Suppose you create a portfolio with two securities: Security Security Weight (%) Security Variance (%) X 70 18 Y 30 22 If the correlation coefficient between the two securities is -0.2, what is the standard deviation of the portfolio？
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Suppose you create a portfolio with two securities:
|
Security |
Security Weight (%) |
Security Variance (%) |
|
X |
70 |
18 |
|
Y |
30 |
22 |
If the correlation coefficient between the two securities is -0.2, what is the standard deviation of the portfolio？
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- Assume that two securities, A and B, constitute the market portfolio, their proportions and variances are 0.39, 160, and 0.61, 340, respectively. The covariance of the two securities is 190. Estimate the systematic risk (beta) of the two securities. Note that the covariance of security-i with the market portfolio is simply the weighted average of the covariances of security-i with all the securities included in the market portfolio – the lesson you learned in the context of the bordered covariance matrix. Answer step by step.Do all part.Answer must be correct.Which of the two securities are the best? By using probability estimates, below is the computation of ff. statistics: Statistic Security A Security B Expected return Standard deviation 12% 20% 8% 10% Requirement Calculate the coefficient of variation for each security Explain why the standard deviation and coefficient of variation give different ranking of risk. Which method is superior and why?What is the standard deviation of the following portfolio if the coefficient of the correlation between the two securities is equl to 0.5? Variance % Proportion of investment in the portfolio security 1 10 0.3 security 2 20 0.7
- A portfolio manager creates the following portfolio: Security Security Weight Expected Standard Deviation 1 0.25 0.55 2 0.75 0.36 If the correlation of returns between the two securities is -0.10, the standard deviation of the portfolio is closest to 44%. 97%. 05%. 12%.Security X has expected return of 14% and standard deviation of 22%. Security Y has expected return of 16% and standard deviation of 28%. If the two securities have a correlation coefficient of 0.8, what is their covariance? 0.049 0.038 0.018 0.013Expected return of the X security is 12% and its standard deviation is 20%. Expected return of the Y security is 15% and its standard deviation is 27%. If, the correlation coefficient of the two securities is 0.7; then, what is the covariance between these two securities? A) 0.038B) 0.070C) 0.018D) 0.013E) 0.054
- Consider 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 = -0.14An investiment portfolio consists of two securities, X and Y. The weight of X is 30%. Asset X's expected return is 15% and the standard deviation is 28%. Asset Y's expected return is 23% and the standard deviation is 33%. Assume the correlation coefficient between X and Y is 0.37. A. Calcualte the expected return of the portfolio. B. Calculate the standard deviation of the portfolio return. C. Suppose now the investor decides to add some risk free assets into this portfolio. The new weights of X, Y and risk free assets are 0.21, 0.49 and 0.30. What is the standard deviation of the new portfolio?Consider a portfolio formed of two risky assets whose returns have a correlation of 0.5. What can be said of the standard deviation of the global minimum-variance portfolio formed with these two risky assets? It's greater than zero. It s equal to zero. O It s between - 1 and +1. O It's the weighted average of the standard deviations of the two risky assets.
- Assume that using the Security Market Line(SML) the required rate of return(RA)on stock A is found to be halfof the required return (RB) on stock B. The risk-free rate (Rf) is one-fourthof the required return on A. Return on market portfolio is denoted by RM. Find the ratio of beta of A(βA) to beta of B(βB).Portfolios A and B are both well-diversified. The risk-free rate is 8%. The return for the market is 10%. Portfolio A has an expected return of 15% and beta of 1.1. Portfolio B has an expected return of 9% and beta of 0.20. Portfolio A's variance is 9%, whilst Portfolio B's variance is 5.5%. Calculate for Portfolio A and Portfolio B the following: 1. Sharpe's Measure, 2. Treynor's Measure, 3. Jensen's Measure. Which is the better portfolio according to each measure?If the market portfolio has a required return of 0.12 and a standard deviation of 0.40, and the riskfreerate is 0.04, what is the slope of the security market line?