A portfolio with a standard deviation of _____ percent and an expected return of _____ percent is more apt to be an efficient portfolio than a portfolio with a standard deviation of 11 percent and an expected return of 10 percent.

Select one:

a. 11; 8

b. 11; 9

c. 13; 10

d. 11; 11

e. 12; 10

Portfolio A has an average return of 13.6 percent, a standard deviation of 17.2 percent, and a beta of 1.38. Portfolio B has an average return of 8.4 percent, a standard deviation of 6.4 percent, and a beta of 0.87. The risk-free rate is 3.3 percent and the market risk premium is 8.5 percent. What is the Treynor ratio of a portfolio comprised of 50 percent portfolio A and 50 percent portfolio B?

Select one:

a. 0.114

b. 0.068

c. 0.073

d. 0.054

e. 0.136

As depicted by the security market line, a decrease in the amount of systematic risk results in:

Select one:

a. An increase in the risk-free rate.

b. A decrease in the expected return.

c. No change in the expected return.

d. An increase in the expected return.

e. A decrease in the risk-free rate.

A stock is currently selling for $48. A 4-month put option with a strike price of $50 has an option premium of $3.60. The risk-free rate is 4.5 percent per year and the market return is 11 percent per year. What is the option premium on a 4-month call with a $50 strike price? Assume the options are European style.

Select one:

a. $3.31

b. $3.17

c. $0.67

d. $0.00

e. $2.33