Question

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.).

Answer #1

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.)

Asset K has an expected return of 11 percent and a standard
deviation of 26 percent. Asset L has an expected return of 9
percent and a standard deviation of 21 percent. The correlation
between the assets is 0.21. What are the expected return and
standard deviation of the minimum variance portfolio?
Expected return%
Standard deviation%

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%

The following are estimates for two stocks.
Stock
Expected Return
Beta
Firm-Specific Standard Deviation
A
11
%
0.90
32
%
B
16
1.40
40
The market index has a standard deviation of 19% and the
risk-free rate is 11%.
a. What are the standard deviations of stocks
A and B?
b. Suppose that we were to construct a
portfolio with proportions:
Stock A
0.40
Stock B
0.40
T-bills
0.20
Compute the expected return, standard deviation, beta, and
nonsystematic standard deviation...

The stock of Bruin, Inc., has an expected return of 22 percent
and a standard deviation of 37 percent. The stock of Wildcat Co.
has an expected return of 12 percent and a standard deviation of 52
percent. The correlation between the two stocks is .49. Calculate
the expected return and standard deviation of the minimum variance
portfolio.

Assume Stocks A and B have the following characteristics: Stock
Expected Return Standard Deviation A 8.3% 32.3% B 14.3% 61.3% The
covariance between the returns on the two stocks is .0027. a.
Suppose an investor holds a portfolio consisting of only Stock A
and Stock B. Find the portfolio weights, XA and XB, such that the
variance of her portfolio is minimized. (Hint: Remember that the
sum of the two weights must equal 1.) (Do not round intermediate
calculations and...

Stock 1 has a expected return of 14% and a standard deviation
of 12%.
Stock 2 has a expected return of 11% and a standard deviation
of 11%.
Correlation between the two stocks is 0.5.
Create a minimum variance portfolio with long positions in both
stocks.
What is the return on this portfolio?

Consider a portfolio that contains two stocks. Stock "A" has an
expected return of 15% and a standard deviation of 18%. Stock "B"
has an expected return of -1% and a standard deviation of 25%. The
proportion of your wealth invested in stock "A" is 50%. The
correlation between the two stocks is -0.1.
What is the expected return of the portfolio? Enter your answer
as a percentage. Do not include the percentage sign in your
answer.
Enter your response...

QUESTION 12
The investor is presented with the two following stocks:
Expected Return
Standard Deviation
Stock A
10%
30%
Stock B
20%
60%
Assume that the correlation coefficient between the stocks is
-1. What is the standard deviation of the return on the portfolio
that invests 30% in stock A?
A.
26%
B.
49%
C.
30%
D.
33%

Problem 11-14 Minimum Variance Portfolio (LO4, CFA4)
Refer to the table below:
3 Doors, Inc.
Down Co.
Expected return, E(R)
11
%
12
%
Standard deviation, σ
26
23
Correlation
0.21
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.)

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