Question

Fred can invest in a risky portfolio with a 25% standard deviation an expected return of 15% and T-bills which currently pay 4.5%. How much should Fred invest in the risky portfolio if he wants to earn a 12% return ?

What is the standard deviation (%) of Fred’s portfolio ?

What is Sharpe ratio of Fred’s portfolio

Answer #1

You invest in a risky asset that is expected to pay 12% with a
standard deviation of 22% and a T-bill paying 3%. What is the
expected Sharpe ratio of your portfolio if you choose to invest 60%
of your funds into the risky asset? (Do not round
intermediate calculations. Round your answer to 2 decimal
places.)
Portfolio Sharpe Ratio

Assume that you manage a risky portfolio with an expected rate
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a. Suppose your risky
portfolio includes the following investments in the given
proportions:
Stock A 30%
Stock B 50%
Stock C 20%
What are the investment proportions of
your client’s overall portfolio, including the...

An investor chooses to invest 60% of a portfolio in a risky fund
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What is the Sharpe ratio of the risky portfolio and the
investor’s overall portfolio?
Suppose the investor decides to invest a proportion (y) of his
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will have an expected return...

Assume you manage a risky portfolio with an expected return of
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decimal points.

You manage a risky portfolio with expected rate of return of 9%
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a. What are the characteristics of feasible investment
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line called?
b. A client of yours has a utility function of U=E(r)-4Var(r)
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You
manage a risky portfolio with expected rate of return of 15% and
standard deviation of 32%. The risk free rate is 3%.
A client chooses to invent 60% of her wealth into your
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variability ratio (sharpe ratio) of your clients overall
portfolio?

You manage a risky
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market fund.
What is the
reward-to-volatility (Sharpe) ratio (S) of your risky
portfolio? Your client’s?(round answers to 4 decimal places
Reward-to-volatility
ratio?
Clients
reward-to-volatility ratio?

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return of 17% and a standard deviation of 27%. You think that this
risky portfolio is best one that you can construct to deliver the
best tradeoff between risk premium and return. The T-bill rate is
7%.
(1)Your client Eric chooses to invest
70% of a portfolio in your fund and 30% in a T-bill money market
fund.
(a) What is the expected return and
standard deviation of your...

Assume that you manage a risky portfolio that has an expected
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What fraction y of the combined portfolio should be invested in
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Based on the portfolio fraction y calculated in the previous
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Assume that you are managing a risky portfolio with expected
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of the rate of return on his portfolio is 19.6%.
Suppose that your risky portfolio includes the following
investments in the...

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