Question

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%

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%

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?

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.)...

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.).

Consider two stocks, Stock D, with an expected return of 13
percent and a standard deviation of 25 percent, and Stock I, an
international company, with an expected return of 6 percent and a
standard deviation of 16 percent. The correlation between the two
stocks is −.14. 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.)

Use the following information to calculate the expected return
and standard deviation of a portfolio that is 50 percent invested
in 3 Doors, Inc., and 50 percent invested in Down Co.: (Do
not round intermediate calculations. Enter your answers as a
percent rounded to 2 decimal places.)
3 Doors, Inc.
Down Co.
Expected return, E(R)
19
%
14
%
Standard deviation, σ
49
51
Correlation
.34

The market portfolio has an expected return of 11.0 percent and
a standard deviation of 21.0 percent. The risk-free rate is 4.0
percent.
a.
What is the expected return on a well-diversified portfolio with
a standard deviation of 8.0 percent? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places (e.g., 32.16).)
Expected return
%
b.
What is the standard deviation of a well-diversified portfolio
with an expected return of 19.0...

The expected return and standard deviation of a portfolio that
is 50 percent invested in 3 Doors, Inc., and 50 percent invested in
Down Co. are the following:
3 Doors, Inc.
Down Co.
Expected return, E(R)
19
%
14
%
Standard deviation, σ
62
24
What is the standard deviation if the correlation is +1? 0? −1?
(Do not round intermediate calculations. Enter your answer
as a percent rounded to 2 decimal places. )

Suppose the risk-free
rate is 4.8 percent and the market portfolio has an expected return
of 11.5 percent. The market portfolio has a variance of .0442.
Portfolio Z has a correlation coefficient with the market
of .34 and a variance of .3345
According to the
capital asset pricing model, what is the expected return on
Portfolio Z? (Do not round intermediate calculations and
enter your answer as a percent rounded to 2 decimal places, e.g.,
32.16.)

he expected return and standard deviation of a portfolio that is
30 percent invested in 3 Doors, Inc., and 70 percent invested in
Down Co. are the following: 3 Doors, Inc. Down Co. Expected return,
E(R) 18 % 14 % Standard deviation, σ 61 26 What is the standard
deviation if the correlation is +1? 0? −1? (Do not round
intermediate calculations. Enter your answer as a percent rounded
to 2 decimal places. )

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 46 seconds ago

asked 47 seconds ago

asked 47 seconds ago

asked 47 seconds ago

asked 1 minute ago

asked 2 minutes ago

asked 6 minutes ago

asked 6 minutes ago

asked 10 minutes ago

asked 10 minutes ago

asked 10 minutes ago

asked 12 minutes ago