Use the table for the question(s) below.Consider the following covariances between securities:Duke Microsoft WalmartDuke0.0568 -0.0193 0.0037Microsoft -0.0193 0.2420 0.1277Wal-Mart 0.0037 0.12770.1413IIThe variance on a portfolio that is made of up a $4000 in Duke and a $5000 investment in Walmart is:(round to three decimal places)

Weight of investments in duke energy= (4000 / (4000+5000) = 0.444444444444444Weight of investment…

Use the table for the question(s) below. Consider the following covariances between securities: Microsoft Walmart Duke 0.0568 -0.0193 0.0037 0.1277 0.1413 Duke Microsoft -0.0193 0.2420 Wal-Mart 0.0037 0.1277 The variance on a portfolio that is made of up a $4000 in Duke and a $5000 investment in Walmart is: (round to three decimal places)

Use the table for the question(s) below. Consider the following covariances between securities: Microsoft Walmart Duke 0.0568 -0.0193 0.0037 0.1277 0.1413 Duke Microsoft -0.0193 0.2420 Wal-Mart 0.0037 0.1277 The variance on a portfolio that is made of up a $4000 in Duke and a $5000 investment in Walmart is: (round to three decimal places)

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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K (Expected rate of return and risk) Syntex, Inc. is considering an investment in one of two common stocks. Given the information that follows, which investment is better, based on the risk (as measured by the standard deviation) and return? Common Stock A Probability 0.20 0.60 0.20 Common Stock B Return 13% 17% 18% Probability 0.10 0.40 0.40 0.10 (Click on the icon in order to copy its contents into a spreadsheet.) Return -7% 5% 16% 21% www a. Given the information in the table, the expected rate of return for stock A is 16.40 %. (Round to two decimal places.) The standard deviation of stock A is 1.74 %. (Round to two decimal places.) b. The expected rate of return for stock B is 9.8 %. (Round to two decimal places.) The standard deviation for stock B is 6.12 %. (Round to two decimal places.)
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 14.5% R-squared 13.5 9.1 10.7 5.4 op 36% 31 21 26 0 6p 1.60 1.30 .80 1.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 72. What percentage of Portfolio Y's return is driven by the market? (Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.)
In the CAPM world, if Sharpe ratio of the market portfolio is 1.25 and the correlation coefficient between stock i and the market portfolio is 0.60, what is the stock i's Sharpe ratio? → (1) 0.25; (2) 0.45; (3) 0.50; (4) 0.75; (5) 0.80; (6) 1.00; (7) 1.25; 8 (8) 1.50; (9) 1.75; (10) 2.05;
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？
Syntex, Inc. is considering an investment in one of two common stocks. Given the information that follows, which investment is better, based on the risk (as measured by the standard deviation) and return? Common Stock A Common Stock B Probability Return Probability Return 0.35 13% 0.25 −7% 0.30 17% 0.25 8% 0.35 21% 0.25 15% 0.25 23% (Click on the icon in order to copy its contents into a spreadsheet.) Question content area bottom Part 1 a. Given the information in the table, the expected rate of return for stock A is enter your response here%. (Round to two decimal places.)
Given the following excess return index model regression results Ra*= -0.059616 + 0.957478Rm* where; \sigma M = 0.80226720, the return on the market portfolio is 0.085306, and the risk-free rate is 0.018302. Note Ra* and Rm* are excess returns. Calculate the actual return for Stock A. Round to 4 decimals, and present answer as a decimal (.08, not 8%) Answer: 0.0228
Assume the CAPM holds and consider stock X, which has a return variance of 0.09 and a correlation of 0.75 with the market portfolio. The market portfolio's Sharpe ratio is 0.30 and the the risk-free rate is 5%. (a) What is Stock X's expected return? (b) What proportion of Stock X's return volatility (i.e. standard deviation) is priced by the market? Explain why this number is less than 1.
2. Suppose that the market model for stocks A and B is estimated with the following results: RA = 1% +0.9*RM+EA RB = -2% + 1.1*RM+EB The standard deviation of the markets returns is 20% and firm specific risk (standard deviation) equals 30% for A and 10% for B. a. Compute the risk (standard deviation) of each stock and the covariance between them. Suppose we form an equally weighted portfolio of stocks A and B. What will be the nonsystematic standard deviation of that portfolio? b.
Please help me find the variance on this 3 stock portfolio.
Help me please
Suppose that the capital asset pricing model (CAPM) applies. The risk premium of a stock is 3 percent and the risk premium of the market portfolio is 2. The standard deviation of the market portfo- lio is 6. Compute the covariance between the stock and the market portfolio.
Q1: Suppose there are (N) securities in the market and it is Expected return for each security = 10%. It was a contrast For any security = 0.0144 and the deviation was The common (covariance) between any two cards = 0.0064 Required: 1-Determine the expected return and variance of a portfolio consisting of... (N) paper, note that the relative weight of all papers equal = 1-N? 2- Explain what happens to the variance of this portfolio as it increases value(N)?

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