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I NEED AN ANSWER WITHIN 1 HOUR!!!!! PLEASE HELP 5) The tangency portfolio consists of 32% Shell and 68% Sun Oil. The mean return on
I NEED AN ANSWER WITHIN 1 HOUR!!!!! PLEASE HELP
5) The tangency portfolio consists of 32% Shell and 68% Sun Oil. The mean return on Shell is 6% and the standard deviation is 8%. The mean return on Sun Oil is 10% and the standard deviation is 14%. The correlation between the two is 0.50. A: (10 points) What is the mean and standard deviation of the tangency portfolio? B: (10 points) The riskless asset pays 2.5%. You demand an expected return of 35%. What is the standard deviation of your portfolio? The Black-Scholes formula is C(S, K,T,t)=SN(d)- P(T-t)KN(d- o(T-1)0.5), Where d=[(In (S/P/(T-t)K))/( o(T-t)0.5)]+0.5 o(T-t)0.5. Here is a normal distribution X X X Normal Distribution Table N(X) X N(X) -2.25 0.0122 -1.5 0.0668 -2.225 0.0130 -1.475 0.0701 N(X) 0.0013 0.0015 N(X) 0.2266 -3 -0.75 -0.725 0.2342 -2.975 -2.95 -2.925 -2.9 0.0016 0.0017 0.0139 0.0148 -1.45 -1.425 0.0735 0.0771 0.0808 -0.7 -0.675 -0.65 0.2420 0.2498 0.0019 0.0158 -1.4 -2.875 -2.85 -2.825 0.0020 0.0022 -2.2 -2.175 -2.15 -2.125 -2.1 -2.075 -2.05 -2.025 0.0168 0.0179 0.0190 -1.375 -1.35 -1.325 0.0846 0.0885 0.0926 -0.625 -0.6 -0.575 -0.55 0.2578 0.2660 0.2743 0.2826 0.0024 -2.8 0.0202 0.0968 0.0026 0.0028 0.2912 0.2998 -2.775 0.0214 -1.3 -1.275 -1.25 0.1012 -2.75 -2 0.0228 0.1056 0.0030 0.0032 0.3085 0.3174 -2.725 0.0241 -1.225 0.1103 -0.525 -0.5 -0.475 -0.45 -0.425 -0.4 -1.975 -1.95 -1.925 0.0256 0.1151 -2.7 -2.675 0.3264 0.0035 0.0037 0.0040 -1.2 -1.175 -1.15 0.1200 0.3354 -2.65 -1.9 0.3446 -2.625 0.0043 0.0047 0.0050 0.0271 0.0287 0.0304 0.0322 0.0340 0.0359 -1.125 -1.1 -2.6 -1.875 -1.85 -1.825 -1.8 -0.375 -0.35 -0.325 -0.3 0.3538 0.3632 0.3726 -1.075 -1.05 0.0054 0.1251 0.1303 0.1357 0.1412 0.1469 0.1527 0.1587 0.1648 0.1711 0.3821 0.0058 -2.575 -2.55 -2.525 -2.5 -2.475 -2.45 -2.425 -2.4 -1.025 0.0062 0.0067 0.0071 -1.775 -1.75 -1.725 0.0379 0.0401 0.0423 0.0446 -1 -0.975 -0.95 -0.275 -0.25 -0.225 -0.2 0.3917 0.4013 0.4110 0.4207 -1.7 0.0470 0.4305 0.0077 0.0082 0.0088 -1.675 -1.65 -1.625 0.0495 0.0521 -0.925 -0.9 -0.875 -0.85 -0.825 0.1775 0.1841 0.1908 -2.375 -2.35 -0.175 -0.15 -0.125 -0.1 -0.075 -1.6 0.0094 0.0100 0.0107 0.0115 -2.325 0.4404 0.4503 0.4602 0.4701 0.4801 0.0548 0.0576 0.0606 -1.575 -1.55 0.1977 0.2047 0.2119 -2.3 -0.8 -0.05 -2.275 -1.525 0.0636 -0.775 0.2192 0.4900 -0.025 0.0000 0.5000Step by Step Solution
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