You put 75 of your money in a stock portfolio that has an expected return of 11 75 and a standard deviation of 33 You put the rest of you money in a risky bond portfolio that has an expected return of 3 50 and a standard deviation of 13 The stock and bond portfolio have a correlation 0 35 What is the standard deviation of the resulting portfolio Enter your answer rounded to two decimal places Do not enter in the answer box For example, if your answer is 0 12345 or 12 345 then enter as 12 35 in the answer box QUESTION 2 Consider two perfectly negatively correlated risky securities, X and Y Security X has an expected rate of return of 8 and a standard deviation of return of 24 Y has an expected rate of return of 15 and a standard deviation of return of 33 What is the weight of security Y in the minimum variance portfolio Enter your answer rounded to two decimal places Do not enter in the answer box For example, if your answer is 0 12345 or 12 345 then enter as 12 35 in the answer box QUESTION 3 Using the stock and bond portfolios from problem 1, what is the standard deviation of the minimum variance portfolio formed from this stock and bond portfolio Enter your answer rounded to two decimal places Do not enter in the answer box For example, if your answer is 0 12345 or 12 345 then enter as 12 35 in the answer box QUESTION 4 Assume the riskfree rate is 1 50 Using the stock and bond portfolios from problem 1, what is the bond weight in the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio Enter your answer rounded to two decimal places Do not enter in the answer box For example, if your answer is 0 12345 or 12 345 then enter as 12 35 in the answer box QUESTION 5 Using the information from problem 4, what is the Sharpe ratio of the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio Enter your answer rounded to two decimal places For example, if your answer is 12 345 then enter as 12 35 in the answer box Note that the Sharpe ratio is shown as a decimal not a percentage

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Posted on Jun 27, 2024

You put 75% of your money in a stock portfolio that has an expected return of 11.75% and a standard deviation of 33%. You put the rest of you money in a risky bond portfolio that has an expected return of 3.50% and a standard deviation of 13%. The stock and bond portfolio have a correlation 0.35. What is the standard deviation of the resulting portfolio? Enter your answer rounded to two decimal places. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.

QUESTION 2

Consider two perfectly negatively correlated risky securities, X and Y. Security X has an expected rate of return of 8% and a standard deviation of return of 24%. Y has an expected rate of return of 15% and a standard deviation of return of 33%. What is the weight of security Y in the minimum variance portfolio? Enter your answer rounded to two decimal places. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.

QUESTION 3

Using the stock and bond portfolios from problem 1, what is the standard deviation of the minimum variance portfolio formed from this stock and bond portfolio?Enter your answer rounded to two decimal places. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.

QUESTION 4

Assume the riskfree rate is 1.50%. Using the stock and bond portfolios from problem 1, what is the bond weight in the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio?Enter your answer rounded to two decimal places. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.

QUESTION 5

Using the information from problem 4, what is the Sharpe ratio of the tangency portfolio formed by creating the optimal risky portfolio from this stock and bond portfolio?Enter your answer rounded to two decimal places. For example, if your answer is 12.345 then enter as 12.35 in the answer box. Note that the Sharpe ratio is shown as a decimal not a percentage.