The standard deviation of the market-index portfolio is 20%. Stock A has a beta of 1.75 and a residual standard deviation of 30%. Required: a. Calculate the total variance for an increase of 0.25 in its beta. (Do not round intermediate calculations.) Total variance b. Calculate the total variance for an increase of (expression error) percentage points in its residual standard deviation. (Do not round intermediate calculations.)

The standard deviation of the market-index portfolio is 20%. Stock A has a beta of 1.75 and a residual standard deviation of 30%. Required: a. Calculate the total variance for an increase of 0.25 in its beta. (Do not round intermediate calculations.) Total variance b. Calculate the total variance for an increase of (expression error) percentage points in its residual standard deviation. (Do not round intermediate calculations.)

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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Stock Y has a Beta of 0.95 while the standard deviation of its residual is 0.24. The standard deviation of the Market portfolio is 0.19. What percent of the total variance of Stock Y comes from systematic risk? Group of answer choices 36.1% 59.0% 62.3% 44.4% None of the above
Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 31 percent, and Stock I, an international company, with an expected return of 16 percent and a standard deviation of 35 percent. The correlation between the two stocks is 0.1. What is the weight of stock D in the minimum variance portfolio? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
The betas for company 1 and company 2 are 0.636 and 0.291, respectively. The market variance is 10.3%. Form an equally-weighted portfolio of company 1 and company 2. The systematic risk of this portfolio according to the single index model is closest to Select one: a. 1.92% b. 4.56% c. 2.21% O d. 3.25% <
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Your portfolio invests in the stock of two companies. Company A’s stock has a variance of 0.25, while Company B’s stock has a standard deviation of 0.30. The correlation between the two stocks is 0.40. If 30% of your portfolio is invested in Company A, and 70% in Company B, what is the standard deviation of your portfolio? A. 28.74% B. 24.96% C. 30.30% D. 28.50%
pm.2
The stock of Bruin, Incorporated, has an expected return of 19 percent and a standard deviation of 34 percent. The stock of Wildcat Company has an expected return of 14 percent and a standard deviation of 49 percent. The correlation between the two stocks is 0.40. Calculate the expected return and standard deviation of the minimum variance portfolio. Note: Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Expected retur Standard deviation 67.00 % %
Maroon has an expected return of 21%, and a variance of 0.014. Gray has an expected return of 15%, and a variance of 0.009. The covariance between Maroon and Gray is 0.06. Using these data, calculate the variance of a portfolio consisting of 55% Maroon and 45% Gray. 0.18910 0.03576 0.01175 0.03526 0.00794
Q.3. The following table gives data on four stocks: Systematic Stock Alpha Variance Unsystematic Variance А 1.1 21.5 40 1.3 16 50 2.3 25 30 0.5 13 45 The market is expected to have a 14% return with a return variance of 16%. Using Sharpe's Single Index Model, calculate the expected return and risk for a portfolio assuming equal proportion of each of the stock. ABCA
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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%
The following table has expected returns and variance-covariance of five stocks. The T-Bill rate is 3. Variance-Covariance Returns V F GM WMT Y V 27.226 588.659 -275.078 -319.948 -36.805 -93.170 F 11.653 -275.078 5716.621 22.772 56.588 52.187 GM 4.633 -319.948 22.772 729.510 569.730 -258.506 WMT 12.905 -36.805 56.588 569.730 932.361 367.376 Y 6.908 -93.170 52.187 -258.506 367.376 1466.966 T-Bill 3.000 questions a) determine the Tangency portfolio weights and calculate its expected return, standard deviation and Sharpe Ratio. Assume short sales are allowed. Write the equation of risk-return relations. b) determine the Tangency portfolio and calculate its expected return, standard deviation and Sharpe Ratio assuming…

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