An investor gathered the following information regarding three stocks, which are not in the market portfolio: Standard Deviation 25% 30% 23% Stock A B C The return on the market portfolio is 15% with a standard deviation of 21%, and the risk-free rate of return is 4%. Stock A's nonsystematic variance is closest to: 0.0036 Expected Return 22% 17% 19% O 0.0247 O 0.0091 Beta 1.1 1.4 0.8

An investor gathered the following information regarding three stocks, which are not in the market portfolio: Standard Deviation 25% 30% 23% Stock A B C The return on the market portfolio is 15% with a standard deviation of 21%, and the risk-free rate of return is 4%. Stock A's nonsystematic variance is closest to: 0.0036 Expected Return 22% 17% 19% O 0.0247 O 0.0091 Beta 1.1 1.4 0.8

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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The following are estimates for a stock A. Stock Expected ret. beta firm-specific variance, or Var(e) A 0.15 1.3 0.34 The market index has a standard deviation of 0.22, and the risk-free rate is 0.03 What percentage of stock A's total risk is attributable to systematic risk (or market risk)? Here consider variance as the risk measure. Round your answer to 4 decimal places. For example if your answer is 3.205%, then please write down 0.0321.
Stock A has the following returns over the past periods. Calculate the downside risk measured by semi-variance? (answer with 4 decimal spaces) 0.0057 -0.0255 0.0621 -0.0879 -0.0983 0.0813 0.0356 -0.0015 -0.0307 0.0427 0.0297 0.0192
Consider two stocks, Stock D with an expected return of 21 percent and a standard deviation of 36 percent and Stock I, an international company, with an expected return of 9 percent and a standard deviation of 24 percent. The correlation between the two stocks is -22. What are the expected return and standard deviation of the minimum variance portfolio? (Round your answer to 2 decimal places. Omit the "%" sign in your response.) Expected return Standard deviation % %
A single stock, A has a variance of 0.006 and a covariance with the market portfolio given by 0.013. The market portfolio has an expected return of 10.50%, a market risk premium 4.30% and a variance of 0.013. What is the stock's fair expected return under the CAPM?
Stock A has a return variance (that is σ2) of 0.02. The market portfolio has a return variance of 0.03. The covariance between stock A’s return and market portfolio’s return is 0.01. Stock A has an expected return of 0.09, while the market has an expected return of 0.12. What is the expected return and standard deviation of a portfolio that is 65% invested in A and 35% invested in the market portfolio? a. ER = 10.1%, σ = 12.9% b. ER = 10.8%, σ = 16.7% c. ER = 10.1%, σ = 16.7% d. ER = 9.0%, σ = 12.9% e. ER = 8.5%, σ = 10.1%
Refer to the table below: Expected return, E(R) Standard deviation, o Correlation 3 Doors, Inc. 18% 33 Standard Deviation = 0.22 Down Co. 6% 17 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.) Expected Return =
Stock Y has a Beta of 0.95 while the standard deviation of its residual is 0.24. The standard deviation of the Market portfolio is 0.19. What percent of the total variance of Stock Y comes from systematic risk? Group of answer choices 36.1% 59.0% 62.3% 44.4% None of the above
Suppose the expected returns and standard deviations of Stocks A and B are E(RA) = .092, E(RB) = 152, đA = .362, and Og = .622. %3D Calculate the expected return of a portfolio that is composed of 37 percent A and 63 percent B when the correlation between the returns on A and B is .52. (Do not a-1. round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Calculate the standard deviation of a portfolio that is composed of 37 percent A and 63 percent B when the correlation coefficient between the returns on A and B is .52. а-2. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Calculate the standard deviation of a portfolio with the same portfolio weights as in h part (a) when the correlation coefficient between the returns on A and B is -.52. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) a-1.…
QUESTION 1 Under which of the following scenarios, the minimum variance portfolio that contains two stocks has the smallest standard deviation? OA. The correlation between the two stock returns is -1 OB. The correlation between the two stock returns is -0.2 OC. The correlation between the two stock returns is 0.2 OD. The correlation between the two stock returns is 0.5
A portfolio is composed of two stocks, A and B. Stock A has a standard deviation of return of 23%, while stock B has a standard deviation of return of 17%. Stock A comprises 70% of the portfolio, while stock 8 comprises 30% of the portfolio. If the variance of return on the portfolio is 0.040, the correlation coefficient between the returns on A and B is. Multiple Choice 0.699 0.489 0.210 0.119
Consider two stocks, Stock D, with an expected return of 19 percent and a standard deviation of 34 percent, and Stock I, an international company, with an expected return of 7 percent and a standard deviation of 22 percent. The correlation between the two stocks is -0.20. What are the expected return and standard deviation of the minimum variance portfolio? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Expected return Standard deviation 7.66 % 10.07%
A portfolio is comprised of equal weights of two stocks labeled Stock X and Stock Y. The covariance between Stock X and Stock Y is 0.10. The standard deviation of Stock X is 0.50, and the standard deviation of Stock Y is 0.50. Which of the following comes closest to the variance of the portfolio? Select one: a. 0.60 b. 1.00 c. 0.42 d. 0.18 e. 0.55

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