Question

- An investor is considering to create a portfolio of two stocks, A (for airline) and E (for energy). Based on data of past two years, each stock is represented by a rate of return mean and standard deviation of the rates of return as follows:

Mean Standard Deviation

Stock A 8% 10%

Stock E 14% 20%

The correlation coefficient between these two stocks is calculated as -0.8. If the investor chooses to split his money on these two stocks as 50% each, what will be the expected mean and standard deviation of his portfolio?

Answer #1

Please upvote if the ans is helpful. In case of doubt,Do comment.Thanks.

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 21% and a standard
deviation of return of 35%. Stock B has an expected return of 14%
and a standard deviation of return of 21%. The correlation
coefficient between the returns of A and B is 0.3. The risk-free
rate of return is 1.9%. What is the expected return on the optimal
risky portfolio?

15. An investor can design a risky portfolio based on two
stocks, A and B. The standard deviation of return on stock A is
16.52%, while the standard deviation on stock B is 7.11%. The
correlation coefficient between the returns on A and B is -0.2523.
The expected return on stock A is 22.75%, while on stock B it is
10.54%. The proportion of the minimum-variance portfolio that would
be invested in stock B is approximately ________.

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 22% and a standard
deviation of return of 17%. Stock B has an expected return of 13%
and a standard deviation of return of 4%. The correlation
coefficient between the returns of A and B is .33. The risk-free
rate of return is 9%. The proportion of the optimal risky portfolio
that should be invested in stock A is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 22% and a standard
deviation of return of 20%. Stock B has an expected return of 12%
and a standard deviation of return of 4%. The correlation
coefficient between the returns of A and B is .35. The risk-free
rate of return is 9%. The proportion of the optimal risky portfolio
that should be invested in stock A is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 25% and a standard
deviation of return of 35%. Stock B has an expected return of 18%
and a standard deviation of return of 28%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 26% and a standard
deviation of return of 39%. Stock B has an expected return of 15%
and a standard deviation of return of 25%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 21% and a standard
deviation of return of 37%. Stock B has an expected return of 16%
and a standard deviation of return of 22%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 6%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 16% and a standard
deviation of return of 30%. Stock B has an expected return of 11%
and a standard deviation of return of 15%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 5%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 12% and a standard
deviation of return of 28%. Stock B has an expected return of 9%
and a standard deviation of return of 13%. The correlation
coefficient between the returns of A and B is .5. The risk-free
rate of return is 5%. The proportion of the optimal risky portfolio
that should be invested in stock B is...

An investor can design a risky portfolio based on two stocks, A
and B. Stock A has an expected return of 18% and a standard
deviation of return of 20%. Stock B has an expected return of 14%
and a standard deviation of return of 5%. The correlation
coefficient between the returns of A and B is .50. The risk-free
rate of return is 10%. The standard deviation of return on the
optimal risky portfolio is _________.
A. 0%
B....

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 3 minutes ago

asked 3 minutes ago

asked 3 minutes ago

asked 4 minutes ago

asked 9 minutes ago

asked 9 minutes ago

asked 13 minutes ago

asked 18 minutes ago

asked 18 minutes ago

asked 18 minutes ago

asked 22 minutes ago

asked 22 minutes ago