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 %
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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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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