Rio Tinto has a weight of 6.25% portfolios, standard deviation 10.8% and return 20%. Centrica has a weight of 6.25% portfolios , standard deviation is 10.8% and return is 12.4%. The covariance of the two is 1.5%. Cal;culate based on varian mean analysis approach the return and the variance or the risk.

Rio Tinto has a weight of 6.25% portfolios, standard deviation 10.8% and return 20%. Centrica has a weight of 6.25% portfolios , standard deviation is 10.8% and return is 12.4%. The covariance of the two is 1.5%. Cal;culate based on varian mean analysis approach the return and the variance or the risk.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter2: Risk And Return: Part I

Section: Chapter Questions

Problem 7MC

See similar textbooks

Similar questions

Please answer all parts (a-d) with explanations thx.
Consider two risky assets that have returns variances of 0.0625 and 0.0324, respectively. The assets' standard deviations of returns are then 25% and 1 8%, respectively. Calculate the variances and standard deviations of portfolio returns for an equal-weighted portfolio of the two assets when their correlation of returns is 1.
Suppose that there are four risky assets whose expected returns E(r) and variance- covariance matrix (S) are shown in the spreadsheet below. We also consider the portfolio weights of two portfolios x and y of risky assets (see Cells B8:E9): 1 8 Portfolio x 9 Portfolio y A FOUR-ASSET PORTFOLIO PROBLEM Variance-covariance, S 20 Portfolio variance, 21 Portfollo standard deviation o 0.10 0.01 0.03 0.05 11 Portfolio x and y statistics: Mean, variance, covariance, correlation 12 Mean, Ejr, 13 Variance, 14 Covariance() 15 Correlation P 16 17 Calculating returns of combinations of Portfolio x and Portfolio y 18 Proportion of x 19 Mean portfolio return, r 0.01 0.30 0.06 -0.04 0.20 0.20 10.50% 0.1216 0.0714 0.4540 ? ? ? 0.3 0.03 0.06 0.40 0.02 0.30 0.10 ? 0.05 0.02 0.50 0.40 0.10 0.10 0.60 Mean, Er Variance, 0.2014 Question il Question ili Mean returns E(r) ? 7% 9% 11% 20% Question i i. Write the Excel formula used to estimate the mean and variance of portfolio y in cells E12 and E13,…
Asset X has an expected return of 6% and a variance of 0.001. Asset Y has an expected return of 12% and the same variance as X (i.e., 0.001). The returns of assets X and Y are uncorrelated, and the risk-free rate is 3%. Find the variance of the highest Sharpe ratio portfolio that can be formed of the two risky assets X and Y.
The covariance of Security X's returns and Security Y's returns is 10, and the variance of Security X's returns is 13% and the variance of Portfolio Y's returns is 17%. The correlation coefficient of the security X and Y returns is closest to: 1.0.67 2.1.83 3.0.25 4.0.05
Supposing the return from an investment has the following probability distribution Return Probability R (%) 8 0.2 10 0.2 12 0.5 14 0.1 Required: What is the expected return of the investment? What is the risk as measured by the standard deviation of expected returns?
The variance of X is 0.36. The standard deviation of Y is 0.38. The correlation between the two is 0.01. What is the variance of a portfolio that invests -62.59% in X and the rest in Y? Note: Type -9 if the answer does not make sense.
PLEASE DO THIS IN EXCEL
Consider Microsoft Corporation (MSFT) and Meta Platforms, Inc. (META) that have returns variances of 6.25% and 3.24%, respectively. Calculate the standard deviation of portfolio returns for an equal-weighted portfolio of the two assets when their correlation of returns is 0. A. 24.71% B. 19.20% C. 15.40% D. 10.28%
Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximately A. 7.3%. B. 3.6%. C. 10.1%. D. 6.0%.
In this question, you will be asked to calculate the variance/risk of a portfolio consisting of two assets. Consider a portfolio that only consists of asset E and asset B. E has weight of 60%, and B has weight of 40%. The variance of E is about 13%, and the variance of B is about 4%. The covariance between E and B is about 0.2. What is the variance of this portfolio? 0.1492 O 0.1012 0.19 0.094
Expected return and standard deviation. Use the following information to answer the questions: a. What is the expected return of each asset? b. What is the variance and the standard deviation of each asset? c. What is the expected return of a portfolio with 12% in asset J, 52% in asset K, and 36% in asset L? d. What is the portfolio's variance and standard deviation using the same asset weights from part (c)? Hint: Make sure to round all intermediate answers you will type. a. What is the expected return of asset J? (Round to four decimal places.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Return on Asset J in State of Economy Boom Growth Stagnant Recession Probability of State 0.24 0.36 0.21 0.19 State 0.050 0.050 0.050 0.050 Return on Asset K in State 0.230 0.120 0.020 -0.060 Return on Asset L in State 0.250 0.190 0.065 - 0.190