9 pts D Question 15 Determine the amount to invest in a short position in Kohl's and long margined position in AAL to create a risk-free portfolio a) A risk-free portfolio can only be created if we assume that the correlation between the Kohl's short position and the long-margined AAL position is equal to % b) The standard deviation of a Short position in Kohl's ROPCO- c) The standard deviation of a Loos Maesined position in AAL-ROPCA OMAL di WML- % See Instructions for rounding W- X 7 pts Question 16 Portfolio 3 contains 40% borrowed at the risk-free rate and all funds invested in Portfolio A. According to Markowita: a) The return on Portfolio b) The risk of Portfolio 3 - Verdana Merge & Center Conditional Format Cell Formatting as Table Styles Paste BIU C3 ] D F B t ROPC (PX) ROPC Kohl's ROPCK Sparks Network 15.96 16.09 17.37 14.65 12.32 11.53 14.30 14.62 15.18 SPK 62.16 75.22 41.47 41.48 43.52 39.77 46.2 37.39 38.31 G . Security Price Data Am. ROPCAAL 1/15/28 3.75% TBond Airlines 35.84 105.8300 28.31 105.7127 41.01 105.0071 41.00 105.7764 38.99 105.6717 42.35 105.5346 35.50 107.3021 42.26 105.6177 41.22 106.0625 AAL 1 Table 15.1 Date 2 3 Today: 15-Sep 4 22-Sep 5 6 6 od 7 13-Oct 8 20-Oct 27-Oct 10 3-Nov 11 10 NOV 12 13 14 15 Table 15.2 16 Date 17 15-Sep 18 10-Nov 19 20 Table 15.3 Security 21 22 AAL 23 Sparks 24 Kohl's 25 T-bill 26 27 28 29 30 31 32 33 34 35 Maturity 1/15/28 1/15/28 T-Bond Quotation Bid Asked 105.1500 105.8300 106.0200 106.0625 Coupon 3.75 3.75 risk-free rate is 2.55% Chg -0.0078 -0.0001 Asked Yid 3.12 3.03 Interim Cashflows Qt Div = 120 Qt Div - 5 Ot Div - 250 Rf 2.55% Securities Div Pald Margins 1-Nov IM 52% 13-Oct IMS - 60% 29-Sep 3-Nov 37 38 39 40 9 pts D Question 15 Determine the amount to invest in a short position in Kohl's and long margined position in AAL to create a risk-free portfolio a) A risk-free portfolio can only be created if we assume that the correlation between the Kohl's short position and the long-margined AAL position is equal to % b) The standard deviation of a Short position in Kohl's ROPCO- c) The standard deviation of a Loos Maesined position in AAL-ROPCA OMAL di WML- % See Instructions for rounding W- X 7 pts Question 16 Portfolio 3 contains 40% borrowed at the risk-free rate and all funds invested in Portfolio A. According to Markowita: a) The return on Portfolio b) The risk of Portfolio 3 - Verdana Merge & Center Conditional Format Cell Formatting as Table Styles Paste BIU C3 ] D F B t ROPC (PX) ROPC Kohl's ROPCK Sparks Network 15.96 16.09 17.37 14.65 12.32 11.53 14.30 14.62 15.18 SPK 62.16 75.22 41.47 41.48 43.52 39.77 46.2 37.39 38.31 G . Security Price Data Am. ROPCAAL 1/15/28 3.75% TBond Airlines 35.84 105.8300 28.31 105.7127 41.01 105.0071 41.00 105.7764 38.99 105.6717 42.35 105.5346 35.50 107.3021 42.26 105.6177 41.22 106.0625 AAL 1 Table 15.1 Date 2 3 Today: 15-Sep 4 22-Sep 5 6 6 od 7 13-Oct 8 20-Oct 27-Oct 10 3-Nov 11 10 NOV 12 13 14 15 Table 15.2 16 Date 17 15-Sep 18 10-Nov 19 20 Table 15.3 Security 21 22 AAL 23 Sparks 24 Kohl's 25 T-bill 26 27 28 29 30 31 32 33 34 35 Maturity 1/15/28 1/15/28 T-Bond Quotation Bid Asked 105.1500 105.8300 106.0200 106.0625 Coupon 3.75 3.75 risk-free rate is 2.55% Chg -0.0078 -0.0001 Asked Yid 3.12 3.03 Interim Cashflows Qt Div = 120 Qt Div - 5 Ot Div - 250 Rf 2.55% Securities Div Pald Margins 1-Nov IM 52% 13-Oct IMS - 60% 29-Sep 3-Nov 37 38 39 40