Assume that the market is in equilibrium and you are given the following data on securities A and B and the market portfolio.
| Security | Expected return | Cov. With A | Cov. With B | Cov. With M |
| A | 8% | 0.05 | | |
| B | 3.08% | 0.02 | 0.25 | |
| Market Portfolio | 5% | ???? | 0.03 | 0.05 |
The risk-free rate is 2%. A) In equilibrium, what is the covariance of return of security A with the market portfolioimplied by the above information?
b) Based on the given information in the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the beta of stock A and B, respectively?
c) Based on the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the portfolio's beta?
d) Based on the information provided in the previous question, suppose you can form any portfolio from stocks A and B, with short selling and no leverage. You want expected returns of 15%. What will the standard deviation of your portfolio be closest to?
Assume that the market is in equilibrium and you are given the following data on securities A and B and the market portfolio. Security Expected return Cov. With A Cov. With B Cov. With M 8% 0.05 B 3.08% 0.02 0.25 Market Portfolio 5% ???? 0.03 0.05 The risk-free rate is 2%. In equilibrium, what is the covariance of return of security A with the market portfolio implied by the above information? Select one: a. 0.01 b. 0.1 c. 0.03 d. 0.02 >> Es F10 6 7 Y 8. 19 9 0 Question 28 Not yet answered Marked out of 1 Remove flag Based on the given information in the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the beta of stock A and B, respectively? Select one: a. A=2, B=0.6 b. A=0.1, B=0.03 c. A=0.6 , B=2 d. A=0.03 , B=0.1 Question 29 Not yet answered Based on the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the portfolio's beta? Marked out of 1 Remove flag Select one: a. 0.52 b. -0.52 C.-0.62 d. 0.62 Question 30 Not yet answered Based on the information provided in the previous question, suppose you can form any portfolio from stocks A and B, with short selling and no leverage. You want expected returns of 15%. What will the standard deviation of your portfolio be closest to? Marked out of 1 Remove flag Select one: a. 1.6 b. 14.1% c. 0.0198 d. 1.98% Assume that the market is in equilibrium and you are given the following data on securities A and B and the market portfolio. Security Expected return Cov. With A Cov. With B Cov. With M 8% 0.05 B 3.08% 0.02 0.25 Market Portfolio 5% ???? 0.03 0.05 The risk-free rate is 2%. In equilibrium, what is the covariance of return of security A with the market portfolio implied by the above information? Select one: a. 0.01 b. 0.1 c. 0.03 d. 0.02 >> Es F10 6 7 Y 8. 19 9 0 Question 28 Not yet answered Marked out of 1 Remove flag Based on the given information in the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the beta of stock A and B, respectively? Select one: a. A=2, B=0.6 b. A=0.1, B=0.03 c. A=0.6 , B=2 d. A=0.03 , B=0.1 Question 29 Not yet answered Based on the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the portfolio's beta? Marked out of 1 Remove flag Select one: a. 0.52 b. -0.52 C.-0.62 d. 0.62 Question 30 Not yet answered Based on the information provided in the previous question, suppose you can form any portfolio from stocks A and B, with short selling and no leverage. You want expected returns of 15%. What will the standard deviation of your portfolio be closest to? Marked out of 1 Remove flag Select one: a. 1.6 b. 14.1% c. 0.0198 d. 1.98%
