Question: Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 11% and 14%, respectively. The

Based on current dividend yields and expected capital gains, the expected rates of return on portfoliosAandBare 11% and 14%, respectively. The beta ofAis .8, while that ofBis 1.5. The T-bill rate is currently 6%, while the expected rate of return of the S&P 500 index is 12%. The standard deviation of portfolioAis 10% annually, while that ofBis 31%, and that of the index is 20%.

a.If you currently hold a market index portfolio, what would be the alpha for PortfoliosAandB?(Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 1 decimal place.)

Alpha

PortfolioA %

PortfolioB %

b-1.If instead you could investonlyin bills andoneof these portfolios, calculate the sharpe measure for PortfoliosAandB.(Round your answers to 2 decimal places.)

Sharpe Measure

PortfolioA

PortfolioB

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Not yet answered Question 3 Marked out of 3.00 The following are quarterly scores of the sampled students in Calculus: 35, 37, 41, 44, 49, 52, 53, 53, 58, 60 Solve for the mean (3pts). (Round off...

Question 1 Evaluate the integral 23 (24 - 4) 47 by making the substitution u = x* - 4. + C NOTE: Your answer should be in terms of T and not u.. Question 8 T Acell culture contains 3 thousand cells,...

You helped me a couple of weeks ago. I was wondering if i could setup a time for tomorrow that you could be available to help me with some questions. I will pay $20 per question. They are short and I...

Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 12% and 16%, respectively. The beta of A is .7, while that of B is 1.4. The T-bill...

please solve 21, 23 showing work/explanation. will upvote, thank you in advance! Part TWO Portfolio Theory In Problems 21-23 below, assume the risk-free rate is 8% and the expected rate of return on...

please solve 25, 28 showing work/explanation. will upvote, thank you in advance. 25. Suppose the yield on short-term government securities (perceived to be risk-free about 4%. Suppose also that the...

25. Suppose the yield on short-term government securities (perceived to be risk-free) is about 4%. Suppose also that the expected return required by the market for a portfolio with a beta of 1 is...

In Problems 2123 below, assume the risk-free rate is 8% and the expected rate of return on the market is 18%. 23. A stock has an expected return of 6%. What is its beta? (LO 7- 2) 24. Two investment...

Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 11% and 14%, respectively. The beta of A is .8 while that of B is 1.5. The T-bill...

Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 11% and 14%, respectively. The beta of A is 8, while that of B is 1.5. The T-bill...

Oberon Company manufactures dorm-room-sized refrigerators. Fixed costs amount to $270,000 per year. Variable costs per refrigerator are $23, and the average price per refrigerator is $50. Required:...

Estimate the specific-heat difference cp - cv for liquid water at 1000 psia and 150F.

Find and classify all critical points for f ( x , y ) = s i n x + s i n y + s i n ( x + y ) where 0 x , y , 2 .

Consider the following excerpt of Caterpillar Corporation's balance sheet and income statement FE(Click the icon to view the income statement.) (Click the icon to view the balance sheet) Requirement...

For the equilibrium PCl5(g) PCl3(g) + Cl2(g), Kc = 4.0 at 228C. If pure PCl5 is placed in a 1.00-L container and allowed to come to equilibrium, and the equilibrium concentration of PCl5(g) is 0.19...

With reference to IFRS, discuss the treatment of non-controlling interests where: 1.2 The parent company pays a premium of acquisition of 90% of the subsidiary due to the plant being undervalued in...

12/31/03 had the following balances in its S.E section of the B.S: Common Stock, $.50 par $300k APIC - Common Stock $4 million APIC - Share Repurchase $50k R.E $2 million Treasury Stock, at cost, 30k...

Design a minimum-mass symmetric three-bar truss (the area of member 1 and that of member 3 are the same) to support a load P, as was shown in Fig. 2.9. The following notation may be used: Pu = P cos...

Documentation of the appraisal activities

Personal knowledge of and contact with each appraised individual

A rating instrument linked to job duties and responsibilities