Question
16. The following A and B risk assets exist in the market (assume no other risk assets exist): There is a risk-free asset, and the
16.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
Stock | market value | E(R) | breakup | A,B Covariance |
A | 110million won | 37% | 0.25 | 0.018 |
B | 90million won | 23% | 0.16 | 0.018 |
Suppose that the standard deviation of an efficient portfolio of risk-free assets + risk asset portfolios is 40%. What if we get the expected return on this portfolio?
Mark up to the first decimal place in % units.
17.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
Stock | market value | E(R) | breakup | A,B Covariance |
A | 110million won | 37% | 0.25 | 0.018 |
B | 90million won | 23% | 0.16 | 0.018 |
Suppose that the expected return on an efficient portfolio of risk-free assets + risk asset portfolios is 37%.
What if we get the covariance of this portfolio and the portfolio of markets?
In % units, mark up to the second decimal place.
18.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
Stock | market value | E(R) | breakup | A,B Covariance |
A | 110million won | 37% | 0.25 | 0.018 |
B | 90million won | 23% | 0.16 | 0.018 |
Suppose that the expected return on an efficient portfolio of risk-free assets + risk asset portfolios is 37%.
What if we get a correlation between this portfolio and the market portfolio?
In % units, mark up to the second decimal place.
19.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
The following A and B risk assets exist in the market (assume no other risk assets exist):
There is a risk-free asset, and the return on that asset is 5%.
Stock | market value | E(R) | breakup | A,B Covariance |
A | 110million won | 37% | 0.25 | 0.018 |
B | 90million won | 23% | 0.16 | 0.018 |
Suppose that the standard deviation of an efficient portfolio of risk-free assets + risk asset portfolios is 40%.
What if we get the covariance between this portfolio and risk-free assets?
Mark up to the first decimal place in % units.
20.
Portfolio | 1 | 2 | 3 | 4 | 5 |
Expected rate of return | 17.50% | 21.10% | 25.00% | 28.75% | 32.50% |
Standard deviation | 9.49% | 11.62% | 14.83% | 18.37% | 22.14% |
The above portfolios are efficient portfolios consisting only of risky assets.
There are risk-free assets in the market, and the return on risk-free assets is 10%.
What is Tangent Portfolio among the five?
A.1
B.2
C.3
D.4
E.5
Please write down the steps for each topic. Thank you very much.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started