You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 14 percent and 17 percent, respectively. The standard deviations of the assets are 40 percent and 48 percent, respectively. The correlation between the two assets is 0.63 and the risk-free rate is 4.3 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 16 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.) Sharpe ratio Smallest expected loss %

am. 113.

Suppose the average return on Asset A is 6.6 percent and the standard deviation is 8.6 percent and the average return and standard deviation on Asset B are 3.8 percent and 3.2 percent, respectively. Further assume that the returns are normally distributed. Use the NORMDIST function in Excel® to answer the following questions.    a. What is the probability that in any given year, the return on Asset A will be greater than 11 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the probability that in any given year, the return on Asset B will be greater than 11 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. In a particular year, the return on Asset A was −4.25 percent. How likely is it that such a low return will recur at some point in the future? (Do…

You are constructing a portfolio of two assets. Asset A has an expected return of 12 percent and a standard deviation of 24 percent. Asset B has an expected return of 18 percent and a standard deviation of 54 percent. The correlation between the two assets is 0.20 and the risk-free rate is 4 percent. What is the weight of each asset in the portfolio of the two assets that has the largest possible Sharpe ratio? (Do not round intermediate calculations. Enter your weights as a percent rounded to 2 decimal places. Round the Sharpe ratio to 4 decimal places.) Weight of Asset A Weight of Asset B Sharpe ratio % %

An asset has an average return of 11.45 percent and a standard deviation of 24.36 percent. What is the most you should expect to lose in any given year with a probability of 2.5 percent?

You will have a portfolio that is only comprised of two assets. You plan to allocate 47.1% into asset A, which has an expected return of 12.1%. The remainder of your portfolio will be allocated to asset B, which has an expected return of 5.9%. What is your expected return on this two-asset portfolio? State your answer as a percentage with two decimal places (i.e., 13.21, not 0.1321).

Suppose the returns on an asset are normally distributed. The historical average annual return for the asset was 5.2 percent and the standard deviation was 10.6 percent.   a. What is the probability that your return on this asset will be less than –9.7 percent in a given year? Use the NORMDIST function in Excel® to answer this question.  b. What range of returns would you expect to see 95 percent of the time?  c. What range of returns would you expect to see 99 percent of the time?

Suppose the asset S offers 12% expected return with 14% standard deviation per year, while the asset B offers 6% expected return with 8% standard deviation per year. Assume that: Scenario 1: the coefficient of correlation between Band Sand S is +0.4. Scenario 2: the coefficient of correlation between Band Sand S is -0.4. calculate the expected return and standard deviation of your portfolio under these two scenarios. How does the benefit of diversification differ between the two cases? your portfolio is 50% in S and 50% in B.

An 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?

Suppose Asset A has an expected return of 10 percent and a standard deviation of 10 percent. Asset B has an expected return of 20 percent and a standard deviation of 20 percent. If the correlation between A and B is (- 1), what are the expected return and standard deviation for a portfolio comprised of 40 percent Asset A and 60 percent Asset B?