Question

Asset A has an annual expected return of 12%, and an annual volatility of 30%. Asset...

Asset A has an annual expected return of 12%, and an annual volatility of 30%. Asset B has an expected return of 4%, and a volatility of 10%. The covariance of the returns of A and B is 0.02. What is the volatility of the portfolio that is composed of 70% asset A, and 30% asset B? [note: answer have been rounded to the percent]

Homework Answers

Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
Asset A has an expected volatility of 8%. Asset B has an expected volatility of 25%....
Asset A has an expected volatility of 8%. Asset B has an expected volatility of 25%. Their covariance is -0.200. If 10% of your wealth is in Asset A and 90% is in Asset B, the expected volatility of your portfolio is _____%. 8.00 10.00 11.13 12.12
The expected return on the NASDAQ portfolio is 17.5% and its return volatility is 30%. The...
The expected return on the NASDAQ portfolio is 17.5% and its return volatility is 30%. The risk-free rate is 2.5%. You think that you can create a portfolio with the same expected return but lower risk by (1) putting 50% of your money into the portfolio of large world stocks with the expected return of 10% and return volatility of 20%; (2) putting the remaining 50% of your money into the portfolio of small US stocks with the expected return...
ou are constructing a portfolio of two assets. Asset A has an expected return of 12...
ou are constructing a portfolio of two assets. Asset A has an expected return of 12 percent and a standard deviation of 24 percent. Asset B has an expected return of 18 percent and a standard deviation of 54 percent. The correlation between the two assets is 0.20 and the risk-free rate is 4 percent. What is the weight of each asset in the portfolio of the two assets that has the largest possible Sharpe ratio? (Do not round intermediate...
The annual expected return of the risky portfolio is 8%, the annual volatility of the risky...
The annual expected return of the risky portfolio is 8%, the annual volatility of the risky portfolio is 20%, and the risk-free rate is 3%. If your utility is described as U = E(r) - 1/2 * A * vol^2 and your annual risk-aversion A = 4, what is your utility value for the portfolio that has 25% in the risky asset?
a. If variance of asset A is 0.04 and variance of asset B is 0.02, what...
a. If variance of asset A is 0.04 and variance of asset B is 0.02, what is the correlation between the two assets? Assume covariance between the 2 assets to be 0.015. Show how you found the values. b. Suppose a portfolio has expected return of 15% and volatility of 30%. How can you combine this portfolio with the risk-free asset to create a portfolio with 10% expected return? Risk-free asset has expected return of 3%.  Show how you found the...
Suppose the expected return on the market portfolio is 12% and its volatility is 20%. The...
Suppose the expected return on the market portfolio is 12% and its volatility is 20%. The risk-free rate is 4%. What is the standard deviation of an efficient portfolio whose expected return is 14%?
A portfolio that combines the risk-free asset and the market portfolio has an expected return of...
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 7.4 percent and a standard deviation of 10.4 percent. The risk-free rate is 4.4 percent, and the expected return on the market portfolio is 12.4 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .49 correlation with the market portfolio and a standard deviation of 55.4 percent?  Enter your answer as a percent...
Expected Return Standard Deviation          Stocks, S 14                          &nb
Expected Return Standard Deviation          Stocks, S 14                                           30           Bonds, B 6 15           The correlation between stocks and bonds is ρ(S,B) = 0.05 Note: I've entered the expected returns and standard deviations as whole numbers (not decimals)    Treat the risk-free rate as the number 2 not 0.02 or 2%. The risk-free rate is 2 percent. The CAL that is tangent to the portfolio frontier of stock and bonds has an expected return equal to 9.5 percent. You wish to...
You have been given the expected return data shown in the table on two assets, F...
You have been given the expected return data shown in the table on two assets, F and G, over the period 2010-2013. Expected return Year Asset F Asset G 2010 16% 15% 2011 12 13 2012 18 17 2013 20 12 If you invest 70% of your funds in asset F and 30% to asset G, Calculate the expected return over the 4-year period for the portfolio. Calculate the standard deviation of returns over the 4-year period for the portfolio.
You currently have $100,000 invested in a portfolio that has an expected return of 12% and...
You currently have $100,000 invested in a portfolio that has an expected return of 12% and a volatility of 8%. Suppose the risk-free rate is 5%, and there is another portfolio that has an expected return of 20% and a volatility of 12%. For this question, you need to specify the dollar amount that you invest in the new portfolios in (i) and (ii) (i)How do you construct a new portfolio that has a higher expected return than your current...