An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 5%. The standard deviation of returns on the optimal risky portfolio is

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 5%. The standard deviation of returns on the optimal risky portfolio is

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 5%. what is the standard deviation of returns on the optimal risky portfolio is ____?
An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 0.14 and a standard deviation of return of 0.18. Stock B has an expected return of 0.15 and a standard deviation of return of 0.23. The correlation coefficient between the returns of A and B is 0.67. The risk-free rate of return is 0.11. The proportion of the optimal risky portfolio that should be invested in stock A is Please answer in decimal terms rounded to four decimal places.
An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 21% and a standard deviation of return of 39%. Stock B has an expected return of 14% and a standard deviation of return of 20%. The correlation coefficient between the returns of A and B is .4. The risk-free rate of return is 5%. The expected return on the optimal risky portfolio is approximately ____?____. Using the risk and return profile calculated in Q10 and Q11 (standard deviation of the optimal risky portfolio is 21.4%), what is the percentage weight that you need to invest in the optimal risky portfolio if you want your complete portfolio to achieve 12% return? ___?___
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"An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 9.5% and a standard deviation of return of 8%. Stock B has an expected return of 5% and a standard deviation of return of 2% . The correlation coefficient between the returns of A and B is 0.75. The risk - free rate of return is 3.5 % . The expected return on the optimal risky portfolio is Note: Express your answers in strictly numerical terms. For example, if the answer is 5%, write 0.05"
An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 17% and a standard deviation of return of 29 %. Stock B has an expected return of 12% and a standard deviation of return of 14%. The correlation coefficient between the returns of A and B is 0.4. The risk - free rate of return is 6 %. The proportion of the optimal risky portfolio that should be invested in stock B is approximately Multiple Choice 73 % 27 % 35% 65%
Consider the following two portfolios. Portfolio A has an expected return of 9%, a standard deviation of returns is 32%, and a beta of 1.5. Portfolio B has an expected return of 7.5%. The risk-free rate is 3%. Assuming the CAPM holds, and Portfolio A and B are fairly priced, then Portfolio B has a beta of? a. 0.61 ○ b. 0.98 ○ c. 1.13 ○ d. 1.09 ○ e. 1.18
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An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 12% and a standard deviation of return of 15.0%. Stock B has an expected return of 8% and a standard deviation of return of 3%. The correlation coefficient between the returns of A and B is 0.60. The risk-free rate of return is 6%. The proportion of the optimal risky portfolio that should be invested in stock A is Multiple Choice O O O 0% 60% 45% 66%
Consider the multifactor model APT with three factors. Portfolio A has a beta of 0.8 on factor 1, a beta of 1.1 on factor 2, and a beta of 1.25 on factor 3. The risk premiums on the factor 1, factor 2, and factor 3 are 3%, 5%, and 2%, respectively. The risk-free rate of return is 3%. The expected return on portfolio A is __________ if no arbitrage opportunities exist. A. 23.0% B. 16.5% C. 13.4% D. 13.5%
An investor can design a risky portfolio based on two stocks, X and Y. Stock X has an expected return of 13% and a standard deviation of return of 15%. Stock Y has an expected return of 16% and a standard deviation of return of 19%. The correlation coefficient between the returns of X and Y is 0.15. The risk-free rate of return is 3%. How much does the investor need to invest in each stock to create the optimal portfolio? O Wx=40% and Wy=60% Wx=45% and Wy=55% Wx-50% and Wy=50% Wx-55% and Wy=45% Wx-60% and Wy=40%