a) Calculate the expected rate of return of the portfolio. (10 points) (Hints: use weight 0.2...
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a) Calculate the expected rate of return of the portfolio. (10 points) (Hints: use weight 0.2 per year) b) Calculate the required rate of return of the portfolio. (10 points) (Hints: use the SML = bir-Fry Data: TRF-5%, IM-10%, Weight of the Blandy-75, Weight of the Gourmange-0.25, and beta of the portfolio-0.5629 Year Blandy Gourmange Portfolio Market Covariance 1 2 3 0.15 -0.14 -0.15 0.02 Ave. 0.0280 St.d. 0.1794 4 0.26 5 0.47 -0.54 0.15 0.07 -0.28 -0.0260 0.3921 0.3125 -0.0225 -0.0675 -0.0950 -0.0550 0.30 0.07 0.18 -0.22 -0.14 0.0380 0.1686 0.2168 Blandy Gourmange Portfolio Market Blandy Gourmange Portfolio Market 0.0322 0.0019 0.0246 0.0220 0.1537 0.0399 0.0284 0.0397 0.0265 0.0470 a) Calculate the expected rate of return of the portfolio. (10 points) (Hints: use weight 0.2 per year) b) Calculate the required rate of return of the portfolio. (10 points) (Hints: use the SML = bir-Fry Data: TRF-5%, IM-10%, Weight of the Blandy-75, Weight of the Gourmange-0.25, and beta of the portfolio-0.5629 Year Blandy Gourmange Portfolio Market Covariance 1 2 3 0.15 -0.14 -0.15 0.02 Ave. 0.0280 St.d. 0.1794 4 0.26 5 0.47 -0.54 0.15 0.07 -0.28 -0.0260 0.3921 0.3125 -0.0225 -0.0675 -0.0950 -0.0550 0.30 0.07 0.18 -0.22 -0.14 0.0380 0.1686 0.2168 Blandy Gourmange Portfolio Market Blandy Gourmange Portfolio Market 0.0322 0.0019 0.0246 0.0220 0.1537 0.0399 0.0284 0.0397 0.0265 0.0470
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a To calculate the expected rate of return of the portfolio we need to multiply the weights of each asset by their respective returns and sum them up The weights given are Weight of Blandy 075 Weight ... View the full answer
Related Book For
Fundamentals of Financial Management
ISBN: 978-1337395250
15th edition
Authors: Eugene F. Brigham, Joel F. Houston
Posted Date:
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