You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:PortfolioXYZMarketRisk-freeRp11.0%ор33.00%10.028.008.110.45.218.0023.00Өвр1.451.200.751.00ӨAssume that the correlation of returns on Portfolio Y to returns on the market is 0.66. What percentage of Portfolio Y's return is drivenby the market?Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.R-squared

To find the percentage of Portfolio Y's return driven by the market (R-squared), you can use the…

Answered: You are given the following information…

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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Nikul
Suppose a portfolio is given as follows: Securities Weight BPW CJW AJT O 6.0% O 5.0% 0.3 O 5.1% 0.4 O 7.0% Onone listed Expected Standard Return Deviation 6% 7% 0.3 5% What is the expected return of the portfolio (to 1 decimal place)? 6% 4% 3%
Given the following probability distribution, what is the expected return and the standard deviation of returns for Security J? The answer choice lists expected return and standard deviation in the respective order. State 1 2 3 Pri 0.2 O 12%; 5.18% O 15%; 3.16% O 15%; 6.50% 0.6 0.2 O 20%; 5.00% 15%; 10.00% rj 10% 15 20
Consider following information on a risky portfolio, risk-free asset and the market index. What is the Sharpe ratio of the market index? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta 1.2
Consider following information on a risky portfolio, risk-free asset and the market index. What is the M2 of the risky portfolio? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta
Which of the following portfolios constitute the efficient set: Portfolio Expected return (%) Standard deviation (%) 1 10 12 2 8 10 3 20 18 4 15 11 5 22 20 6 18 15 7 15 12
4. Valuation of a Derivative Consider a derivative on a stock with the time to expiration T and the following payoff: 0 K₁ 0 if ST K₁. What is the present value of the derivative? Provide an analytic expression of the price using N(), the cumulative probability distribution function of a standard normal random variable.
Given the following probability distributions, what are the expected returns for the Market and for Security J? Statei Pr i rM rJ 1 0.3 −10% 40% 2 0.4 10 −20 3 0.3 30 30
Which of the following is included inthe risk-free rate? O A. the default premium O B. the expected inflation premium O C. the liquidity premium O D. the maturity premium O E. All of the above are included in the risk-free rate. Reset Selection
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp op Bp X 14.0% 31% 1.35 Y 13.0 26 1.10 Z 7.0 14 .75 Market 10.2 19 1.00 Risk-free 6.0 0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.) Sharpe Ratio Treynor Ratio Jensen's Alpha Portfolio X % Y % Z % Market %
Give typing answer with explanation and conclusion
Consider the probability distribution p(s) of the returns rA and rB of two securities A and B: state p(s) rA rB роог 0.2 0.1 0.16 medium 0.5 0.2 0.1 доod 0.3 0.3 0.05 Calculate the covariance oAB between rA and rB. The correct answer (up to four decimals is) Select one: GAB = 0.0013 GAB = -0.0027 GAB = -0.0102 None of the above

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