Question

1.2. The risk-free rate is 6%, the expected return on the market portfolio is 14%, and the standard deviation of the return on the market portfolio is 25%. Consider a portfolio with expected return of 16% and assume that it is on the efficient frontier.

1.2.1. Calculate the beta of this portfolio (4).

1.2.2. Calculate the standard deviation of its return (5).

Answer #1

Beta of this portfolio = **1.25**

Standard deviation of this portfolio =
**31.25%**

Please do rate me and mention doubts in the comments section.

If the expected rate of return on the market portfolio is 14%
and the risk free rate is 6% find the beta for a portfolio that has
expected rate of return of 10%. What assumptions concerning this
portfolio and or market condition do you need to make to calculate
the portfolio’s beta? b. what percentage of this portfolio must an
individual put into the market portfolio in order to achieve an
expected return of 10%?

5. The market portfolio expected return is 6% and its standard
deviation is 15%. The risk-free rate is 0.5%. What are the expected
return and the standard deviation of the portfolio that invests 50%
in the risk-free asset and 50% in the market?

A.) Assume that the risk-free rate of interest is 6% and the
expected rate of return on the market is 16%. A stock has an
expected rate of return of 4%. What is its beta?
B.) Assume that both portfolios A and B are well diversified,
that ?(?a ) = 12%, and ?(?b ) = 9%. If the
economy has only one factor, and ? a = 1.2, whereas ? b = 0.8,
what must be the risk-free rate?

Suppose that the risk-free rate is 6 percent and the
expected return on the market portfolio is 15
percent. An investor with $1.5 million to invest wants to achieve a
25 percent return on a
portfolio combining the risk-free asset and the market portfolio.
Calculate how much this
investor would need to borrow at the risk-free rate in order to
establish this target expected
return. Provide your final answers up to two decimal points.

Suppose that the risk-free rate is 6 percent and the expected
return on the market portfolio is 15 percent. An investor with $1.5
million to invest wants to achieve a 25 percent return on a
portfolio combining the risk-free asset and the market portfolio.
Calculate how much this investor would need to borrow at the
risk-free rate in order to establish this target expected return.
Provide your final answers up to two decimal points.

Suppose that the risk-free rate is 6 percent and the expected
return on the market portfolio is 15 percent. An investor with $1.5
million to invest wants to achieve a 25 percent return on a
portfolio combining the risk-free asset and the market portfolio.
Calculate how much this investor would need to borrow at the
risk-free rate in order to establish this target expected return.
Provide your final answers up to two decimal points

Assume the CAPM holds. The risk-free rate is 5% and the market
portfolio expected return is 15% with a standard deviation of 20%.
An asset has an expected return of 16% and a beta of 0.8.
a) Is this asset return consistent with the CAPM? If not, what
expected return is consistent with the CAPM?
b) How could an arbitrage profit be made if this asset is
observed?
c) Would such a situation be expected to exist in the longer...

(i) The risk-free rate of return is 6% and the return on the
market portfolio is 9.5%. What is the expected return from shares
in companies in Zambia and South Africa if: (1) The beta factor for
company Zambia shares is 3.25. [2 Marks] (2) The beta factor for
company South Africa shares is 0.90. [2 Marks] (ii) The return on
shares of company Zambia is 12%, but its normal beta factor is
1.12. The risk-free rate of return is...

A portfolio invests in a risk-free asset and the market
portfolio has an expected return of 7% and a standard deviation of
10%. Suppose risk-free rate is 5%, and the standard deviation on
the market portfolio is 22%. For simplicity, assume that
correlation between risk-free asset and the market portfolio is
zero and the risk-free asset has a zero standard deviation.
According to the CAPM, which of the following statement is/are
correct?
a. This portfolio has invested roughly 54.55% in...

Suppose the risk-free return is 3.7% and the market portfolio
has an expected return of 11.2% and a standard deviation of 16%.
Johnson & Johnson Corporation stock has a beta of 0.28. What
is its expected return?

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 6 minutes ago

asked 15 minutes ago

asked 28 minutes ago

asked 30 minutes ago

asked 30 minutes ago

asked 37 minutes ago

asked 44 minutes ago

asked 46 minutes ago

asked 46 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago