Expected Return and risk of Hitech Ltd. is 13% and variance 225 % square and Expected Return and risk of Sigma Ltd is 18 % and 400 % Square, the Correlation Coefficient between the two is 0.2. Find the minimum variance portfolio. Also find the return and risk of the minimum variance portfolio. Clearly show the diversification benefit ?

Q: Asset Y has a standard deviation of 20% and a correlation with the market of .65. Asset Z has a…

A: Beta of a stock= Correlation between stock and market*Standard deviation of stock /Standard…

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A:

Q: In a regression of the single-index model, the R-square is 68%, residual variance is 0.08, beta…

A: R square = 68% = 0.68 residual variance (σe^2)= 0.08 Beta (B) = 0.7 Let σm^2 = Market variance

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Q: b) Assume that Assets I has an expected returm of 15% with standard deviation of 30% and asset 2 has…

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A: Two Asset portfolio: The portfolio that has 2 assets is called as two asset portfolio.

Q: B 15.5% 20.2%

A: The coefficient of variation can be computed as follows :

Q: What is the total variance of the following portfolio including 2 assets invested in the ratio of…

A: Formula to be used: Portfolio variance=(WA2 x σ2A)+(WB2 x σ2B)+ (2 x WA x σA x WB x σB x r) Data…

Q: a. Using the data in the table below alculate the following performance measures. i. Sharpe ratio…

A: Hi There, thanks for posting the question. But as per Q&A guidelines, we must answer the first…

Q: Asset A has an expected return of 37% and a standard deviation of 40%. The risk-free rate is 13%.…

A: Expected Rate of Return = R = 37%Standard Deviation = sd = 40%Risk free rate = rf = 13%

Q: The variance of A is 0.15, the variance of B is 0.45. The correlation between A and B is -0.76. The…

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A: We have the two (excess return) index model regression results for well-diversified portfolios A and…

Q: Calculate the range, the expected rate of return, the variance, and the standard deviation for the…

A: The range is the difference between the highest and the lowest value.

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A: Sharpe ratio  is computed by following formula:-Sharpe ratio = whereRp=  expected return of…

Q: Calculate volatility and lower partial moment using the data below. ( , ) Target return is 0% Rate…

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Q: Find Portfolio Variance: Assume stock A, stock B, stock C are real estate stocks in a portfolio…

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Q: Asset X has an expected return of 6% and a variance of 0.001. Asset Y has an expected return of 12%…

A: Sharp ratio is calculated as shown below.

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A:

Q: The variance of BMI, Inc. is estimated to be 0.0158 while the variance of QBU, Inc. is estimated to…

A: The portfolio variance refers to the measure of the spread of the returns of the portfolio. It is…

Q: Two assets A and B have the following risk and return characteristics   RA =22% ; RB = 20% ;  =…

A: The required variables are as below: RA=Risk or Standard Deviation for Asset A=22%=0.22RB=Risk or…

Q: Assume we beleive a 1 factor APT model describes securities returns. Consider 2 assets with the…

A: We need to use the formulae inscribed in portfolio management for arbitrage pricing theory ( APT ).…

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A:

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Q: - Exercise 2 An investor who maximizes a linear mean-variance utility, U(µp, σp) μpaσ, optimally…

A: The objective of the question is to find the efficient frontier, the risk-aversion parameter 'a' of…

Q: There are three assets with the rates of return r₁ = 214 +21B+1, 7₂ = -31₁+61B-2, 73 = 514-18 +4,…

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Q: Suppose the gain from an investment is a normal random variable with mean 2 and standard deviation…

A: VaR=mean-Z*standard deviationLets suppose probability of value at risk is 1%Z score at 99% = 2.326

Q: Calculate the Expected Return and Risk measured in terms of standard deviation and Variance relating…

A: Formulas:

Q: 16. What is the total variance of the following portfolio including 2 assets invested in the ratio…

A: Formula to be used: Portfolio variance=(WA2 x σ2A)+(WB2 x σ2B)+ (2 x WA x σA x WB x σB x r) Data…

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Portfolio Management

Portfolio management is the process by which an investor decides that how the person will invest in a variety of assets in order to get a desired return in the future. A portfolio means a pool of assets that includes securities, bonds, and other investment instruments which helps in risk minimization of the money that has been invested. In other words, it can be said that a portfolio means a combination of assets in which an investor decides to invest their money in order to get a lump sum return in the future or even a series of cash flow that the person is expecting at the end of their job life.