You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset Portfolio x 2 Market Risk-free Rp 13.60% 12.60 9.38 11.50 5.00 information ratio Op 34.00% 29.09 19.00 24.00 e Op 1.25 1.10 0.70 1.00 e Assume that the tracking error of Portfolio X is 760 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.

Suppose you have an investment portfolio with fraction x invested in a market portfolio and (1-x) in a risk- free asset. Increasing fraction x invested in the market portfolio and consequently decreasing (1-x) invested in the risk-free asset shall (select any correct answer, if there are multiple correct answers) Select one or more: O decrease the Sharpe ratio of the resulting portfolio O decrease the expected return of the resulting portfolio increase the Sharpe ratio of the resulting portfolio increase the expected return of the resulting portfolio Dincrease the risk of the resulting portfolio

choose which one ? 3.Assume CAPM holds. What is the correlation between an efficient portfolio and the market portfolio?a.1b.-1c.0d.Not enough information

You are choosing between the following portfolios.  Which one do you choose? Select one: a. ASD b. JKL c. Not enough information

(Portfolio VaR) Suppose there are two investments A and B. Either investment A or B has a 4.5% chance of a loss of $15 million, a 2% chance of a loss of $2 million, and a 93.5% change of a profit of $2 million. The outcomes of these two investments are independent of each other.

Vijay

Consider the following two assets: Asset                                        Expected return                                    Standard deviation of returns 1                                                        18%                                                                 30% 2                                                          8%                                                                  10% The returns on the two assets are perfectly negatively correlated (i.e. coefficient of -1). Calculate the proportions of assets 1 and 2 that generate a portfolio with a standard deviation of zero. What is the expected return of that portfolio?

Considering the attached set of securities and portfolio returns: Find the combination of the weights that minimizes CV of the portfolio.  How does the CV of the optimal portfolio compare with the CVs of its constituents?

Vijay

Refer to the graph below, what is the beta of portfolio X under CAPM? E(r) A 0.14 0.10 0.06 N Beta of portfolio X = place) M X o(r) (to the nearest 1 decimal