1.Asset A has an expected return of 22% and a standard deviation of 26%. The risk-free rate is 9%. What is the reward-to-variability ratio?

2.The standard deviation of return on investment A is 24%, while the standard deviation of return on investment B is 19%. If the correlation coefficient between the returns on A and B is 0.263, the covariance of returns on A and B is _________

3.A stock has a correlation with the market of 0.54. The standard deviation of the market is 30%, and the standard deviation of the stock is 33%. What is the stock's beta?

4.Stock A has a correlation with the market of 0.45. The standard deviation of the market is 21%, and the standard deviation of the stock is 35%. What is the stock's beta?

5.An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20%, while the standard deviation on stock B is 15%. The correlation coefficient between the returns on A and B is 0%. The rate of return for stocks A and B is 20% and 10% respectively. The standard deviation of return on the minimum-variance portfolio is ___________.

6.

Item 10

Which of the following is a correct expression concerning the formula for the standard deviation of returns of a two-asset portfolio where the correlation coefficient is positive?

Multiple Choice

• 2P < w21 21 + w22 22P2 < w12 12 + w22 22

• 2P = w21 21 + w22 22P2 = w12 12 + w22 22

• 2P < w21 21 w22 22P2 < w12 12 - w22 22

• 2P > w21 21 + w22 22