Question: Consider the following information: Stock A has an expected return of 10% and a standard deviation of 20%, and Stock B has an expected return

Consider the following information: Stock A has an expected return of 10% and a standard deviation of 20%, and Stock B has an expected return of 30% and a standard deviation of 60%. The correlation coefficient between Stock A and Stock B is - 0.20. A T-bill has a rate of return of 5%

the optimal risky portfolio is designed by investing 68% in Stock A and 32% in B. What are respectively the expected return, standard deviation and Sharpe ratio for this portfolio?

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!

The structure consists of the hollow rectangular beam ABC to which is welded the circular bent bar BDE. Calculate the maximum bending stress in the structure. A a 500 b 15 kN E 500- Dimensions in mm...

Suppose you equally invest $700,000 in two stocks with the following characteristics: Stock A has an expected return of 10% and a standard deviation of 8%. Stock B has an expected return of 18% and a...

Consider the following information: Given that Stock A's expected return is 10.30%, calculate the standard deviation for Stock A. (Do not round your intermediate calculations.)

Hello, I have attached a final for solutions! Any help is great, thanks! A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 B C D E...

You are investing for your retirement. You put 50% of your money into stock A, with an expected return of 10%, and a standard deviation of 20%. The rest is invested in stock B, with an expected...

you would like to combine the following two stocks into a portfolio in order to save for retirement. Stock 1 has an expected return of 10% and a standard deviation of 15%. stock 2 has an expected...

QUESTION 39 Stock A has an expected return of 10% and a standard deviation of 20%. Stock B has an expected return of 13% and a standard deviation of 30%. The risk-free rate is 5% and the market risk...

Stock A has an expected return of 10% and a standard deviation of 20%. Stock B has an expected return of 13% and a standard deviation of 30%. The risk-free rate is 5% and the market risk premium, r M...

Stock A has an expected return of 10% and a standard deviation of 8%. Stock B has an expected return of 20% and a standard deviation of 30%. Compute the expected return on a portfolio with 20%...

Stock A has an expected return of 10% and a standard deviation of 45%. Stock B has an expected return of 16% and a standard deviation of 60%. The correlation coefficient between Stocks A and B is...

You have been asked to review a number of accounting-related transactions that have arisen in Hayes Co, a medium-sized firm that manufactures plastic storage equipment for industrial and commercial...

The following income statements were drawn from the annual reports of the Atlanta Company and the Boston Company. Atlanta $ 32,400 (16,550) 15,850 Boston $ 89,100 (62,990) 26,110 Net sales Cost of...

Nov. 8 Natalie cashes her U . S . Savings Bonds and receives ? ( ? ? $ 3 8 0 ? ? ) , which she deposits i n her personal bank account. 8 She opens a bank account under the name "Cookie Creations" and...

A study is made by the recording industry in the United States of the number of music CDs owned by 25 senior citizens and 30 young adults. The information is reported below. a. Find the median and...

The Lenovo Refurbishing Center repairs used laptops that are returned under warranty. The center receives and processes, on average, 200 lap tops per day. All laptops are tested upon receipt: 30%...

The cash receipts journal shown below contains five entries. All five entries are for legitimate cash receipt transactions, but the journal contains some errors in recording the transactions. In...

With thousands of customers, TriangCom has established a hotline to take customer calls. The hotline is staffed by one person 24 hours a day. You have the following statistics: Service rate for calls...

The bank reconciliation prepared by Gatz Company on May 31, 2014, appeared as follows: The Cash account in the General Ledger appeared as follows on June 30 (Gatz uses only a General Journal to...

Describe the three basic alternatives of ownership of assets and facilities in an outsourcing contract.

2. In this chapter, the reader should reflect on the following concepts: emo-tional information, concrete information, local information, the reference object, consensus information, conflict...

11. Give two examples of each of the following heuristic assessment mechanisms. a) We use the information that is currently accessible. b) We assume an initial anchor point (value). c) We compare to...

4. Give an example of how the consistency principle can be used to influence others.