of 30%. a. Calculate the total variance for an increase of .15 in its beta. (Do not round intermediate calculations. Round your answer to 4 decimal places.) Total variance 19.8900 b. Calculate the total variance for an increase of 3% in its residual standard deviation. (Do not round intermediate calculations. Round your answer to 4 decimal places.) Total variance 19.8900
Syntex, Inc. is considering an investment in one of two common stocks. Given the information that follows, which investment is better, based on the risk (as measured by the standard deviation) and return? Common Stock A Common Stock B Probability Return Probability Return 0.35 13% 0.25 −7% 0.30 17% 0.25 8% 0.35 21% 0.25 15% 0.25 23% (Click on the icon in order to copy its contents into a spreadsheet.) Question content area bottom Part 1 a. Given the information in the table, the expected rate of return for stock A is enter your response here%. (Round to two decimal places.)
Please help me find the variance on this 3 stock portfolio.
Asset A has a standard deviation of 0.17, and asset B has a standard deviation of 0.52. Assets A and B have a correlation coefficient of 0.44. What is the standard deviation of a portfolio consisting with a weight of 0.40 in asset A, a weight of 0.24 in asset B, and the remainder invested in a risk-free asset? Give your answer to four decimal places.
If you plot the relationship between portfolio expected return and portfolio beta, what is the slope of the line that results? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) | Slope of the line %
You are going to invest in Asset J and Asset S. Asset J has an expected return of 13.6 percent and a standard deviation of 54.6 percent. Asset S has an expected return of 10.6 percent and a standard deviation of 19.6 percent. The correlation between the two assets is 0.50. What are the standard deviation and expected return of the minimum variance portfolio? Note: Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Expected return Standard deviation % %
Stock Y has a Beta of 0.95 while the standard deviation of its residual is 0.24. The standard deviation of the Market portfolio is 0.19. What percent of the total variance of Stock Y comes from systematic risk? Group of answer choices 36.1% 59.0% 62.3% 44.4% None of the above
The last four years of returns for a stock are as shown here: a. What is the average annual return? b. What is the variance of the stock's returns? c. What is the standard deviation of the stock's returns? Note: Notice that the average return and standard deviation must be entered in percentage format. The variance must be entered in decimal format.
Here are the percentage returns on two stocks. Digital Executive Fruit Cheese 14% 4% Month January February March April May June July August 6 8 Variance Standard deviation % Digital Cheese 2 4 14 a-1. Calculate the monthly variance and standard deviation of each stock. (Do not round intermediate calculations. Round your answers to 1 decimal places.) -3 47.5 69X Executive Fruit 23 2 4.8 X

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