Problem 13-24 Analyzing a Portfolio (LO2)You want to create a portfolio equally as risky as the market, and you have $1,000,000 to invest. Given this information, fill in the rest ofthe following table: (Do not round intermediate calculations. Round the final answers to the nearest whole number. Do not leaveany empty spaces; input a O wherever it is required. Omit $ sign in your response.)AssetStock AInvestmentStock B$194,000$311,000Stock C$Risk-free asset$Beta0.801.131.29

AssetInvestmentBetaWeightStock A474,0000.800.474Stock B194,0001.130.194Stock…

Answered: Problem 13-24 Analyzing a Portfolio…

Fundamentals Of Financial Management, Concise Edition (mindtap Course List)

10th Edition

ISBN:9781337902571

Author:Eugene F. Brigham, Joel F. Houston

Publisher:Eugene F. Brigham, Joel F. Houston

Chapter8: Risk And Rates Of Return

Section: Chapter Questions

Problem 4TCL

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P QUESTION 21 Answer You invest $100 in a risky asset with an expected rate of return of 0.169 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. How to form a portfolio that has an expected outcome of $129? For the toolbar, press ALT+F10(PC) or ALT+FN+F10(Mac). BIUS Paragraph Arial 10pt T πT< 土 √ TT E AV ㄧˇ Ix 田く田里训

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ok Problem 13-24 Analyzing a Portfolio [LO2] You want to create a portfolio equally as risky as the market, and you have $2,000,000 to invest. Given this information, fill in the rest of the following table: (Do not round intermediate calculations and round your answers to the nearest whole number, e.g., 32.) Asset Investment Beta Stock A $ 400,000 1.20 Stock B $ 320,000 1.50 ces Stock C 1.60 Risk-free asset
Problem 13-18 Optimal Sharpe Portfolio Value-at-Risk (LO3, CFA6) You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 10 percent and 13 percent. respectively. The standard deviations of the assets are 32 percent and 40 percent, respectively. The correlation between the two assets is 47 and the risk-free rate is 3.6 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 16 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.) Sharpe ratio Smallest expected loss %
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Problem 13-4 Information Ratio (LO1, CFA5) You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y 2 Market Risk-free. Rp 12.50% 11.50 7.10 10.50 6.20 Information ratio ºp 34.00% 29.00 19.00 24.00 0 1.50 1.20 0.80 1.00 0 Assume that the tracking error of Portfolio X is 10.50 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.
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9.2- Use the diagrams to answer the question q3- This question relates to Diagrams 6 - 9 from the Online Quiz 9.2 diagrams, each of which shows a set of portfolios plotted on a set of risk/return axes. Which diagram shows (in red) the set of efficient portfolios in the presence of a risk-free asset? Select one: a. Diagram 6 b. Diagram 7 c. Diagram 8 d. Diagram 9
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QUESTION 6 Suppose that at a particular instant you observe the following situation: Security A B C B₁ 0.5 1.5 1.2 6% 12% 20% Show how one can design an (arbitrage) investment strategy that would result in a positive return with a zero beta (Hint: you need to buy security C by shorting securities A and B).
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