Assume the utility function of an investor: U= E()-1/2A0 when the value of A is 1.82, four investment opportunities listed below: Standard deviation Investment return (percent) (percent) 11 0.10 0.18 2 0.20 0.30 3 0.05 10.05 4 0.15 0.22 This investor will choose an investment that generated _ utility. Answer must be entered with 2 decimal places, e.g. 6 as 6.00; 32.346 as 32.35. Answer: Joy holds a portfolio with an expected return of 12.58% and a Sharpe ratio of 0.5. Her portfolio is composed of an investment of 52.0% of her wealth in the risk-free asset (risk-free rate is equal to 1%), with the remainder of her wealth invested in the tangency portfolio. The variance of the tangency_portfolio is equal to percent. Answer must be entered with 2 decimal places, e.g. 6 as 6.00; 32.346 as 32.35. Closed-end mutual fund XYZ shares currently trade at $44. It has 38.65 million in liabilities and 6.88 million shares outstanding. The fund is trading at a 10% premium over its NAV. Calculate the implied portfolio value (in millions). Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35. Answer: You invest $100 in a risky asset with an expected rate of return of 17.2 percent and a standard deviation of 15 percent and a T-bill with a rate of return of 3.7 percent. To form a portfolio with an expected return of 10 percent, you must invest _ percent of your money in the risky asset. Answer must be entered with 2 decimal places, e.g. 6 as 6.00; 32.346 as 32.35. Answer: Consider the current information of BHP stock: Bid Ask Dividend (end of this Yield year) $6.2 $9.2 $0.6 6.25 percent Supposed you have $1,000 to invest in BHP shares today and you want to make this purchase now. Your total annual dividend payment at the end of this year (in $) from this investment is close to: Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35. Answer: You invest $100 in a risky asset with an expected rate of return of 12 percent and a standard deviation of 17.99 percent and a T-bill with a rate of return of 5 percent. To form a portfolio with a standard deviation of 8 percent, you must invest __ percent of your money in the risky asset .Answer must be entered with 2 decimal places, e.g. 6 as 6.00; 32.346 as 32.35. Answer: Given the following three assets, determine whether an arbitrage opportunity exists according to the arbitrage pricing theory. If so, please calculate the excess return of the arbitrage portfolio; if there is no arbitrage opportunity, please enter zero as your answer. (Assume the weight in A is standardized to 1 or -1 depending on the position) Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35. Asset Er) (%) Beta Weights 9 11.0 14 1.5 C 0.0 The arbitrage excess return is percent Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35. A trader decides to short sell 250 shares at the current market price of $52 per share. The initial margin requirement is 60%. One year later the price has now risen to $61 per share, and the stock has just paid a dividend of $2 per share. The remaining margin in the account is %. Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35. Consider an index that consists of 1 share of stock A and 1 share of stock B (price weighted index) Constituents Price at time 0 Price at time 1 Stock A $33.85 $62.49 Stock B $70.88 $72.62 Based on this, the index's rate of return in this period (from time 0 to time 1) is: Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35. Answer: Consider an index that consists of 1 share of stock A and 1 share of stock B (price weighted index) Constituents Price at time 0 Price at time 1 Stock A $33.85 $62.49 Stock B $70.88 $72.62 Based on this, the index's rate of return in this period (from time 0 to time 1) is: Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35. Answer: The expected market return is 10 percent, and the risk free rate is 4 percent. If the expected fair return of Stock A is 4.8 percent based on CAPM, the beta of Stock A is Answers must be entered with 2 decimal places and no dollar signs, e.g. 6 as 6.00; 32.346 as 32.35