n an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8% with Beta of 0.5, find a zero-beta portfolio and state its return. [Note a negative amount indicates short-selling, which we assume is allowed here]
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In an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8% with Beta of 0.5, find a zero-beta portfolio and state its return. [Note a negative amount indicates short-selling, which we assume is allowed here]
Question 8 options:
67% in A, 33% in B; -3%
-50% in A, 150% in B; 1%
-100% in A, 200% in B; 6%
0% in A, 100% in B; 8%
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- Find the Risk-Free Rate given the Expected Return on Stock Y is 20 %, the Expected Return on Market Portfolio is 24 % and Beta for Stock Y is 0.8. Select one: O a. 4% b. 5% c. 6% d. 7% e. NoneFind the Risk-Free Rate given the Expected Return on Stock Y is 20 %, the Expected Return on Market Portfolio is 24 % and Beta for Stock Y is 0.8. Select one: O a. 5% O b. None O c. 6% O d. 4% O e. 7%A call option with X = $50 on a stock currently priced at S = $55 is selling for $10. Using a volatility estimate of σ = .30, you find that N(d1 ) = .6 and N(d2 ) = .5. The risk-free interest rate is zero. Is the implied volatility based on the option price more or less than .30? Explain.
- You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Rp 15.5% op 36% вр 1.35 1.15 14.5 7.4 0.60 11.7 1.00 7.0 Portfolio X Y Z Market Risk-free What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? Note: 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. Portfolio X Y Z Market 31 21 26 0 X Answer is complete but not entirely correct. Jensen's Alpha 2.16 2.10 -2.42 0 Sharpe Ratio 23.61111 24.19355 X 1.90476 x 18.07692 x Treynor Ratio 11.48148 x 6.52174 X 0.66667 4.70000 % % % %Stock A has a beta of 1.30, and its required return is 11.35%. Stock B's beta is 0.80. If the risk-free rate is 2.90%, what is the required rate of return on B's stock? (Hint: First find the market risk premium.) Do not round your intermediate calculations. a. 8.10% b. 6.50% c. 7.56% d. 8.45% e. 8.77%Stock A has a beta of 1.2, and its required rate of return is 11.00%. Stock B's beta is 0.80. If the risk-free rate is 4.50%, what is the required rate of return on Stock B? (Ch. 8) Group of answer choices 9.45% 7.07% 8.39% 8.83% 7.95%
- Consider the following information: Expected Return Portfolio Risk-free Market A Expected return 10% 15.0 11.2 Alpha Required: a. Calculate the expected return of portfolio A with a beta of 0.6. (Round your answer to 2 decimal places.) Beta 0 1.0 0.6 % b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) % CheA portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. The risk-free rate is 6%. An investor has the following utility function: U = E(r) - (A/2)s2. Which value of A makes this investor indifferent between the risky portfolio and the risk-free asset? A. 5 B. 8 C. 6 D. 7If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume the risk-free rate is 5%. A) Portfolio A Market B) A Market Portfolio Expected Return A Market Expected Return D) 15% 15% Portfolio Expected Return Portfolio 20% 15% 20% 15% Expected Return A 30% Market 15% All options are possible. Option A Option D Option B Option C 1.2 1.0 Beta 1.2 1.0 Beta 12% 20 Beta 2.5 1.0 Beta
- You are given the following information concerning three portfollos, the market portfollo, and the risk-free asset: ºp 31% 26 Portfolio X Y Z Market Risk-free Portfolio Rp 14.0% 13.0 7.0 10.2 6.0 Y Z Market What are the Sharpe ratlo, Treynor ratio, and Jensen's alpha for each portfolio? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. not round Intermediate calculations. Round your ratlo answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places. 19 0 Sharpe Ratio 6p 1.35 1.10 0.75 1.00 3 Treynor Ratio Jensen's Alpha 96 86Consider the single factor APT. Portfolio A has a beta of 1.5 and an expected return of 19 %. Portfolio B has a beta of 0.8 and an expected return of 15%. The risk-free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio Multiple Choice A.A AB 8,8You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Rp 15.0% 14.0 8.3 11.2 4.8 Portfolio X Y Z Market Risk-free op Portfolio X Y Z Market 31% 26 16 21 0 вр A 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 rati answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.) Sharpe Ratio 32.90323 35.38462 21.87500 1.85 1.25 .85 1.00 0 Treynor Ratio 5.51351 7.36000 4.11765 Jensen's Alpha -1.64% 1.20 % -1.94% %