HomeworkLib
Question

Show work in excel please An investor can design a risky portfolio based on two stocks,...

Show work in excel please

An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 19% and a standard deviation of return of 15.0%. Stock B has an expected return of 15% and a standard deviation of return of 6%. The correlation coefficient between the returns of A and B is 0.80. The risk-free rate of return is 11%. The proportion of the optimal risky portfolio that should be invested in stock A is _________.

business   finance   
0 0
Add a comment Improve this question Transcribed image text
Next > < Previous
Sort answers by oldest

Homework Answers

Answer #1

prepared in excel, cell references are also given.

Answer : investment in stock A =0.00%

0 1
Add a comment
Know the answer?
Add Answer to:
Show work in excel please An investor can design a risky portfolio based on two stocks,...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for? Ask your own homework help question. Our experts will answer your question WITHIN MINUTES for Free.
Similar Homework Help Questions

  • An investor can design a risky portfolio based on two stocks, A and B. Stock A...

    An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 14% and a standard deviation of return of 24.0%. Stock B has an expected return of 10% and a standard deviation of return of 4%. The correlation coefficient between the returns of A and B is 0.50. The risk-free rate of return is 8%. The proportion of the optimal risky portfolio that should be invested in stock A is...

  • An investor can design a risky portfolio based on two stocks, A and B. Stock A...

    An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 45% and a standard deviation of return of 9%. Stock B has an expected return of 15% and a standard deviation of return of 2%.The correlation coefficient between the returns of A and B is 0.0025. The risk-free rate of return is 2%. The standard deviation of return on the minimum variance portfolio is _________.

  • An investor can design a risky portfolio based on two stocks, A and B. The standard...

    An investor can design a risky portfolio based on two stocks, A and B. The standard deviation of return on stock A is 20% while the standard deviation on stock B is 5%. The correlation coefficient between the return on A and B is 0%. The standard deviation of return on the minimum variance portfolio is __________. A.       0% B.       4.15% C.       4.85% D.       5.00%

  • Please show all work. Thanks! An optimal risky portfolio has been developed with investments in stocks...

    Please show all work. Thanks! An optimal risky portfolio has been developed with investments in stocks and bonds This optimal portfolio has 24% invested in bonds and the remainder invested in stocks The optimal portfolio mean return is 12.05% and its standard deviation is 18.45% The t-bill rate is 4.75%; what is the mean of the complete portfolio if 33% is invested in the optimal portfolio and theremainder is invested in T-bills? a What is the resulting allocation to stocks...

  • The universe of available securities includes two risky stocks A and B, and a risk-free asset....

    The universe of available securities includes two risky stocks A and B, and a risk-free asset. The data for the universe are as follows: Assets Expected Return Standard Deviation Stock A 6% 25% Stock B 12% 42% Risk free 5% 0 The correlation coefficient between A and B is -0.2. The investor maximizes a utility function U=E(r)−σ2 (i.e. she has a coefficient of risk aversion equal to 2). Assume that to maximize his utility when there is no available risk-free...

  • answer all three questions please Use the following information to answer questions 33 and An investor can design...

    answer all three questions please Use the following information to answer questions 33 and An investor can design risky at d woock S A retum of 18% and standard deviation of sum of 20 portfolio based on two stocks, and a standard deviation of return of 5%. The core Stock ard deviation of return of s c and B is .25. The risk-free rate of return is 10% ient between ghts of A and B in the Tangency (Optimal Risk...

  • Suppose the optimal risky portfolio has an expected return of 13.25% and a standard deviation of...

    Suppose the optimal risky portfolio has an expected return of 13.25% and a standard deviation of 24.57%. Mr. Jones wants an efficient portfolio with an expected return of 12%. If the optimal risky portfolio consists of 70.75% in stocks and 29.25% in bonds, what is the proportion of Mr. Jones' portfolio invested in the stock fund. the risk-free rate is 5.5%.

  • 1. Consider a portfolio P comprised of two risky assets (A and B) whose returns have...

    1. Consider a portfolio P comprised of two risky assets (A and B) whose returns have a correlation of zero. Risky asset A has an expected return of 10% and standard deviation of 15%. Risky asset B has an expected return of 7% and standard deviation of 11%. Assuming a risk-free rate of 2.5%, what is the standard deviation of returns on the optimal risky portfolio? a) 9.18% b) .918% c) .84% d) 8.42%

  • Question 3 (total of 20 marks): An investor holds a portfolio comprising three assets (or stocks)...

    Question 3 (total of 20 marks): An investor holds a portfolio comprising three assets (or stocks) A, B and C. Refer to the below tables to answer the questions that follow. Assume that returns are effective annual rates: Variables Stock A Stock B Stock C 33% 40% 25% Stock return standard deviation 0.25 $ 55,000.00 0.33 35,000.00 0.22 10,000.00 Investment $ $ Assume the following information holds: Correlation coefficient of the returns between A & B 0.10 Correlation coefficient of...

  • 6. (Simpleland) In Simpleland there are only two risky stocks, A and B, whose details are...

    6. (Simpleland) In Simpleland there are only two risky stocks, A and B, whose details are listed in Table 7.4 TABLE 7.4 Details of Stocks A and B Number of shares outstanding Price per share Expected rate of return Standard deviation of return Stock A 100 150 $1.50 $2.00 15% 12% 15% 9% Stock B Furthermore, the correlation coefficient between the returns of stocks A and B is PAB = There is also a risk-free asset, and Simpleland satisfies the...

ADVERTISEMENT
Free Homework Help App
Download From Google Play
Scan Your Homework
to Get Instant Free Answers
Need Online Homework Help?
Ask a Question
Get Answers For Free
Most questions answered within 3 hours.
ADVERTISEMENT
ADVERTISEMENT