Question

You manage a risky portfolio with expected rate of return of 9% and standard deviation of 13%. Risk free rate of return is 3%.

a. What are the characteristics of feasible investment portfolios for your client? (what are the possible risk and return that you can create?) Identify this using a graph. What is this line called?

b. A client of yours has a utility function of U=E(r)-4Var(r) and 10000 to invest. How much should he invest in the risk-free asset and how much in risky portfolio? What is the expected return and standard deviation of your client’s portfolio? What is its sharp ratio?

Answer #1

You manage a risky portfolio with an expected rate of return of
19% and a standard deviation of 34%. The T-bill rate is 8%.
Your client chooses to invest 70% of a portfolio in your fund
and 30% in an essentially risk-free money market fund. What is the
expected return and standard deviation of the rate of return on his
portfolio?
Expected Return= x%
Standard deviation = y%

You manage a risky portfolio with an expected rate of return of
20% and a standard deviation of 36%. The T-bill rate is 5%.
Your client chooses to invest 60% of a portfolio in your fund and
40% in an essentially risk-free money market fund. What are the
expected return and standard deviation of the rate of return on his
portfolio? (Do not round intermediate calculations. Round
"Standard deviation" to 2 decimal places.)

You manage a risky portfolio with an expected rate of return of
18% and a standard deviation of 28%. The T-bill rate is 8%. Your
client choose s to invest 70% of a portfolio in your fund and 30%
in an essentially risk-free money market fund. What is the expected
return and standard deviation of the rate of return on his
portfolio? Do not round intermediate calculations. Round "standard
deviation to 1 decimal place.
Rate of Return
Expected return
_______?_%___...

You manage a risky mutual fund with expected rate of return of
18% and standard deviation of 28%. The T-bill rate is 8%.
Your client chooses to invest 70% of a portfolio in your fund
and 30% in a T-bill. What is the expected value and standard
deviation of the rate of return on his portfolio?
Suppose that your risky mutual fund includes the following
investments in the given proportions. What are the investment
proportions of your client’s overall portfolio,...

You
manage a risky portfolio with expected rate of return of 15% and
standard deviation of 32%. The risk free rate is 3%.
A client chooses to invent 60% of her wealth into your
portfolio and 40% into a t-bill market fund. What is the reward to
variability ratio (sharpe ratio) of your clients overall
portfolio?

You manage a risky
portfolio with an expected rate of return of 19% and a standard
deviation of 34%. The T-bill rate is 8%. Your client chooses to
invest 70% of a portfolio in your fund and 30% in a T-bill money
market fund.
What is the
reward-to-volatility (Sharpe) ratio (S) of your risky
portfolio? Your client’s?(round answers to 4 decimal places
Reward-to-volatility
ratio?
Clients
reward-to-volatility ratio?

You manage a risky portfolio with an expected rate of return of
18% and a standard deviation of 36%. The T-bill rate is 6%.
Your risky portfolio includes the following investments in the
given proportions: Stock A 27 % Stock B 35 % Stock C 38 %
Suppose that your client decides to invest in your portfolio a
proportion y of the total investment budget so that the overall
portfolio will have an expected rate of return of 15%
....

You manage a risky portfolio with an expected rate of return of
19% and a standard deviation of 33%. The T-bill rate is 7%. Your
risky portfolio includes the following investments in the given
proportions: Stock A 35 % Stock B 32 % Stock C 33 % Suppose that
your client decides to invest in your portfolio a proportion y of
the total investment budget so that the overall portfolio will have
an expected rate of return of 16%.
a....

You manage a risky portfolio P that has the following
characteristics: expected return = 16% and the standard deviation
of the return of your portfolio = 20%. The risk-free rate is at 4%.
Your client wants to invest a proportion of her total investment
budget in your risky portfolio to maximize expected return and at
the same time limit the volatility to no higher than 14% on her
overall portfolio. Then the proportion she should invest in your
risky portfolio...

You manage a risky portfolio with an expected rate of return of
17% and a standard deviation of 28%. The T-bill rate is 7%.
Your risky portfolio includes the following investments in the
given proportions:
Stock A
33
%
Stock B
35
%
Stock C
32
%
Suppose that your client decides to invest in your portfolio a
proportion y of the total investment budget so that the
overall portfolio will have an expected rate of return of
13%.
a....

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