You form a risky-risky portfolio composed of two stocks: A and B. Stock Expected Return (mean) Standard Deviation A B Weight in A 75% 18% 6% Correlation p=0.2 The mean and the standard deviation of the A-B portfolio with given weights were calculated for you: 20% Weight in B 25% 30% 15% Expected Return (mean) Use the above information to answer questions 10 - 13. The TBill rate is 5%. The risk premium on the 75-in-A/25-in-B portfolio is:_ Its Sharpe Ratio is: #11 #12 % 15.00% Std Deviation Consider the 75-in-A/25-in-B portfolio and combine it with the T-bill yielding 5%. Fill in the mean and the standard deviation of the new risky-riskless portfolio with given weights: Weight in 75A/25B Weight in T-bill Expected Return Standard Deviation 80% #13 % 23.5385% # 10 %
You form a risky-risky portfolio composed of two stocks: A and B. Stock Expected Return (mean) Standard Deviation A B Weight in A 75% 18% 6% Correlation p=0.2 The mean and the standard deviation of the A-B portfolio with given weights were calculated for you: 20% Weight in B 25% 30% 15% Expected Return (mean) Use the above information to answer questions 10 - 13. The TBill rate is 5%. The risk premium on the 75-in-A/25-in-B portfolio is:_ Its Sharpe Ratio is: #11 #12 % 15.00% Std Deviation Consider the 75-in-A/25-in-B portfolio and combine it with the T-bill yielding 5%. Fill in the mean and the standard deviation of the new risky-riskless portfolio with given weights: Weight in 75A/25B Weight in T-bill Expected Return Standard Deviation 80% #13 % 23.5385% # 10 %
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter3: Risk And Return: Part Ii
Section: Chapter Questions
Problem 3P: Two-Asset Portfolio
Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...
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![You form a risky-risky portfolio composed of two stocks: A and B.
Stock
Expected Return (mean)
Standard Deviation
A
B
Weight in A
75%
18%
6%
Correlation p=0.2
The mean and the standard deviation of the A-B portfolio with given weights were calculated for
you:
20%
Weight in B
25%
30%
15%
80%
Expected Return (mean)
Use the above information to answer questions 10 - 13.
The TBill rate is 5%. The risk premium on the 75-in-A/25-in-B portfolio is:
Its Sharpe Ratio is:_
#11
15.00%
Std Deviation
#13 %
23.5385%
Consider the 75-in-A/25-in-B portfolio and combine it with the T-bill yielding 5%. Fill in the mean
and the standard deviation of the new risky-riskless portfolio with given weights:
Weight in 75A/25B Weight in T-bill
Expected Return
Standard Deviation
#12 %
#10
%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F647a6f54-b5ba-4631-94b7-ffd1df63771e%2F9aa10c46-a146-4ab4-9f0b-8c5accb95d9a%2F2tz8iv_processed.png&w=3840&q=75)
Transcribed Image Text:You form a risky-risky portfolio composed of two stocks: A and B.
Stock
Expected Return (mean)
Standard Deviation
A
B
Weight in A
75%
18%
6%
Correlation p=0.2
The mean and the standard deviation of the A-B portfolio with given weights were calculated for
you:
20%
Weight in B
25%
30%
15%
80%
Expected Return (mean)
Use the above information to answer questions 10 - 13.
The TBill rate is 5%. The risk premium on the 75-in-A/25-in-B portfolio is:
Its Sharpe Ratio is:_
#11
15.00%
Std Deviation
#13 %
23.5385%
Consider the 75-in-A/25-in-B portfolio and combine it with the T-bill yielding 5%. Fill in the mean
and the standard deviation of the new risky-riskless portfolio with given weights:
Weight in 75A/25B Weight in T-bill
Expected Return
Standard Deviation
#12 %
#10
%
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