Question: Portfolio X has a 1% allocation to 100 different Canadian stocks, where all 100 stocks satisfy the conditions of the single index model, where

Portfolio X has a 1% allocation to 100 different Canadian stocks, where

Portfolio X has a 1% allocation to 100 different Canadian stocks, where all 100 stocks satisfy the conditions of the single index model, where the index is the Canadian Stock Market Index return. The Beta of half those stocks (with respect to the Canadian market) is 0.5 and the beta of the other half (with respect to the Canadian market) is 0.9. The standard deviation of the Canadian market is 35%. Portfolio Y has a 0.5% allocation to 200 different US stocks, where all 200 stocks satisfy the conditions of the single index model, where the index is the US Stock Market Index return. The Beta of half those stocks (with respect to the US market) is 0.6 and the beta of the other half (with respect to the US market) is 1.4. The standard deviation of the US market is 25%. The correlation between portfolios X and Y is 0.4. Portfolio Z consists of: 20% in portfolio X, 120% in portfolio Y, and -40% in the risk free asset. What is the approximate standard deviation of portfolio Z?

Step by Step Solution

★★★★★

3.33 Rating (153 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

To calculate the approximate standard deviation of portfolio Z we need to consider the individual st... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Accounting Questions!

What taxation issues arise as a result of making a foreign direct investment?

Managing Scope Changes Case Study Scope changes on a project can occur regardless of how well the project is planned or executed. Scope changes can be the result of something that was omitted during...

The following additional information is available for the Dr. Ivan and Irene Incisor family from Chapters 1-5. Ivan's grandfather died and left a portfolio of municipal bonds. In 2012, they pay Ivan...

Bella sells vacuums and shampooers. The vacuums each sell for $60 with variable costs of $20, and the shampooers each sell for $100 with variable costs of $60. Thefixed costs for the store are...

I need help with this questions, thanks! Portfolio X has a 1% allocation to 100 different Canadian stocks, where all 100 stocks satisfy the conditions of the single index model, where the index is...

heridan Inc. sells a product for $115 per unit. The variable cost is $64 per unit, while fixed costs are $593,028. Determine (a) the break-even point in sales units and (b) the break-even point if...

CANADIAN MYCUD UNIVERSITY DUBM of Question 1: As a recent CUD graduate, Bloomberg Dubai found your cv interesting and appoints you as their market analyst. You are provided with the single index...

Can someone check my work and help me compute C* and find the allocation of weights. i am not sure if i made a mistake somewhere. Assume that the Single Index Model holds in practice. Monthly excess...

How has the rapid advancement of technology influenced social behavior and interpersonal relationships? Discuss the potential social consequences of technological integration in everyday life .

Question 18 (1 point) Which of the following statements is true under the expectations hypothesis theory? Long-term bonds command a risk premium compared to short-term bonds. Short-term bonds command...

The following data from the just completed year are taken from the accounting records of Mason Company: Sales $ 654,000 Direct labor cost $ 80,000 Raw material purchases $ 139,000 Selling expenses $...

Please address the following fact pattern. Discuss any potential legal issues that you can identify. Discuss any potential claims or defenses. Talk about any legal issues that may affect the parties...

2. Tomatoes are vegetables. Th erefore, the tomatoes in the garden are vegetables. (T, V, G) Translate the following arguments into symbolic form. Th en use the eighteen rules of inference to derive...

Research various cache parameters cache page size, read versus write cache allocation, cache prefetch size, and write aside size

5. The following are the details of two potential merger candidates, Andrews (A) and Bames (B) [figures in billions of TZS]. A B Revenues 4,620 3,125 89.00% Cost of Goods Sold (w/o Depreciation)...

In a random sample of 50 homeowners selected from a large suburban area, 19 said that they had serious problems with excessive noise from their neighbors. a. Make a 99% confidence interval for the...

Fourier Series: Find the Fourier Series of the periodic wave x(t) E sinc (3(t n/2)) . | n=-0

The following information related to ExxonMobils inventories is taken from the companys Year 3 annual report. You are to use this information in answering the questions that follow. Inventories....

Use the method of completing the square to write an equation of the circle in standard form. x2+ y212x 6y +42=0

Again consider the situation of Exercise 12.24. Table 12.10 summarizes auditor positions regarding proposed changes in accounting standards that would decrease client firms' reported earnings....

In a survey of 1,000 randomly selected U.S. citizens aged 21 years or older, 721 believed that the amount of violent television programming had increased over the past 10 years, 454 believed that the...

Again consider the automobile parts supplier situation. Remember that a problem-solving team will be assigned to rectify the process producing the cylindrical engine parts if the null hypothesis H0: ...

What would it take for you to forgive the other person? What are the consequences of forgiving the other person? Of not forgiving the other person?

Distinguish what principles might pertain to this case study to understand the role of anger better. Explain how they can be applied to the conflict above.

Explain one of the following concepts: angerin, angerout, or angercontrolling. Which of these would best apply to the case study above and why?