Calculate the expected return andstandard deviation of a portfolio invested in the following two risky assets.

1. There are 2 assets you can invest in: a risky portfolio with an expected return...

1. There are 2 assets you can invest in: a risky portfolio with an expected return of 6% and volatility of 15%, and a government t-bill (always used as the 'risk-free' asset) with a guaranteed return of 1%. Your risk-aversion coefficient A = 4, and the utility you get from your investment portfolio can be described in the standard way as U = E(r) - 1/2 * A * variance. Assume that you can borrow money at the risk-free rate....

In a universe with four risky assets the market portfolio is comprised of an equally weighted...

In a universe with four risky assets the market portfolio is comprised of an equally weighted combination of those assets. This market portfolio has an expected return of 8% and a variance of 12%. Assume, that in addition a risk-free asset with return of 1% exists. What percentage of each risky asset will an investor with Utility function U(r) = E(r) – 0.4 var(r) hold in his portfolio? 18% 20% 27% 30%

The expected return on the risky portfolio is 15%. The risk-free rate is 5%. The standard...

The expected return on the risky portfolio is 15%. The risk-free rate is 5%. The standard deviation of return on the risky portfolio is 22%. Tina constructed a complete portfolio from this risky portfolio and the risk-free asset. If her portfolio has an expected return of 12%, what is the standard deviation of her complete portfolio?

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 0.30. The risk-free rate of return is 4%. What is the portfolio weight of Origami in the optimal risky portfolio?

You manage a risky portfolio with expected rate of return of 9% and standard deviation of...

You manage a risky portfolio with expected rate of return of 9% and standard deviation of 13%. Risk free rate of return is 3%. a. What are the characteristics of feasible investment portfolios for your client? (what are the possible risk and return that you can create?) Identify this using a graph. What is this line called? b. A client of yours has a utility function of U=E(r)-4Var(r) and 10000 to invest. How much should he invest in the risk-free...

The annual expected return of the risky portfolio is 8%, the annual volatility of the risky...

The annual expected return of the risky portfolio is 8%, the annual volatility of the risky portfolio is 20%, and the risk-free rate is 3%. If your utility is described as U = E(r) - 1/2 * A * vol^2 and your annual risk-aversion A = 4, what is your utility value for the portfolio that has 25% in the risky asset?

You have the following assets available to you to invest in: Asset Expected Return Standard Deviation...

You have the following assets available to you to invest in: Asset Expected Return Standard Deviation Risky debt 6% 0.25 Equity 10% .60 Riskless debt 4.5% 0 The coefficient of correlation between the returns on the risky debt and equity is 0.72 2D. Hector has a coefficient of risk aversion of 1.8. What percentage of his assets should he invest in the risky portfolio? 2E. What would the expected return be on Hector’s portfolio? 2F. What would the standard deviation...

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 0.30. The risk-free rate of return is 4%. If Drew invests 30% money in Gamiori and the remaining in Origami, what is the standard deviation of his portfolio?

(i) The expected returns on two distinct risky assets A and B are correlated and a...

(i) The expected returns on two distinct risky assets A and B are correlated and a portfolio consisting of A and B has zero variance of expected return. What can be said about the correlation between the expected returns of risky assets A and B? (ii) An investor constructs an efficient portfolio that invests 150% of his investment in the tangent portfolio of risky asset and is short in the risky free asset for the rest. What can be said...

Consider a risky asset with an expected return of 12% and standard deviation of 16%. Assume...

Consider a risky asset with an expected return of 12% and standard deviation of 16%. Assume that the risk free rate is 3%, and that you allocate 70% in the risky asset and the remaining in risk-free T-Bill. Calculate the following: show all formulas and calculations Complete Portfolio’s Expected Return: Complete Portfolio’s Standard Deviation: Risky asset’s Sharpe ratio: Complete Portfolio’s Sharpe ratio: