An investors invests in a combination of the market portfolio and the risk-free asset. The expected retun and standard deviation for the market portfolio are 13% and 27%. The risk-free rate is 4%. If the standard deviation for this portfolio is 30%, what is the weight of the risk-free asset in this portfolio? (Note, please retain at least 4 decimal places in your calculations and at least 2 decimal places in your final answer.) % of his wealth in the risk-free asset. The investor invests

An investors invests in a combination of the market portfolio and the risk-free asset. The expected retun and standard deviation for the market portfolio are 13% and 27%. The risk-free rate is 4%. If the standard deviation for this portfolio is 30%, what is the weight of the risk-free asset in this portfolio? (Note, please retain at least 4 decimal places in your calculations and at least 2 decimal places in your final answer.) % of his wealth in the risk-free asset. The investor invests

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 information is provided: The risk-free rate is 2% The expected market returns are 11% If the beta of an asset changes from 0.8 to 1.5, what is the additional return that you require on this asset (in %, please round on 2 decimals)?
What must be the beta of a portfolio with E(rp) Round your answer to 2 decimal places.) Beta of a portfolio 14.5%, if rf = 4% and E(TM) = 10% ? (C
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 9 percent and 14 percent, respectively. The standard deviations of the assets are 25 percent and 33 percent, respectively. The correlation between the two assets is .33 and the risk - free rate is 4.2 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 2.5 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.)
Consider a portfolio that offers an expected rate of return of 13% and a standard deviation of 20%. T-bills offer a risk-free 4% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Maximum level of risk aversion must be
a. Using the data provided in problem 3, determine the return and risk for a portfolio made up of the following three stocks if you want to distribute your investment as follows: 20% in ADRE; 65% in MSFT and 15% in GOOG.b. How would the portfolio be affected if you distributed your investment in the following way: 30% in ADRE; 25% on MSFT and 45% on GOOG?c. Which of the two portfolios would a risk seeking investor prefer and why?
Please see attached.
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 16.00% бр 32.00% 15.00 27.00 7.30 17.00 11.30 5.80 22.00 0 Bp 1.90 1.25 0.75 1.00 0 Assume that the tracking error of Portfolio X is 13.40 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places. Information ratio
You are currently considering in investing Rs.1.2 million in equity investment portfolio. Your analysis reveals that equity stock of the following three companies are suitable options for your investment. Company P R Expected retum (%) Standard deviation (%) Correlation coefficient; 25 22 20 30 26 24 PQ QR -0.5 +0.4 PR +0.6 You are required to; (a) Calculate the expected returm of the portfolio if Rs.1.2 million is equally invested in the stocks of all three companies.
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 16 percent. respectively. The standard deviations of the assets are 29 percent and 37 percent, respectively. The correlation between the two assets is 41 and the risk-free rate is 3.4 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 2.5 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.) Sharpe ratio Smallest expected loss %
Asset W has an expected return of 13.25 percent and a beta of 1.3. If the risk-free rate is 4.55 percent, complete the following table for portfolios of Asset W and a risk-free asset. (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Enter your portfolio expected return answers as a percent rounded to 2 decimal places, e.g., 32.16. Enter your portfolio beta answers rounded to 3 decimal places, e.g., 32.161.) Percentage of Portfolio in Asset W Portfolio Expected Return Portfolio Beta 0 % % 25 % 50 % 75 % 100 % 125 % 150 %
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You invest $96 in a risky asset and the T-bill. The risky asset has an expected rate of return of 19% and a standard deviation of 0.22, and a T-bill with a rate of return of 4%. A portfolio that has an expected outcome of $110 is formed by investing what dollar amount in the risky asset? Round your answer to the nearest cent (2 decimal places).

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