What is the bond proportion of the Minimum Variance Portfolio comprising: • equity with an expected return of 14% and standard deviation of 20% • bond with an expected return of 8% and standard deviation of 12% the correlation between equity and bond is 0.252 O A. 0.8019 O B. 0.6928 O C. None of the given answers is correct. O D. 0.1981

What is the bond proportion of the Minimum Variance Portfolio comprising: • equity with an expected return of 14% and standard deviation of 20% • bond with an expected return of 8% and standard deviation of 12% the correlation between equity and bond is 0.252 O A. 0.8019 O B. 0.6928 O C. None of the given answers is correct. O D. 0.1981

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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Compute the annual tracking error from the following information: Quarter Portfolio B's 1 2 3 4 O 1.06% O 2.12% O 3.67% O 4.25% O None Portfolio A's Return (%) 1.15 1.89 1.15 -0.47 Return (%) 1.65 -0.10 0.52 -0.60
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8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio weightings, expected returns, variances and correlation matrix are shown below. Bonds Stocks Commodities Real Estate Correlation Matrix Bonds Stocks Commodities Real Estate Weight 50% 10% 15% 25% Bonds 1.0 Stocks -0.2 1.0 Expected Return 8% 12% 20% 16% Commodities 0.1 0.4 1.0 Variance (%²) 10 30 15 20 Real Estate 0.3 0.6 0.2 1.0 a. Calculate the expected return and the standard deviation of the return of the portfolio.
Consider the following information: State of Economy Probability of State of Economy Boom Bust .68 :32 a. Expected return b. Variance of portfolio Rate of Return if State Occurs Stock A Stock B Stock C .11. .15 .05 .21 .26 -.06 a. What is the expected return on an equally weighted portfolio of these three stocks? Note: Do not round Intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16. b. What is the variance of a portfolio invested 23 percent each in A and B and 54 percent in C? Note: Do not round intermediate calculations and round your answer to 5 decimal places, e.g., .16161.
Data are given as follows: (all the values are in percent) Month Average portfolio return market Average Average risk-free return rate 2.464 3.360 0.090 16.130 2.348 0.090 0.771 -1.484 0.120 -6.386 -2.437 0.120 15 -2.861 1.965 0.090 16 -7.673 2.806 0.120 0.805 -5.721 0.150 -0.372 0.327 0.150 1.508 2.464 0.150 10 2.003 2.250 0.150 11 -4.723 6.639 0.210 12 Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio. 2.383 4.874 0.210
8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio weightings, expected returns, variances and correlation matrix are shown below. Weight Expected Return Variance (%2) Bonds 50% 10% 15% 25% 8% 12% 20% 16% 10 30 15 20 0.1 0.3 0.4 0.6 1.0 0.2 1.0 Stocks Commodities Real Estate Correlation Matrix Bonds 1.0 -0.2 1.0 Stocks Commodities Real Estate Bonds Stocks Commodities Real Estate Calculate the standard deviation of the return of the portfolio.
ques 11
What is the standard deviation of the portfolio that invests equally in all three assets M, N, and O?
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
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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