Question

Suppose the expected return for Brazil is 12%, the expected return for New Zealand is 10%, the risk free rate in Brazil and New Zealand is 4%, the correlation between New Zealand and Brazil equity returns is 0.35, the volatility of equity return in New Zealand is 0.25 and the volatility of equity return in Brazil is 0.156,, then the Sharpe Ratio for New Zealand is

a. 24.0%

b. 32.0%

c. 38.46%

d. 32.05%

Answer #1

The Optima Mutual Fund has an expected return of
20.9%
and a volatility of
21.5%.
Optima claims that no other portfolio offers a higher Sharpe
ratio. Suppose this claim is true, and the risk-free interest
rate is
4.5%.
a. What is Optima's Sharpe ratio?
b. If eBay's stock has a volatility of
43.8%
and an expected return of
11.4%,
what must be its correlation with the Optima Fund?
c. If the SubOptima Fund has a correlation of
78%
with the...

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...

Suppose the expected return on the market portfolio is 12% and
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The risk-free rate is 4%. What is the standard deviation of an
efficient portfolio whose expected return is 14%?

given a sharpe ratio for the market portfolio of 0.4 . calculate
the expected return on stock with astardard deviation return of 0.5
and acorrelation with the market portfolio return of 0.6.the risk
free rate is 5% and the stardard deviation of the market portfolio
returns is 0.25

Suppose stock A has an expected return of 12% and stock B has an
expected return of 17%. Stock A has a standard deviation of 5% and
stock abs has a standard deviation of 10%. The correlation
coefficient is -1. If it is possible to lend and borrow at the risk
free rate. What will that rate be

Suppose that the market portfolio has an expected return of 10%,
and a standard deviation of returns of 20%. The risk-free rate is
5%.
b) Suppose that stock A has a beta of 0.5 and an expected return
of 3%. We would like to evaluate, according to the CAPM, whether
this stock is overpriced or underpriced. First, construct a
tracking portfolio, made using weight K on the market portfolio and
1 − K on the risk-free rate, which has the...

Suppose you invest equal amounts in a portfolio with an expected
return of 12% and a standard deviation of returns of 16% and a
risk-free asset with an interest rate of 2%. calculate the expected
return on the resulting Portfolio.
A. 9%
B. unable to determine without knowing the correlation
coefficient
C. 8%
D. 7%
E. 12%
F. 2%
SHOW WORK PLEASE

Consider a risky asset with an expected return of 12% and
standard deviation of 16%. Assume that the risk free rate is 3%,
and that you allocate 70% in the risky asset and the remaining in
risk-free T-Bill. Calculate the following: show all
formulas and calculations
Complete Portfolio’s Expected Return:
Complete Portfolio’s Standard Deviation:
Risky asset’s Sharpe ratio:
Complete Portfolio’s Sharpe ratio:

Suppose that the expected return and standard deviation of the
market are 10 percent and 16 percent, respectively. Stock A has a
standard deviation of 45 percent and a correlation with the market
of 0.64. What would the expected return of a portfolio that is
equally split between stock A, the market and a risk-free Treasury
bill be if the risk-rate is 4%?

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...

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