Security F has an expected return of 10 percent and a standard deviation of 43 percent per year. Security G has an expected return of 15 percent and a standard deviation of 62 percent per year. a. What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent of Security G? b. If the correlation between the returns of Security F and Security G is .25, what is the standard deviation of the portfolio described in part (a)?

Question 3 a. According to the Capital Asset Pricing Model, what must be the beta of a portfolio with E[r] = 12%, if rf 3% and E[TM] = 8%? b. The market price of a security is $50. Its expected rate of return is 16%. The risk-free rate is 8%, and the market risk premium is 8.5%. What will be the market price of the security if its covariance with the market portfolio doubles (and all other variables remain unchanged)? Assume that the stock is expected to pay a constant dividend in perpetuity.

Question 3 A portfolio consisting of 5 securities could have its beta factor computed Security % of portfolio Beta factor of A B с D E 20 10 15 20 35 security 0.90 1.25 1.10 1.15 0.70 as follows: Weighted beta factor 0.180 0.125 0.165 0.230 0.245 If the risk-free rate of return is 12% and the expected return on the market is 20%. Determine the expected return of this portfolio.

please provide that correct. thank you.

2

Problem 11-27 Portfolio Standard Deviation Security F has an expected return of 11.1 percent and a standard deviation of 44.1 percent per year. Security G has an expected return of 16.1 percent and a standard deviation of 63.1 percent per year. a. What is the expected return on a portfolio composed of 29 percent of Security F and 71 percent of Security G? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. If the correlation between the returns of Security F and Security G is .24, what is the standard deviation of the portfolio described in part (a)? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) a. Expected return b. Standard deviation 14.65 60.91 %

Portfolio theory with two assets E(R1)=0.15 E(01)= 0.10 W1=0.5 E(R2)=0.20 E(02) = 0.20 W2=0.5 Calculate the expected return and the standard deviation of the two portfolios if r1,2 = 0.4 and -0.60 respectively.

Could part 2 be answered

Finance

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