Question

This information is for all questions: You are trying to make the least-risky portfolio possible from...

This information is for all questions:

You are trying to make the least-risky portfolio possible from this set of ETFs. Risk is being measured by Standard Deviation of returns (sigma).

ETF mu sigma

A 10% 25%

B 8% 15%

Correlation Coefficient (rho), A to B: -50%

What is the standard deviation (sigma) for a portfolio comprised of 50% A and 50%B?

Round your answer to three decimal places. Do not write your answer as a percent. IE: write 0.251 not 25.1%.

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1
Expected return Investment Proportion Standard Deviation Correlation Coefficient (A to B)
A 10% 50% 25%
B 8% 50% 15% -50%
Total 100%
Expected return of portfolio 0.090
Standard deviation of portfolio 0.109

Standard deviation of portfolio is 0.109

Formulas used in excel calculation:

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
You are trying to build the best possible risky portfolio for your investment clients. You have...
You are trying to build the best possible risky portfolio for your investment clients. You have two risky assets available to you: A risky stock with an expected excess return of 0.199 and a standard deviation of 0.01, and a risky bond with an expected excess return of 0.039, and a standard deviation of 0.916. If these two assets have a coefficient of correlation of 0.22, what proportion of the money you invest in risky assets should you put in...
You are trying to build the best possible risky portfolio for your investment clients. You have...
You are trying to build the best possible risky portfolio for your investment clients. You have two risky assets available to you: A risky stock with an expected excess return of 0.281 and a standard deviation of 0.83, and a risky bond with an expected excess return of 0.078, and a standard deviation of 0.816. If these two assets have a coefficient of correlation of 0.23, what proportion of the money you invest in risky assets should you put in...
You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury...
You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury bills that pay 2% and a risky portfolio, P, constructed with two risky securities, X and Y. The optimal weights of X and Y in P are 40% and 60%, respectively. X has an expected rate of return of 0.10 and variance of 0.0081, and Y has an expected rate of return of 0.06 and a variance of 0.0036. The coefficient of correlation, rho,...
You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury...
You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury bills that pay 2% and a risky portfolio, P, constructed with two risky securities, X and Y. The optimal weights of X and Y in P are 40% and 60%, respectively. X has an expected rate of return of 0.10 and variance of 0.0081, and Y has an expected rate of return of 0.06 and a variance of 0.0036. The coefficient of correlation, rho,...
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
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 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...
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....
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
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 18.0%. Stock B has an expected return of 8% and a standard deviation of return of 3%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 6%. 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...
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 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .35. The risk-free rate of return is 5%. The standard deviation of returns on the optimal risky portfolio is _________. When solving this...
Drew can design a risky portfolio based on two risky assets, Origami and Gamiori. Origami has...
Drew can design a risky portfolio based on two risky assets, Origami and Gamiori. Origami has an expected return of 13% and a standard deviation of 20%. Gamiori has an expected return of 6% and a standard deviation of 10%. The correlation coefficient between the returns of Origami and Gamiori is - 0.20 (negative 0.20). The risk-free rate of return is 2%. Among all possible portfolios constructed from Origami and Gamiori, what is the minimum variance?
An investor can design a risky portfolio based on two stocks, A and B. Stock A...
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?
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT