The risk-free rate is 5.25%. The expected return on the market is 12% with a standard deviation of 18%. What is the standard deviation of an efficient portfolio with a 16% expected return? 7.33 % 10.12% 28.67% 19.11%
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- An optimal risk portfolio’s expected return is 14%, standard deviation is 22%. If risk-free rate is 6%, then what would be slope of the best CAL? A) 0.64B) 0.14C) 0.08D) 0.33E) 0.36What is the standard deviation of an efficient portfolio with a 21.4-percent expected rate of return, given that RF is 6.4 percent, ERMis 9.4 percent, and OM is 25.4 percent? O 47.24 percent O 254.00 percent O 127.00 percent O 117.00 percentThe risk-free rate is 2%, the market risk premium is 8.00%, and portfolio A has a beta of 2. What is the required rate of return on this portfolio?
- Suppose the risk-free rate is 6 percent and the market portfolio has an expected return of 12 percent. The market portfolio has a standard deviation of 7 percent. Portfolio Z has a correlation coefficient with the market of 0.35 and standard deviation of 6 percent. According to the capital asset pricing model, what is the expected return on portfolio Z a. 12.6 percent b. 7.8 percent c. 9.87 percent d. 12.05 percentThe optimal risky portfolio has an expected return of 15% and a standard deviation of 10%. The risk-free rate is 1%. What is the fraction of wealth that should be invested in the optimal risky portfolio (with the rest in the risk-free asset) for a risk-averse investor with a risk aversion coefficient A equal to 1.7? O 83.33% 88.24% 78.95% 75%The average return on the Market is 12% while the market risk premium is 7%. What is the require rate of return of the portfolio? (In percentage)
- If 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) Expected Portfolio Return. 18% 18% A Market (8) Expected Standard Portfolio Return Deviation 219 168 A Market C) Expected Portfolio Return 218 168 A Market D) Portfolio A Market Beta 1.1 1.0 Expected Return 27.14 18% 118 198 Beta 1.1 1.0 Beta 1.7 1.0An investment has probabilities 0.15, 0.34, 0.44, 0.67, 0.2 and 0.15 of giving returns equal to 50%, 39%, -4%, 20%, -25%, and 42%. What are the expected returns and the standard deviations of returns?A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market rate of return is 13.5%, the standard deviation is 20%, and the market's Treynor measure is 0.10. What is the value of the Treynor measure of this portfolio? What is the information ratio of this portfolio? O a. 2%, 0.103 O b. 5%, -0.167 O c. 5%, 0.167 O d. 2%, -0.103 Next page
- Consider a portfolio exhibiting an expected return of 6% in an economy where the riskless interest rate is 1%, the expected return on the market portfolio is 10% and the standard deviation of the return to the market portfolio is 5%. Assuming that the portfolio is efficient, determine: • its beta • the standard deviation of its return • its correlation with the market returnIf 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 Expected Return Beta A 15 % 1.1 Market 15 % 0.9 B) Portfolio Expected Return Standard Deviation A 18 % 11 % Market 13 % 19 % C) Portfolio Expected Return Beta A 18 % 1.1 Market 13 % 1.0 D) Portfolio Expected Return Beta A 29.0 % 2.4 Market 15 % 1.0A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market rate of return is 12%, the standard deviation is 20%, and the market's Treynor measure is 0.10. What is the value of the Treynor measure of this portfolio? What is the information ratio of this portfolio? O a. 5%, -0.065 O b. 5%, 0.065 O c. 9%, 0.167 O d. 5%, -0.167