What is the variance of your portfolio if the correlation between Stock A and stock B is -0.3?

2. Assuming your variance is 0.03017, what is the standard deviation of your portfolio?

3. Assume a risk-free rate of 3% and market risk premium of 10%. What is the CAPM expected return of stock A? (Beta = 1.1)

4. Assume a risk-free rate of 3% and market risk premium of 10%. What is the sharpe ratio of stock B? 

5. Assuming stock A has an expected return of 14% and stock B has an expected return of 11%, what is the expected return of your portfolio? remember stock A is 60% and stock B is 40% of your portfolio

6. Assume that the expected return of your portfolio was 12.8% , risk free rate is 3% and your portfolio standard deviation is 0.1737. What is your sharpe ratio?

  

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You built a portfolio with the following characteristics. Stock A B Beta 1.1 0.8 Standard Deviation 0.3 0.2 Weight 0.6 0.4 You built a portfolio with the following characteristics. Stock A B Beta 1.1 0.8 Standard Deviation 0.3 0.2 Weight 0.6 0.4

Answer rating: 100% (QA)

SOLUTION The variance of a portfolio consisting of two stocks can be calculated using the following formula Variance of Portfolio Weight of Stock A2 x ... View the full answer