Question
The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and...
- The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino).
|
portfolio |
return (rp) |
risk free interest rate (rf) |
std. deviation |
Beta |
market risk premium (rp-rf) |
|
A |
18,00 |
11,00 |
6,00 |
1,24 |
7,00 |
|
B |
12,00 |
11,00 |
2,00 |
0,87 |
1,00 |
|
C |
9,00 |
11,00 |
0,50 |
- 0,73 |
- 2,00 |
|
D |
15,00 |
11,00 |
3,00 |
0,46 |
4,00 |
|
Market |
13,00 |
11,00 |
1,50 |
1 |
2,00 |
Homework Answers
Answer #1
Not the answer you're looking for?
Similar Questions
portfolio average return standard deviation beta a 18.9% 21.6% 1.92 b 13.2 12.8 1.27 A)The risk-free...
portfolio
average return
standard deviation
beta
a
18.9%
21.6%
1.92
b
13.2
12.8
1.27
A)The risk-free rate is 3.1 percent and the market risk premium is
6.8 percent. If a portfolio had been formed comprised of 50 percent
portfolio A and 50 percent of portfolio B, the actual
return, beta, expected return using CAPM, and Jensen's
Alpha on the new portfolio is closest to
35. Assume the expected return on the market portfolio is 15% and its standard deviation is...
35. Assume the expected return on the market portfolio is 15%
and its standard deviation is 12%. The risk-free rate is 5%. Denote
the expected return and beta of securities on the Security Market
Line
(SML) with () and β, respectively. Which statement is
TRUE?
A) The beta of a CML portfolio that contain 150% of the market
portfolio and 50% borrowed money
is 1.25.
B) The SML can be represented by the following equation:
C) The slope of the...
The expected return on the market is 12%; the risk-free rate is 3%; the beta of...
The expected return on the market is 12%; the risk-free rate is
3%; the beta of your portfolio is 1.17; and the standard deviation
of your portfolio is 17%.
Which of the following statements is true?
A. The expected return on your portfolio is 1.17 times 12%
B. The reward to risk ratio for your portfolio is 1.17/0.17.
C. The market risk premium is 9%.
D. There is not enough information to determine the expected
return on your portfolio.
The risk-free rate of interest is 2%. Stock AAA has a beta of 1.4 and a standard deviation of return = .40. The expected return on the market portfolio is 9%. Assume CAPM holds.
1. The
risk-free rate of interest is 2%. Stock AAA has a beta
of 1.4 and a standard deviation of return = .40. The
expected return on the market portfolio is 9%. Assume CAPM
holds. (Note: the questions below are
independent not sequential.)a) Plot
the security market line. Label all axes of your
graph. Plot (and label) the points (and numerical
values) corresponding to the market portfolio, the
risk-free asset, and stock AAA.b) Your
current wealth is $1,000. What is the expected
returnfor a portfolio where youborrow$500 at the risk-free...
If the risk-free rate is 6 percent and the market risk premium is 9.5% and below...
If the risk-free rate is 6 percent and the market risk premium
is 9.5% and below are the details of your portfolio: Security
Amount Invested Beta A $50,000,000 0.1 B $60,000,000 0.3 C
$40,000,000 0.7 What is the required rate of return of your
portfolio? A- 0.34% D-7% C-6% B-9.23%
If the risk-free rate is 6 percent and the market risk premium is 9.5% and below...
If the risk-free rate is 6 percent and the market risk premium
is 9.5% and below are the details of your portfolio: Security
Amount Invested Beta A $50,000,000 0.1 B $60,000,000 0.3 C
$40,000,000 0.7 What is the required rate of return of your
portfolio? A- 0.34% D-7% C-6% B-9.23%
Tyre Inc. Portfolio Return Tyre Inc Standard Deviation Risk Free Rate Borrowing Rate Market Index Return...
Tyre Inc.
Portfolio Return
Tyre Inc
Standard Deviation
Risk Free Rate
Borrowing Rate
Market Index Return
Market Index Std. Deviation
10%
27%
2%
5%
7%
22%
Evaluate the investment performance of
Tyre Inc compared to a passive investment with the same exact risk.
Calculate the under or over (% return) of Tyre relating to this
passive benchmark.
Suppose the standard deviation of the market return is 20%. The risk-free rate is 3%. What...
Suppose the standard deviation of the market return is 20%. The
risk-free rate is 3%. What is the standard deviation of returns on
a well-diversified portfolio with a beta of 0.9?
a. 22.22%
b. 19.80%
c. 16.20%
d. 18.00%
e. 21.00%
Suppose that there are two independent economic factors, F1 and F2. The risk-free rate is 10%,...
Suppose that there are two independent economic factors,
F1 and F2. The risk-free
rate is 10%, and all stocks have independent firm-specific
components with a standard deviation of 40%. Portfolios A
and B are both well-diversified with the following
properties:
Portfolio
Beta on F1
Beta on F2
Expected Return
A
1.6
2.0
30
%
B
2.5
–0.20
25
%
What is the expected return-beta relationship in this economy?
Calculate the risk-free rate, rf, and the
factor risk premiums, RP1 and...
The two-factor model on a stock provides a risk premium for exposure to market risk of...
The two-factor model on a stock provides a risk premium for
exposure to market risk of 9%, a risk premium for exposure to
interest rate risk of (-1.3%), and a risk-free rate of 3.5%. The
beta for exposure to market risk is 1, and the beta for exposure to
interest rate risk is also 1. What is the expected return on the
stock? a. 15.2% b. 11.2% c. 13.8% d. 8.7%
ADVERTISEMENT
Need Online Homework Help?
Get Answers For Free
Most questions answered within 1 hours.
ADVERTISEMENT
Active Questions
asked 2 minutes ago
asked 13 minutes ago
asked 15 minutes ago
asked 22 minutes ago
asked 36 minutes ago
asked 1 hour ago
asked 1 hour ago
asked 1 hour ago
asked 1 hour ago
asked 1 hour ago
asked 2 hours ago
asked 2 hours ago