Question: Consider stocks with the following statistics: Return and Volatility Asset A B Expected Return 13% 13% Volatility 30% 27% Correlation Matrix Asset A B

Consider stocks with the following statistics: Return and Volatility Asset A B

Consider stocks with the following statistics: Return and Volatility Asset A B Expected Return 13% 13% Volatility 30% 27% Correlation Matrix Asset A B C D A 1 0.44 1 0.49 0.4 -0.12 0.04 B 0.44 C 12% 20% C 0.49 0.4 1 0.28 D 11% 22% D -0.12 0.04 0.28 1 If the risk-free rate is 1%, what is the Shape ratio of the optimal risky portfolio? Please round your answer to 2 decimal places.

Step by Step Solution

★★★★★

3.57 Rating (175 Votes )

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!

Following is the governmental activities preclosing trial balance for the Town of Freaz. Freaz is a relatively small town and, as a result, it has only governmental funds (i.e., it uses no...

The Swiss risk free rate is 7.15%. If the Swiss national market return has a mean of 11% and a standard deviation was 24.4%, what is the ex-post return/risk performance of the market?

Consider two stocks with the following decomposition on the market index: The volatility of the market index is 0.15. Compute the covariance matrix using the diagonal and beta models. What is the...

Solve the equation 3 2x = 1000, giving your answer to 2 decimal places.

Suppose you are the money manager of a $4 million investment fund. The fund consists of 4 stocks with the following investments and betas: If the market required rate of return is 14 percent and the...

Dungan Corporation is evaluating a proposal to purchase a new drill press to replace a less efficient machine presently in use. The cost of the new equipment at time 0, including delivery and...

Consider the bee faced by the problem in Subsection 3.3.2. Find the optimal strategy with the following travel times and illustrate the graphical method of solution. For each particular value of ,...

You have been presented with the following cost data and asked to fit a statistical cost function: Quantity Total Cost 10 .................................... 104.0 20...

There are two damped oscillations with the following periods T and damping coefficients : T1 = 0.10 ms, 1 = 100 s1 and T2 = 10 ms, 2 = 10 s1 which of them decays faster?

Sutherland Estimating Company employs three professional estimators, each having a different specialty. John Spencer specializes in structural estimating; Steve Ray, electrical estimating; and Dave...

Determining whether an expenditure should be expensed or capitalized is often difficult. Consider each of the following independent situations and indicate whether you would recommend that the cost...

Weve seen what happens when job safety regulations are imposed. Now lets see what happens when theyre taken away. a. If a radical free market, antiregulation government comes to power in the land of...

A plane n passes through the point (1,1,1). If b,c, a are the dr's of a normal to the plane, whe a, b, c (a

What is the primary distinction between transactional and transformational leadershipTransactional leadership focuses on change, while transformational leadership involves trading one thing for...

What is the value of 4 summing amp-fire if you know that R1 = 50, R2 =88, R3 = 23 , R=40while the V1 = 5 ,V2 =24 ,V3 =98 and V4 = 9 and Rf = 200

State the communication documents that are used for Project execution and control.

2. For the circuit shown in Figure 1, determine the following: [2+2+2+2+2+2+2+2+4] (a) ic(0) (b) iL(0-) (c) iR(0) 20 (d) vc(0-) (e) ic(0*) Su(-1) mA ImF (f) iL(0+) (g) ir(0+) 100 mH (h) vc(0+) (i)...

4. For the circuit of Figure 2, (a) Obtain an expression for vc(t) valid for all t > 0. (6] (b) Determine ve at t 10 ms and t = 600 ms. [4] (c) Replace the 10 resistor with a 100 mf? resistor, and...

Carnes Electronics sells consumer electronics that carry a 90-day manufacturer's warranty. At the time of purchase, customers are offered the opportunity to also buy a two-year extended warranty for...

Since the p-value is greater than less than the significance level of alphaequals0.05, reject fail to reject the null hypothesis. There is insufficient sufficient evidence to support the claim that...

Questions were written in the word file named questions, and the question related powerpoint slides were named as slides. Thanks in advance. 1) The common stock of Marielle Machinery will generate...

I need help on 2b and 2c ECON 163: Economics of Investments University of California, Merced Professor Jason Lee Problem Set #8 Due in class Tuesday, May 5th [100 Possible Points] You may work in...

ECON 163: Economics of Investments University of California, Merced Professor Jason Lee Problem Set #8 Due in class Tuesday, May 5th [100 Possible Points] You may work in small groups [2 to 3...

Im having a bit of trouble with excel, please help me with the formulas . im not sure if my answers are correct with the formulas i used. thnx In the worksheet "Data", first compute average return...

Hi there! Could I please get help with this assignment please! Thanks Diploma In Accounting Program BUSI 370: Business Finance Section 202 Assignment #3 Capital Budgeting Case Study Chapter 13...

1.3 (5 points) Two stocks have the following expected returns and standard deviations Stock Stock Expected return Standard Deviation A 10% 12% B 15% 20% Consider a portfolio of A and B, and let w,...