Question

Asset 1 has a standard deviation of returns equal to 4% per year, and an expected return of 2.5% per year. Asset 2 has a standard deviation of returns equal to 25% per year, and an expected return of 6% per year. The correlation between the two assets is 0.2. What is the standard deviation of a portfolio that has 50% in asset 1 and 50% in asset 2?.

Answer #1

The standard deviation of Asset A returns is 36%, while the
standard deviation of Asset M returns is 24%. The correlation
between Asset A and Asset M returns is 0.4.
(a) The average of Asset A and Asset M’s standard deviations is
(36+24)/2 = 30%. Consider a portfolio, P, with 50% of funds in
Asset A and 50% of funds in Asset M. Will the standard deviation of
portfolio P’s returns be greater than, equal to, or less than 30%?...

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...

Consider the following two assets:
Asset A:
expected return is 4% and standard deviation of return is 42%
Asset B:
expected return is 1.5% and standard deviation of return is
24%
The
correlation between the two assets is 0.1.
(1)
Compute the expected return and the standard deviation of return
for 4 portfolios with different weights w on asset A (and therefore
weight 1-w on B): w=-0.5, w=0.3, w=0.8, w=1.3.
(2)
Then sketch a portfolio frontier with the 4 portfolios,...

The domestic asset has an expected return of 9% and standard
deviation of 25%
The foreign asset has an expected return of 15% and standard
deviation of 35%
The correlation between two asset is 0.40. Assuming the
portfolio has 30% invested in the domestic asset and the reminder
in the foreign asset.
1. calculate the portfolio's expected return and standard
deviation. SHOW YOUR WORK
rp=................%
op=................%

given expected return for asset 1=12%,expected return for asset
2=16%,stander deviation for asset 1=4%, stander deviation for asset
2=6%,and correlation between asset 1 and 2=0.60,find out the
portfolio return and portfolio stander deviation if the weight of
asset 1 and asset 2 are
a.0.50 and 0.50
b. 0.30 and 0.70

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%

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.)...

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...

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
2A. Using the Markowitz portfolio optimization method, what
would the composition of the optimal risky portfolio of these
assets be? 10 points
2B. What would the expected return be on this optimal
portfolio? 2 points
2C. What would the standard deviation of this optimal
portfolio be? 3 points

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