home / study / business / finance / finance questions and answers / answer them in typed please. 1. the (annual) expected return and standard deviation of returns ...

Question: Answer them in typed please. 1. The (annual) expected return and standard deviation of returns fo...

answer them in typed please.

1. The (annual) expected return and standard deviation of returns for 2 assets are as follows: Asset A Asset B E[r] 10% 20% SD[r] 30% 50% The correlation between the returns is 0.15. a. Calculate the expected returns and standard deviations of the following portfolios: (i) 80% in A, 20% in B (ii) 50% in A, 50% in B (iii) 20% in A, 80% in B

b. Find the weights for a portfolio with an expected return of 25%? What is the standard deviation of this portfolio?

2. In addition to the information in Q.1, assume that the (annual) risk-free (T-bill) rate is 4%.

a. Calculate the expected returns and standard deviations of the following portfolios: (i) 75% in the risk-free asset, 25% in B (ii) 25% in the risk-free asset, 75% in B (iii) 50% in the risk-free asset, 50% in the portfolio in Q.1a(ii)

b. Calculate the Sharpe ratios of (i) asset A (ii) asset B (iii) the portfolio in Q.1a(i) (iv) the portfolio in Q.1a(ii) (v) the portfolio in Q.1a(iii) (vi) the portfolio in Q.1a(iii)