Question

Problem 11-18 Minimum Variance Portfolio (LO4, CFA4)

Asset K has an expected return of 14 percent and a standard deviation of 33 percent. Asset L has an expected return of 8 percent and a standard deviation of 14 percent. The correlation between the assets is 0.52. What are the expected return and standard deviation of the minimum variance portfolio?

Answer #1

Asset K has an expected return of 11 percent and a standard
deviation of 26 percent. Asset L has an expected return of 9
percent and a standard deviation of 21 percent. The correlation
between the assets is 0.21. What are the expected return and
standard deviation of the minimum variance portfolio?
Expected return%
Standard deviation%

Asset K has an expected return of 19 percent and a standard
deviation of 34 percent. Asset L has an expected return of 7
percent and a standard deviation of 18 percent. The correlation
between the assets is 0.43. What are the expected return and
standard deviation of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answers as a percent rounded
to 2 decimal places.)
Expected return%
Standard deviation%

Problem 11-14 Minimum Variance Portfolio (LO4, CFA4)
Refer to the table below:
3 Doors, Inc.
Down Co.
Expected return, E(R)
11
%
12
%
Standard deviation, σ
26
23
Correlation
0.21
Using the information provided on the two stocks in the table
above, find the expected return and standard deviation on the
minimum variance portfolio. (Do not round intermediate
calculations. Enter your answers as a percent rounded to 2 decimal
places.)

There are 2 assets. Asset 1: Expected return 7.5%, standard
deviation 9% Asset 2: Expected return 11%, standard deviation 12%.
You are not sure about the correlation between 2 assets. You hold
30% of your portfolio in asset 1 and 70% in asset 2.
What is the highest possible variance of your portfolio?
Hint 1: Think how the portfolio variance depends on the
correlation between 2 assets.
Hint 2: Think which values the correlation between Asset 1 and
Asset 2...

You are going to invest in Asset J and Asset S. Asset J has an
expected return of 13.8 percent and a standard deviation of 54.8
percent. Asset S has an expected return of 10.8 percent and a
standard deviation of 19.8 percent. The correlation between the two
assets is .50. What are the standard deviation and expected return
of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answers as a percent rounded
to 2 decimal places.)...

Stock 1 has a expected return of 14% and a standard deviation
of 12%.
Stock 2 has a expected return of 11% and a standard deviation
of 11%.
Correlation between the two stocks is 0.5.
Create a minimum variance portfolio with long positions in both
stocks.
What is the return on this portfolio?

Consider two stocks, Stock D, with an expected return of 11
percent and a standard deviation of 26 percent, and Stock I, an
international company, with an expected return of 9 percent and a
standard deviation of 19 percent. The correlation between the two
stocks is –0.12. What are the expected return and standard
deviation of the minimum variance portfolio? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places.).

You are constructing a portfolio from two assets. The first
asset has an expected return of 7.7% and a standard deviation of
7.8%. The second asset has an expected return of 10.2% and a
standard deviation of 12.6%. You plan to invest 41% of your money
in the first asset, and the rest in asset 2. If the assets have a
correlation coefficient of -0.61, what will the standard deviation
of your portfolio be?

The stock of Bruin, Inc., has an expected return of 22 percent
and a standard deviation of 37 percent. The stock of Wildcat Co.
has an expected return of 12 percent and a standard deviation of 52
percent. The correlation between the two stocks is .49. Calculate
the expected return and standard deviation of the minimum variance
portfolio.

5)
A portfolio that combines the risk free asset and the market
portfolio has an expected return of 7% and a standard deviation of
10%. The risk free rate is 4%, and the market returns (expected) is
12%. What expected return would a security earn if it had a
correlation of 0.45 ewth the market portfolio and a standard
deviation of 55%.?
Suppose the risk free rate is 4.8% and the market portfolio has
an expected return of 11.4%. the...

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