You manage a risky portfolio with an expected rate of return of 10% and a Stall chooses to invest 80% of a portfolio in your fund and 20% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client's? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Your reward-to-volatility (Sharpe) ratio Client's reward-to-volatility (Sharpe) ratio
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- You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 28%. The T-bill rate is 7%. Your client's degree of risk aversion is A = 2.0, assuming a utility function u E(r) = A0². a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Investment proportion y Expected return Standard deviation - % b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % %Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 46%. The T-bill rate is 4%. Your client chooses to invest 85% of a portfolio in your fund and 15% in a T-bill money market fund. Required: a. What are the expected return and standard deviation of your client's portfolio? (Round your answers to 1 decimal place.) Expected retum Standard deviation b. Suppose your risky portfolio includes the following investments in the given proportions: 30% 30 40 Stock A Stock B Stock C What are the investment proportions of your client's overall portfolio, including the position in T-bills? (Round your answers to 1 decimal place.) Security T-Bills Stock A Stock B Stock C Investment Proportions % per year % per year % % % % Risky portfolio Client's overall portfolio c. What is the reward-to-volatility ratio (S) of your risky portfolio and your client's overall portfolio? (Round your answers to 4 decimal places.) Reward-to-Volatility RatioYou manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 30%. The T-bill rate is 6%. Your client’s degree of risk aversion is A = 3.4, assuming a utility function U = E(r) - ½Aσ². a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. What is the expected value and standard deviation of the rate of return on your client’s optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
- You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 30%. The T-bill rate is 4%. Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client’s? (Do not round intermediate calculations. Round your answers to 4 decimal places.)You manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 29%. The T-bill rate is 3%. Your client chooses to invest 65% of a portfolio in your fund and 35% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client's? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Your reward-to-volatility (Sharpe) ratio Client's reward-to-volatility (Sharpe) ratioYou manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 34%. The T-bill rate is 8%. Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolio's standard deviation will not exceed 19%. a. What is the investment proportion, y? (Round your answer to 2 decimal places.) Investment proportion y b. What is the expected rate of return on the complete portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Rate of return % %
- You manage a risky portfolio with an expected rate of return of 21% and a standard deviation of 33%. The T-bill rate is 7%. Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client's? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Your reward-to-volatility ratio Client's reward-to-volatility ratioYou manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 31%. The T-bill rate is 5%. Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject to the constraint that the complete portfolio’s standard deviation will not exceed 19%. a. What is the investment proportion, y? (Round your answer to 2 decimal places.) b. What is the expected rate of return on the complete portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.)You manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 34%. The T-bill rate is 6%. Your client's degree of risk aversion is A = 1.7. Required: a. What proportion, y, of the total investment should be invested in your fund? b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? Complete this question by entering your answers in the tabs below. Required A Required B What proportion, y, of the total investment should be invested in your fund? Note: Round your answer to 2 decimal places. Investment proportion y %
- Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 42%. The T-bill rate is 6%. Your client chooses to invest 85% of a portfolio in your fund and 15% in a T-bill money market fund. Required: a. What are the expected return and standard deviation of your client's portfolio (Round your answers to 1 decimal place.) Expected return Standard deviation b. Suppose your risky portfolio includes the following investments in the given proportions: 26% 35 39 Stock A Stock B Stock C What are the investment proportions of your client's overall portfolio, including the position in T-bills? (Round your answers to 1 decimal place.) Security T-Bills Stock A Stock B Stock C % per year % per year Investment Proportions % % % %Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 30%. The T-bill rate is 6%. Your client decides to invest in your risky portfolio a proportion (y) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have an expected rate of return of 13% a. What is the proportion y? (Enter your answer as a decimal number rounded to 2 decimal places.) Proportion y b. What is the standard deviation of the rate of return on your client's portfolio? (Enter your answer as a percentage rounded to two decimal places.) Standard % per year deviationSuppose that you have access to two funds. Fund 1 has a ČAPM beta of 0.4, Fund 2 has a CAPM beta of 1.9. Fund 1 has an average return of 8.5% and Fund 2 has an average return of 10.5%. The riskless rate is 5% and the market risk premium is 7%. You would like to construct a Betting-against-Beta (BaB) strategy by levering up Fund 1 and delevering Fund 2 so that both have a beta of 1.75. Assume that you can borrow and lend at the riskless rate. What is the expected return on the zero-cost strategy long in levered Fund 1 and short in delevered Fund 2? A.8.00% B.4.39% C.2.93% D.10.25%