Question

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.)**

**Expected Return?**

**Standard Deviation?**

Answer #1

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%

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 constructing a portfolio from two assets. The first
asset has an expected return of 7.7% and a standard deviation of
7.8%. The second asset has an expected return of 10.2% and a
standard deviation of 12.6%. You plan to invest 41% of your money
in the first asset, and the rest in asset 2. If the assets have a
correlation coefficient of -0.61, what will the standard deviation
of your portfolio be?

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.)

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.).

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.)

There are 2 assets. Asset 1: Expected return 7.5%, standard
deviation 9% Asset 2: Expected return 11%, standard deviation 12%.
You are not sure about the correlation between 2 assets. You hold
30% of your portfolio in asset 1 and 70% in asset 2.
What is the highest possible variance of your portfolio?
Hint 1: Think how the portfolio variance depends on the
correlation between 2 assets.
Hint 2: Think which values the correlation between Asset 1 and
Asset 2...

The two risky assets you can invest in are Exxon and BP. Exxon
has a mean return of 8% and a standard deviation of 10%. BP has
mean return of 10 percent and standard deviation of 15 percent. The
correlation between the two is 0.25. The tangency portfolio has
weight of 55% in Exxon.
The risk free asset has return of 3.0
percent. What is the expected return and standard deviation of the
tangency portfolio?
You desire an expected return...

Refer to the table below: 3 Doors, Inc. Down Co. Expected
return, E(R) 12 % 13 % Standard deviation, σ 30 15 Correlation .36
Using the information provided on the two stocks in the table
above, find the expected return and standard deviation on the
minimum variance portfolio. (Do not round intermediate
calculations. Enter your answers as a percent rounded to 2 decimal
places.)

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...

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