A hedge fund has created a portfolio using just two stocks It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel stock The correlation between Oracles and Intels returns is 0 65 The expected returns and standard deviations of the two stocks are given in the table below a What is the expected return of the hedge funds portfolio b What is the standard deviation of the hedge fundsportfolio Expected Return ard Deviation Oracle Intel 12 00 14 50 45 00 40 00

Question: A hedge fund has created a portfolio using just two stocks. It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel

A hedge fund has created a using just two It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel stock. The correlation between Oracle€™s and Intel€™s returns is 0.65. The expected returns and standard deviations of the two are given in the table below:

a. What is the expected return of the hedge fund€™s portfolio?
b. What is the standard deviation of the hedge fund€™sportfolio?

Expected Return ard Deviation Oracle Intel 12.00% 14.50% 45.00% 40.00%

Step by Step Solution

★★★★★

3.39 Rating (165 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

a The total value of the portfolio is 50m 35 85 This mean... 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

Document Format (1 attachment)

317-B-C-F-G-F (388).docx

120 KBs Word File

Students Have Also Explored These Related Corporate Finance Questions!

The data given in the table below are the midterm scores in a course for a sample of 10 students and the scores of student evaluations of the instructor. (In the instructor evaluation scores, 1 is...

A hedge fund has compiled a list of French firms that it believes will outperform the overall French stock market by 7 percent over the year. It also has compiled a list of French firms that it...

A hedge fund has a position in 1 million shares of a stock whose midprice is $100. The bid-ask spread is $0.40, up to a volume of 100,000. Beyond that, prices fall by $0.50 per share for every...

8 . A hedge fund has created a portfolio using just two stocks. It has shorted 3 5 , 0 0 0 , 0 0 0 worth of Oracle stock and has purchased 8 5 , 0 0 0 , 0 0 0 of Intel stock. The correlation between...

A hedge fund has created a portfolio using just two stocks. It has shorted $36,000,000 worth of Oracle stock and has purchased $95,000,000 of Intel stock. The correlation between Oracles and Intels...

A hedge fund has created a portfolio using just two stocks. It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel stock. The correlation between Oracles and Intels...

hedge fund has created a portfolio using just two stocks. It has shorted $35,000,000 worth of Oracle stock and has purchased $85,000,000 of Intel stock. The correlation between Oracles and Intels...

In this problem, compute the acid-test ratio as follows: Current Assets Inventory/Current Liabilities Required Determine the cost of sales of a firm with the following financial data. Current ratio...

The original lender wishes to sell a loan contract delivering month-end payments of $350 for another 11 years and 5 months. At what price would an investor be prepared to buy the contract in order to...

An owner abandoned his van in an alley in Chicago. In spite of repeated complaints to the police, the van was allowed to remain in the alley. After several months, it was stripped of most of the...

What role should word-of-mouth communications, buzz marketing, or product placement play in your promotional plan?

Why do we convert from incremental earnings to free cash flow when performing capital budgeting?

How does net working capital affect the cash flows of a project?

Why is it important to adjust project sales and costs for externalities?

ANSWER A AND B WITH SOLUTIONS: A. Find the value of n and r of the following: If C (n, r) = 1 and P (n, r) = 120 If C (n, r) = 20 and P (n, r) = 120 If C (n, r) = 28 and P (n, r) = 56 If C (n, r) = 3...

1. Your folks just called and would like some advice from you. An insurance agent just called them and offered them the opportunity to purchase an annuity for $17,081.85 that will pay them $2,500 per...

What is the purpose for using the following techniques?: Factorial ANOVA Multiple Linear Regression Linear Regression Exploratory Factor Analysis