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please show workings Consider following retum series of two stocks, A and B Stock A 2.0% 5.1% 5.5% 7.3% 6.2% 13.0% 1.2% -7.0% 5.5% -10.0%
please show workings Consider following retum series of two stocks, A and B Stock A 2.0% 5.1% 5.5% 7.3% 6.2% 13.0% 1.2% -7.0% 5.5% -10.0% 3.2% 19.0% 1.0% 3.0% 7.1% Stock B 12.5% -9.2% 8.7% 10.4% -7.2% -9.6% -5.4% 21.0% 12.4% -15.0% 35.7% -14.2% 27.9% 16.5% 6.6% 21. What are the asset allocation percentages of stock A, B, and risk-free asset in the complete portfolio if the investor is seeking 4.5% return on his her complete portfolio? What is the Sharpe Ratio of optimal risky portfolio? Assume that the prevailing rate on sk-free asset is 1.25 (hunt use geometric return for optimal risky portfolio weight calculation) Suppose another asset, stock C, becomes available with expected return of 7% with standard deviation of 10%. If you were to generate new optimal risky portfolio using stock C, what is the new percentage allocations of stock A, B, and C in the new portfolio? What is the new Sharpe ratio of optimal risky portfolio? (hint: treat old optimal risky portfolio as a single stock) Consider following retum series of two stocks, A and B Stock A 2.0% 5.1% 5.5% 7.3% 6.2% 13.0% 1.2% -7.0% 5.5% -10.0% 3.2% 19.0% 1.0% 3.0% 7.1% Stock B 12.5% -9.2% 8.7% 10.4% -7.2% -9.6% -5.4% 21.0% 12.4% -15.0% 35.7% -14.2% 27.9% 16.5% 6.6% 21. What are the asset allocation percentages of stock A, B, and risk-free asset in the complete portfolio if the investor is seeking 4.5% return on his her complete portfolio? What is the Sharpe Ratio of optimal risky portfolio? Assume that the prevailing rate on sk-free asset is 1.25 (hunt use geometric return for optimal risky portfolio weight calculation) Suppose another asset, stock C, becomes available with expected return of 7% with standard deviation of 10%. If you were to generate new optimal risky portfolio using stock C, what is the new percentage allocations of stock A, B, and C in the new portfolio? What is the new Sharpe ratio of optimal risky portfolio? (hint: treat old optimal risky portfolio as a single stock)
please show workings
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