You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Rp 16.00% ор 32.00% 15.00 27.00 7.30 17.00 Bp 1.90 1.25 0.75 1.00 0 Market Risk-free 11.30 5.80 22.00 0 Assume that the tracking error of Portfolio X is 13.40 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.

An investor has a portfolio of two assets A and B. The details are shown in the below table. Portfolio Details Asset Expectedreturn Standarddeviation Covariance (A, B) Expected Portfolio Return   A 0.06 0.5 0.12 0.1 B 0.08 0.8   Which one of the following statements is NOT correct? a. The portfolio weight in asset A is -100%. b. The correlation of asset A and B’s returns is 0.3. c. The investor can benefit from a fall in the price of asset A. d. The variance of the portfolio is 2.33. e. The order of short selling is borrowing, buying, selling, and returning.

Asset A has a standard deviation of 0.17, and asset B has a standard deviation of 0.52. Assets A and B have a correlation coefficient of 0.44. What is the standard deviation of a portfolio consisting with a weight of 0.40 in asset A, a weight of 0.24 in asset B, and the remainder invested in a risk-free asset? Give your answer to four decimal places.

If you plot the relationship between portfolio expected return and portfolio beta, what is the slope of the line that results? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) | Slope of the line %

Baghiben

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.

Portfolio  Suppose      rA ~ N (0.05, 0.01), rB ~ N (0.1, 0.04) with pA,B = 0.2 where rA and rB are CCR’s.  a) Suppose you construct a portfolio with 50% for A and 50% for B. Find the variance of the portfolio CCR. b) Find the portfolio expected gross return. c) Find the expected portfolio CCR.

e. Calculate the Portfolio Return when you know that its composition is as follows: Asset A: Weight 25%, Return 11% Asset B: Weight 45%, Return 14% Asset C: Weight 30%, Return 16%

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