11, 5

Consider the following information: State of Probability of Rate of Return If State Occurs Economy State of Economy Stock A Stock B Stock C Boom .19 .366 .466 .346 Good .41 .136 .116 .186 Poor .31 .026 .036 .091 Bust .09 .126 .266 .106 Your portfolio is invested 31 percent each in A and C and 38 percent in B. What is the expected return of the portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return % What is the variance of this portfolio? (Do not round intermediate calculations and round your answer to 5 decimal places, e.g., 32.16161.)

Variance What is the standard deviation of this portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Standard deviation %

Chapter 11, 6

You own a stock portfolio invested 27 percent in Stock Q, 17 percent in Stock R, 43 percent in Stock S, and 13 percent in Stock T. The betas for these four stocks are .96, 1.02, 1.42, and 1.87, respectively. What is the portfolio beta? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Portfolio beta:

11.9

A stock has a beta of 1.23 and an expected return of 12.1 percent. A risk-free asset currently earns 3.95 percent. a. What is the expected return on a portfolio that is equally invested in the two assets? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return % b. If a portfolio of the two assets has a beta of .83, what are the portfolio weights? (Do not round intermediate calculations and round your answers to 4 decimal places, e.g., 32.1616.)

Weight of the stock
Weight of the risk-free asset

c. If a portfolio of the two assets has an expected return of 11.3 percent, what is its beta? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) Beta d. If a portfolio of the two assets has a beta of 2.43, what are the portfolio weights? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to 4 decimal places, e.g., 32.1616.)

Weight of the stock
Weight of the risk-free asset