Consider the following two securities X and Y. Y Security Expected Return Standard Deviation Beta 12.5% 10.0% Risk-free asset 5.0% OA. 1.33 ○ B. 0.88 OC. 1.17 OD. 1.67 20.0% 1.5 30.0% 1.0
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- Consider the following two securities X and Y. Security Return Standard Deviation X 20.0% Y 10.0% 20.0% 30.0% Risk-free asset 5.0% Beta 1.50 1.0 Which asset (X or Y) in Table 8.3 has the least total risk? Which has the least syst O Y; X. O X; Y. O Y; Y. ○ X; X.Consider two securities, A and B, whose standard deviations of returns and betas are given below: Security A Security B Standard deviation 15% 25% Beta 1.30 0.75 Which security will have the higher risk premium? Security A or B?You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 11.0% ор 33.00% 10.0 28.00 8.1 10.4 5.2 18.00 23.00 Ө вр 1.45 1.20 0.75 1.00 Ө Assume that the correlation of returns on Portfolio Y to returns on the market is 0.66. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places. R-squared
- You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 14.0% 13.0 .8.5 12.0 7.2 Ор 39.00% 34.00 24.00 29.00 0 Bp 1.50 1.15 0.90 1.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.90. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places. R-squaredTwo securities have the following characteristics: Security A Security B Expected return 32% 17% Standard deviation 28% 34% Proportion (Weight) 55% 45% Beta 1.2 0.25 Correlation Coefficient 0.85 Determine the risk (standard deviation) of the portfolio with Securities A and B.6. A zero-risk portfolio has a standard deviation of: A. 0% В. 1% С. 100% D. Infinity
- 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 20Assume that you are given the following partial covariance and correlation matrices for Securities J, K and the Market. Also assume that the expected risk-free rate for the coming year is 3.0 percent and that the expected risk premium on the market is 7.0 percent. Given this information, determine the required rate of return for Security J for the coming year, using CAPM. J Market Correlation J K Market Covariance J K Market Standard Deviation O 18.48% O 20.20% O 15.48% O 12.71% O 15.04% 0.44 0.86 J 0.014400 J K 0.64 K CAN 0.016900 K 1.00 Market 0.003600 MarketConsider the following information for four portfolios, the market, and the risk-free rate (RFR): Portfolio Return Beta SD A1 0.15 1.25 0.182 A2 0.1 0.9 0.223 A3 0.12 1.1 0.138 A4 0.08 0.8 0.125 Market 0.11 1 0.2 RFR 0.03 0 0 Refer to Exhibit 18.6. Calculate the Jensen alpha Measure for each portfolio. a. A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02 b. A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014 c. A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014 d. A1 = 0.03, A2 = -0.002, A3 = 0.02, A4 = -0.14 e. A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14
- Which asset in the following table has the most market risk (also known as systematic or non- diversifiable risk)? Asset A B Asset B Asset A Return Both Assets A and C Asset C (10% 12% 14% Beta 0.74 1.00 1.25 Standard Deviation 20% 40% 30%What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (SDi), covariance (COVij), and asset weight (Wi) are as shown below? Asset (A) E(R₂) = 25% SDA = 18% WA = 0.75 COVA, B = -0.0009 Select one: A. 13.65% B. 20 U ODN 20.0% C. 18.64% D. 22.5% Asset (B) E(R₂) = 15% SDB = 11% WB = 0.25Consider the following information: Standard Deviation Beta Security C Security K Which security will have a higher expected return? Oa. C O b. K 20% 30% 1.25 0.95 A Oc Both securities will have the same expected return Od. Insufficient information to answer the question