You are given the following information concerning three portfollos, the market portfolio, and the risk-free asset: %p 31% 26 14 19 Portfolio X Y Z Market Risk-free Portfolio X Rp 14.0% 13.0 7.0 10.2 Y Z Market 6.0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfollo? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required not round Intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places. Sharpe Ratio 8p 1.35 Treynor Ratio 1.10 0.75 1.00 0 Jensen's Alpha % % % %

You are given the following information concerning three portfollos, the market portfolio, and the risk-free asset: %p 31% 26 14 19 Portfolio X Y Z Market Risk-free Portfolio X Rp 14.0% 13.0 7.0 10.2 Y Z Market 6.0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfollo? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required not round Intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places. Sharpe Ratio 8p 1.35 Treynor Ratio 1.10 0.75 1.00 0 Jensen's Alpha % % % %

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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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 %
Consider an economy with a (net) risk-free return r1 = 0:1 and a market portfolio with normally distributed return, with ErM = 0:2 and 2M = 0:02. Suppose investor A has CARA preferences, with risk aversion coe¢ cient equal to 1 and an endowment of 10. a) Write down the maximization problem for the investor. b) Determine the amount invested in the risky portfolio and in the risk-free asset. c) Suppose another investor (B) has a coe¢ cient of absolute risk aversion equal to 2 (and the same endowment 10). Compute his optimal portfolio and compare it to that of investor A. Explain the di§erent results for investors A and B. d) Finally, consider Investor C with mean-variance preferences Ec V ar(c) (and endowment 10). Compute his optimal portfolio and compare it to that of investors A and B (as obtained in questions b and c). Compare your result with those obtained for investors A and B.
Return on a portfolio of two risky assets which are perfectly negatively correlated is equivalent to a. Risk-free rate b. Return on market portfolio c. Zero return d. -1%
3.1 Show that for any portfolio w = equal to (wi,..., wn) the Beta of the portfolio is Bw = wiB1 + + wn Bn, !! ... where B; for i = 1,...,n are Betas of individual assets.
Consider following information on a risky portfolio, risk-free asset and the market index. What is the Sharpe ratio of the market index? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta 1.2
The portfolio with the highest Sharpe Ratio is I. The minimum-variance point on the efficient frontier II. The tangency point of the capital market line and the efficient frontier III. The maximum-return point on the efficient frontier IV. The line with the steepest slope that connects the risk-free rate to the efficient frontier Select one: a. II and IV only b. I and IV only c. III and IV only d. Only IV e. I and II only
Consider the following graph. According to Markowitz’ portfolio theory, which point on the graph represents optimal portfolio? C A B D
4. Valuation of a Derivative Consider a derivative on a stock with the time to expiration T and the following payoff: 0 K₁ 0 if ST K₁. What is the present value of the derivative? Provide an analytic expression of the price using N(), the cumulative probability distribution function of a standard normal random variable.
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp op Bp X 14.0% 31% 1.35 Y 13.0 26 1.10 Z 7.0 14 .75 Market 10.2 19 1.00 Risk-free 6.0 0 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.) Sharpe Ratio Treynor Ratio Jensen's Alpha Portfolio X % Y % Z % Market %
Rm-R is read as: O a. The return offered by the market over and above the risk-free rate O b. Market risk premium- Oc. Excess return on the market C. Od. All options are correct
You are given the following Information concerning three portfolios, the market portfollo, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 14.10% 13.10 8.50 12.00 7.20 Information ratio op 39.00% 34.00 1.15 0.90 1.00 0 Assume that the tracking error of Portfolio X is 8.90 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round Intermediate calculations. Round your answer to 4 decimal places. 6p 1.50 24.00 29.00 0

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