A BсEFInvestment Opportunity set for stocks and bonds with varios correlation coeffientsSD sSDB198E(rs)10Weight in stocksWS-0.10.00.10.20.30.40.60.81.01.1DE(TB)5Portfolio expected returnws(min) = (GB^2 - OBOSP) / (Os^2 + B^2 - 2*0BÚSP)E(rp) = ws(min) *E(rs)+(1-wg(min))*E(rb) =SDp =G-1Portfolio Standard Deviation for Given Correlation00.20.5HMinimum Variance Portfolio1

First, I'm going to list the formula used and then solve them in excel. Portfolio expected return =…

E(rs) 10 eight in stocks WS -0.1 0.0 0.1 0.2 0.3 0.4 0.6 0.8 1.0 1.1 E(1 B) 5 Portfolio expected return ws(min) = (GB^2 - BÚSP) / (Os^2 + B^2 - 2³0³SP): SD s 19 SDB 8 Portfolio Standard Deviation for Given Correlation -1 0 0.2 0.5 Minimum Variance Portfolio 1

E(rs) 10 eight in stocks WS -0.1 0.0 0.1 0.2 0.3 0.4 0.6 0.8 1.0 1.1 E(1 B) 5 Portfolio expected return ws(min) = (GB^2 - BÚSP) / (Os^2 + B^2 - 2³0³SP): SD s 19 SDB 8 Portfolio Standard Deviation for Given Correlation -1 0 0.2 0.5 Minimum Variance Portfolio 1

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

Colonel Motors (C) Separated Edison (S) Expected Return 10% 8% Standard Deviation 6% 3% Please represent graphically all potential combinations of stocks C and S, if the correlation coefficient between the returns of stocks C and S is: A) 1 B) 0 C) -1 Please report these investment opportunity sets in the corresponding Excel sheets.
4 Skipped Use the following data for Questions 3-5: Value 12500 17500 20000 Stock A B C Exp. Return 8.5% 9.2% 10.6% Beta 0.8 1.2 1.4 Question 4: What is the portfolio's Beta? ENTER YOUR ANSWER ROUNDED TO 2 DECIMAL PLACES
8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio weightings, expected returns, variances and correlation matrix are shown below. Bonds Stocks Commodities Real Estate Correlation Matrix Bonds Stocks Commodities Real Estate Weight 50% 10% 15% 25% Bonds 1.0 Stocks -0.2 1.0 Expected Return 8% 12% 20% 16% Commodities 0.1 0.4 1.0 Variance (%²) 10 30 15 20 Real Estate 0.3 0.6 0.2 1.0 a. Calculate the expected return and the standard deviation of the return of the portfolio.
Ch 8 Problem Sets: 2. The following are estimates for two stocks. Expected Return 13% 18 Stock A B Betal 0.8 1.2 The market index has a standard deviation of 22% and the risk-free rate is 8%. a. What are the standard deviations of stocks A and B? b. Suppose that we were to construct a portfolio with proportions: Stock 4: Stock B: T-bills: Firm-Specific Standard Deviation 30% 40 .30 .45 25 Compute the expected return, standard deviation, beta, and nonsystematic standard deviation of the portfolio.
Question 3 A portfolio consisting of 5 securities could have its beta factor computed Security % of portfolio Beta factor of A B с D E 20 10 15 20 35 security 0.90 1.25 1.10 1.15 0.70 as follows: Weighted beta factor 0.180 0.125 0.165 0.230 0.245 If the risk-free rate of return is 12% and the expected return on the market is 20%. Determine the expected return of this portfolio.
4
8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio weightings, expected returns, variances and correlation matrix are shown below. Weight Expected Return Variance (%2) Bonds 50% 10% 15% 25% 8% 12% 20% 16% 10 30 15 20 0.1 0.3 0.4 0.6 1.0 0.2 1.0 Stocks Commodities Real Estate Correlation Matrix Bonds 1.0 -0.2 1.0 Stocks Commodities Real Estate Bonds Stocks Commodities Real Estate Calculate the standard deviation of the return of the portfolio.
M6
Excel Online Structured Activity: CAPM, portfolio risk, and return Consider the following information for three stocks, Stocks A, B, and C. The returns on the three stocks are positively correlated, but they are not perfectly correlated. (That is, each of the correlation coefficients is between 0 and 1.) Stock Expected Return Standard Deviation Beta 9.22 % A 16 % 0.8 11.08 16 1.2 C 12.94 16 1.6 Fund P has one-third of its funds invested in each of the three stocks. The risk-free rate is 5.5%, and the market is in equilibrium. (That is, required returns equal expected returns.) The data has been collected in the Microsoft Excel Online file below. Open the spreadsheet and perform the required analysis to answer the questions below. Open spreadsheet a. What is the market risk premium (rM-rRE)? Round your answer to two decimal places b. What is the beta of Fund P? Do not round intermediate calculations. Round your answer to two decimal places c. What is the required return of Fund P? Do…
Consider the following portfolio of assets: Loan Weight 1 0.30 2 0.70 Expected returni ம σ2 13% 11% 9.06% 82.0% P12=-0.87 8.72% 76.0% 012-75.0% What is the variance of the portfolio (round to two decimals)? Note: a^2 denotes the square of a. For example, 2^2 = 4, 3^2=9 (0.3)^2*(82.0%) + (0.7)^2*(76.0%) + (0.3) (0.7)(-0.87) (9.06%) (8.72%) = 30.19 (0.3)^2 (82.0%) + (0.7)^2*(76.0%) + 2(0.3) (0.7)(-0.87) (9.06 %) (8.72%) = 15.75 (0.3)^2*(82.0%) + (0.7)^2*(76.0%) + [(0.3) (0.7)]^2 (-0.87) (9.06%) (8.72%) = 41.59 (0.3) (82.0%) + (0.7) (76.0%) + 2(0.3) (0.7)(-0.87) (9.06 %) (8.72%) = 48.93
Tiempo restante U:28:23 What is the beta of a portfolio that has $18,400 in Stock M, $6,320 in Stock N, $32,900 in Stock O and $11,850 in Stock P. Their Betas are .97, 1.04, 1.23, and .88, respectivley? O a. 1.04 O b. 1.11 О с. 1.08 O d. 1.15 O e. .99
Stock A Stock B 1 0.09 0.06 2 0.05 0.01 3 0.15 0.05 4 5 -0.04 0.08 0.01 -0.04 a. What are the expected returns of the two stocks? b. What are the standard deviations of the returns of the two stocks? c. If their correlation is 0.44, what is the expected return and standard deviation of a portfolio of 59% stock A and 41% stock B?

SEE MORE QUESTIONS

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