Question

You are trying to build the best possible risky portfolio for your investment clients. You have two risky assets available to you: A risky stock with an expected excess return of 0.246 and a standard deviation of 0.20, and a risky bond with an expected excess return of 0.071, and a standard deviation of 0.702. If these two assets have a coefficient of correlation of 0.08, what proportion of the money you invest in risky assets should you put in the bond? An answer of 0 means invest no money in the bond, an answer of 1 means put all of your money in the bond.

Answer #1

The proportion of money to be invested in the bond is 0.0563.

You are trying to build the best possible risky portfolio for
your investment clients. You have two risky assets available to
you: A risky stock with an expected excess return of 0.199 and a
standard deviation of 0.01, and a risky bond with an expected
excess return of 0.039, and a standard deviation of 0.916. If these
two assets have a coefficient of correlation of 0.22, what
proportion of the money you invest in risky assets should you put
in...

You are trying to build the best possible risky portfolio for
your investment clients. You have two risky assets available to
you: A risky stock with an expected excess return of 0.281 and a
standard deviation of 0.83, and a risky bond with an expected
excess return of 0.078, and a standard deviation of 0.816. If these
two assets have a coefficient of correlation of 0.23, what
proportion of the money you invest in risky assets should you put
in...

Risky Asset A and Risky Asset B are combined so that the new
portfolio consists of 70% Risky Asset A and 30% Risky Asset
B. If the expected return and standard deviation of
Asset A are 0.08 and 0.16, respectively, and the expected return
and standard deviation of Asset B are 0.10 and 0.20, respectively,
and the correlation coefficient between the two is 0.25: (13
pts.)
What is the expected return of the new portfolio consisting of
Assets A & B...

You are a financial advisor who offers investment advice to your
clients. There are two risky assets in the market: portfolio X and
portfolio Y. X has an expected return of 15% and standard deviation
of 35%. The expected return and standard deviation for Y is 20% and
45% respectively. The correlation between the two portfolios is
0.2. The rate of risk-free asset, T-bill, is 5%.
a) Peter is one of your clients and he can only invest in T-bill...

You put half of your money in a stock portfolio that has an
expected return of 14% and a standard deviation of 36%. You put the
rest of your money in a risky bond portfolio that has an expected
return of 6% and a standard deviation of 12%. The stock and bond
portfolio have a correlation 0.35. The standard deviation of the
resulting portfolio will be ________________. Use Portfolio
variance formula A. more than 18% but less than 24% B....

Drew can design a risky portfolio based on two risky assets,
Origami and Gamiori. Origami has an expected return of 13% and a
standard deviation of 20%. Gamiori has an expected return of 6% and
a standard deviation of 10%. The correlation coefficient between
the returns of Origami and Gamiori is - 0.20 (negative 0.20). The
risk-free rate of return is 2%. Among all possible portfolios
constructed from Origami and Gamiori, what is the minimum
variance?

Drew can design a risky portfolio based on two risky assets,
Origami and Gamiori. Origami has an expected return of 13% and a
standard deviation of 20%. Gamiori has an expected return of 6% and
a standard deviation of 10%. The correlation coefficient between
the returns of Origami and Gamiori is 0.30. The risk-free rate of
return is 4%. If Drew invests 30% money in Gamiori and the
remaining in Origami, what is the standard deviation of his
portfolio?

1) You are a fund manager considering two risky assets that have
a covariance of 20, a stock fund with an expected return of 17% and
a standard deviation of 21%, a bond fund with an expected return of
7% and a standard deviation of 5%, and a T-Bill fund with a return
of 6%.
a) What are the investment proportions of the two risky assets
in the optimal portfolio?
b) What is the expected value of its rate of...

You invest $10,000 in a complete portfolio. The complete
portfolio is composed of a risky asset with an expected rate of
return of 20% and a standard deviation of 21% and a treasury bill
with a rate of return of 5%. How much money should be invested in
the risky asset to form a portfolio with an expected return of
8%?

You
are attempting to build a portfolio using the index model, and are
currently trying to decide how much of your risky portfolio you
want in the actively managed portfolio, and how much you want in
the index fund. Your actively managed portfolio has an alpha of
0.022 and an indiosyncratic variance of 0.21. The index fund has an
expected excess return of 0.079 and a variance of 0.40. Assuming
the beta of your actively managed portfolio is 1, what...

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 5 minutes ago

asked 11 minutes ago

asked 21 minutes ago

asked 27 minutes ago

asked 47 minutes ago

asked 50 minutes ago

asked 59 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 2 hours ago