You are given the following information about four portfolios and the market returns.ABC12%10%15%1.20.8120%16%30%Average ReturnBetaSTD.AIf an investor wants to include A, B, C, or D into their already well-diversified portfolio, which would be the most preferable?BCDD20%245%None of the above.Market8%115%

Several portfolios and their characteristics have been given. An investor holds a well diversified…

You are given the following information about four portfolios and the market returns. A B с D Market Average Return 12% 10% 15% 20% 8% Beta 0.8 1 2 1 STD. 16% 30% 45% 15% If an investor wants to include A, B, C, or D into their already well-diversified portfolio, which would be the most preferable? B C D None of the above. 1.2 20%

You are given the following information about four portfolios and the market returns. A B с D Market Average Return 12% 10% 15% 20% 8% Beta 0.8 1 2 1 STD. 16% 30% 45% 15% If an investor wants to include A, B, C, or D into their already well-diversified portfolio, which would be the most preferable? B C D None of the above. 1.2 20%

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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Similar questions

Quantitative Problem: You are holding a portfolio with the following investments and betas: Stock Dollar investment Beta A $300,000 1.2 B 200,000 1.6 C 400,000 0.75 D 100,000 -0.35 Total investment $1,000,000 The market's required return is 11% and the risk-free rate is 4%. What is the portfolio's required return? Do not round intermediate calculations. Round your answer to three decimal places.
You are given the following Information concerning three portfollos, the market portfolio, and the risk-free asset Portfolio Rp Op X 13.0% Y 12.0 Z Market Risk-free 7.2 11.0 5.6 24 ཝིཙྪཱཙྪལ༤ 39% 1.75 1.30 .85 1.00 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be Indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round Intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.) Portfolio Sharpe Ratio Treynor Ratio Jensen's Alpha X % Y % Z % Market %
2. An investor is evaluating a two-asset portfolio of the following two securities. Portfolio A: 75% Ooredoo and 25% Woqod Portfolio B: Investor has QAR 100,000 and will invest QAR 50,000 in Woqod Expected returns and risks: ● ● ● ● Expected Return 12.50% Woqod 10.80% The correlation between Ooredoo and Woqod is 0.72. Calculate: a. Expected return of both the portfolios Security Ooredoo Expected Risk (0) 26.40% 22.50%
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 you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the expected return on this portfolio?
Quantitative Problem: You are holding a portfolio with the following investments and betas: Stock Dollar investment Beta A $250,000 1.20 B 200,000 1.60 C 400,000 0.80 D 150,000 -0.35 Total investment $1,000,000 The market's required return is 9% and the risk-free rate is 3%. What is the portfolio's required return? Do not round intermediate calculations. Round your answer to three decimal places.
Question 3 A portfolio consisting of 5 securities could have its beta factor computed Security % of portfolio Beta factor of A B с D E 20 10 15 20 35 security 0.90 1.25 1.10 1.15 0.70 as follows: Weighted beta factor 0.180 0.125 0.165 0.230 0.245 If the risk-free rate of return is 12% and the expected return on the market is 20%. Determine the expected return of this portfolio.
Quantitative Problem: You are holding a portfolo with the following investments and betas: Stock Dollar investment Beta A $300,000 1.30 B 200,000 1.70 300,000 0.80 D. 200,000 -0.20 Total investment $1,000,000 The market's required return is 9% and the risk-free rate is 3%. What is the portfolio's required return? Do not round intermediate calculations. Round your answer to three decimal places.
For each of the following pairs of investments, indicate which would always be preferred by a rational investor (assuming that these are the only investments available to the investor): a. Portfolio A r = 14% σ = 16% Portfolio B r = 10% σ = 16% Preference multiple choice 1 Portfolio A Portfolio B Indeterminate b. Portfolio C r = 15% σ = 16% Portfolio D r = 13% σ = 10% Preference: multiple choice 2 Portfolio C Portfolio D Indeterminate c. Portfolio E r = 12% σ = 16% Portfolio F r = 12% σ = 10% Preference: multiple choice 3 Portfolio E Portfolio F Indeterminate
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp X 15.0% Y 14.0 Z 9.0 Market 10.3 Risk-free 4.2 op 32% 27 17 22 0 Portfolio X Y Z Market 6p 1.40 1.10 0.75 1.00 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Leave your ratio answers as a decimal rounded to 5 places (e.g., 0.23546). Enter your alpha answers as a percent rounded to 2 decimal places (e.g., 0.22%).) Sharpe Ratio Treynor Ratio Jensen's Alpha % % % %
Problem 3: Evaluating portfolio performance Assume you have two investment opportunities. 1. Corporate Disasters (CD) has expected returns E(RcD) = 4% and standard deviation of returns 9%. 2. Nevada beach front properties (NBF) has expected returns E(RygF) = 10% and standard deviation of returns 18% Risk free rate is R; = 1%. a) Calculate Sharpe ratios of these two portfolios. b) Assume you can invest only in one of those companies (and a risk free rate). Assume your target rate of return is 6%. Calculate portfolios with CD&RF and NBF&RF which would deliver this return. Which portfolio has smaller standard deviation and why? c) Assume you have a portfolio which is not efficient. Assume Corporate Disasters have market beta of ßep = 0.5 and Nevada beach front properties have market beta BNef = 4. Calculate Treynor measures for those securities. Which one should you add to your portfolio to increase the Sharpe ratio.
Consider the multifactor APT. There are two independent economic factors, F1 and F2. The following information is available about two well-diversified portfolios with risk free rate of 5%. Portfolio β on F1 β on F2 Expected Return A 1.0 2.0 17% B 2.0 0.5 14% What's the risk premium of Factor 2 portfolio? Group of answer choices 4% 3% 8% 9%

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