Proportion of Portfolio in Security A WA 1.00 0.75 0.50 0.25 0.00 Proportion of Portfolio in Security B WB 0.00 0.25 0.50 0.75 1.00 Expected Portfolio Return FP 4.00% 4.69% 6.06% 6.75% Standard Deviation op Case I (PAB= -0.4) ▼ 6.5 4.1 2.5 3.0 Standard Deviation op Case II (PAB= 0.3) 9.0 ▼ 5.2 3.6 3.0 Standard Deviation op Case III (PAB=0.8) 9.0 7.4 5.8 3.0

Proportion of Portfolio in Security A WA 1.00 0.75 0.50 0.25 0.00 Proportion of Portfolio in Security B WB 0.00 0.25 0.50 0.75 1.00 Expected Portfolio Return FP 4.00% 4.69% 6.06% 6.75% Standard Deviation op Case I (PAB= -0.4) ▼ 6.5 4.1 2.5 3.0 Standard Deviation op Case II (PAB= 0.3) 9.0 ▼ 5.2 3.6 3.0 Standard Deviation op Case III (PAB=0.8) 9.0 7.4 5.8 3.0

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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4.3% 3.38 LON LIN 2.ON Portfolio Opportunity Set ADN Min Risk ORP KOOS GOOG AMIN D. All portfolios from "Min.Risk" to "ORP" E. All portfolios from "Min. Risk" to AMZN 10.00% COON St Dav 6. On the graph above, which portfolio(s) would be considered to be efficient? A. Only portfolio AMZN B. Only portfolio ORP C. All portfolios from ORP to AMZN SEAN
Suppose a portfolio is given as follows: Securities Weight BPW CJW AJT O 6.0% O 5.0% 0.3 O 5.1% 0.4 O 7.0% Onone listed Expected Standard Return Deviation 6% 7% 0.3 5% What is the expected return of the portfolio (to 1 decimal place)? 6% 4% 3%
Which of the following measures the total risk of a portfolio? A. Standard Deviation B. Correlation Coefficient C. Beta D. Alpha
Given the following probability distribution, what is the expected return and the standard deviation of returns for Security J? The answer choice lists expected return and standard deviation in the respective order. State 1 2 3 Pri 0.2 O 12%; 5.18% O 15%; 3.16% O 15%; 6.50% 0.6 0.2 O 20%; 5.00% 15%; 10.00% rj 10% 15 20
The following expected return and the standard deviation of current returns are known: Security (i) Expected Return Standard Deviation βi A 0.20 0.12 1.1 B 0.12 0.10 0.8 T-Bills 0.05 0 0 Market Portfolio 0.20 0.15 1 Required: Determine the weights of a portfolio with a standard deviation of 7% created by combining T-Bill and the market portfolio.
Which of the following portfolios constitute the efficient set: Portfolio Expected return (%) Standard deviation (%) 1 10 12 2 8 10 3 20 18 4 15 11 5 22 20 6 18 15 7 15 12
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: 8p 1.70 1.30 0.85 1.00 Portfolio X Y Z Market Risk-free Rp 11.5% 10.5 7.2 10.9 4.6 R-squared op 38.00% 33.00 23.00 28.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.76. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.
Mf1. Question: 1 (Assume that two securities, A and B, constitute the market portfolio, their proportions and variances are 0.39, 160, and 0.61, 340, respectively. The covariance of the two securities is 190. Estimate the systematic risk (beta) of the two securities. Note that the covariance of security-/ with the market portfolio is simply the weighted average of the covariances of security-i with all the securities included in the market portfolio.
In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(ei) equal to 20% and 40 securities? A. 0.5% B. 3.16% C. 3.54% D. 12.5% E. 625%
Which asset in the following table has the most market risk (also known as systematic or non-diversifiable risk)? (Ch. 8) Asset Return Beta Standard Deviation Asset A 9% 0.95 20% Asset B 13% 1.10 35% Asset C 10% 1.00 40% Group of answer choices Asset A Asset C Asset B and Asset C Asset B
Portfolio Expected return Standard deviation Q 7.8% 10.5% R 10.0% 14.0% S 4.6% 5.0% T 11.7% 18.5% U 6.2% 7.5% What is the minimum level of risk that would be necessary for an investment to earn 7.0%? What is the composition of the portfolio along the Capital Market Line (CML) that will generate that expected return? Rf= 3%
14. There are three securities in the market whose return on market portfolio yield the following results : reg rfood rmrf Source SS df MS Number of obs 516 F (1, 514) 763.49 %3D Model 6355.67324 6355.67324 Prob > F 0.0000 Residual 4278.81044 514 8.32453393 R-squared 0.5976 %3D Adj R-squared 0.5969 Total 10634.4837 515 20.6494829 Root MSE 2.8852 rfood Coef. Std. Err. P>|t| [95% Conf. Interval] rmrf .7834176 .0283526 27.63 0.000 .7277164 .8391188 _cons .3391769 .1275602 2.66 0.008 .0885734 .5897804 i. reg rdur rmrf Source SS df MS Number of obs 516 %3D F (1, 514) 1458.52 %3D Model 12789.402 1 12789.402 Prob > F 0.0000 %3D 4507.13047 R-squared Adj R-squared Residual 514 8.76873633 0.7394 %3D 0.7389 Total 17296.5324 515 33.5854999 Root MSE 2.9612 rdur Coef. Std. Err. P>|t]| [95% Conf. Interval] rmrf 1.111316 .0290992 38.19 0.000 1.054148 1.168484 _cons .063612 .1309193 0.49 0.627 -.1935907 .3208148 ii. reg rcon rmrf Source SS df MS Number of obs 516 F (1, 514) 2096.01 Model 13866.0296 1…

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