Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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Question
You have $20,000 available to invest in two securities A and B and a one-year investment
horizon. Security A has an expected return of 10% and a standard deviation of 30% while
security B has an expected return of 5% and a standard deviation of 20%. If the returns on these
securities are perfectly negatively correlated, the expected return of the minimum variance
portfolio is closest to:
A. 6.67%.
B. 7.00%.
C. 8.00%.
D. 8.33%.
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- Two risky assets: A and B. The expected return for A is 15% and for B 30%. The variance for returns for A is 200(%2) and for B is 800(%2). The covariance between A and B returns is -0.05. T-bills give a return of 5% with a standard deviation of 0%. The investor has a risk aversion index, A=5.0. Show all work. 1. calculate the correlation between A and B 2. calculate portfolio return / standard deviation for global mvp 3. optical risky portfolio, P (expected return and SD) 4. slope of CAL 5. how much will the investor invest (A=4) in T-bills, assets A and B?arrow_forwardThe expected return for the investment is ??? The standard deviation is ??? While the expected return for the risk-free assets, Treasury Bills, is ??? The standard deviation is ???arrow_forward
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