1. Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:

Portfolio	RP		P		P
X	12.5	%	34	%	1.5
Y	11.5		29		1.20
Z	7.1		19		0.8
Market	10.5		24		1
Risk-free	6.2		0		0

Assume that the correlation of returns on Portfolio Y to returns on the market is 0.68. What is the percentage of Portfolio Ys return that is driven by the market? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Ys return explained by market

%

a.	2. A stock has an annual return of 10.6 percent and a standard deviation of 42 percent. What is the smallest expected gain over the next year with a probability of 1 percent? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Smallest expected gain

%

3. Tyler Trucks stock has an annual return mean and standard deviation of 10 percent and 45 percent, respectively. Michael Moped Manufacturing stock has an annual return mean and standard deviation of 10.4 percent and 51 percent, respectively. Your portfolio allocates equal funds to Tyler Trucks stock and Michael Moped Manufacturing stock. The return correlation between Tyler Trucks and Michael Moped Manufacturing is .5. What is the smallest expected loss for your portfolio in the coming month with a probability of 1 percent? (Negative amounts should be indicated by a minus sign. Omit the "%" sign in your response. Round your answer to 2 decimal places.)

Smallest expected loss

%

4. You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 13 percent and 16 percent, respectively. The standard deviations of the assets are 39 percent and 47 percent, respectively. The correlation between the two assets is 0.61 and the risk-free rate is 5.3 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 1 percent? (Negative amounts should be indicated by a minus sign. Round your Sharpe ratio answer to 4 decimal place & Probabilityanswer to 2 decimal places. Omit the "%" sign in your response.)

Sharpe ratio
Smallest expected loss	%