The risk-free rate is 5.25%. The expected return on the market is 12% with a standard deviation of 18%. What is the standard deviation of an efficient portfolio with a 16% expected return? 7.33 % 10.12% 28.67% 19.11%
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- An optimal risk portfolio’s expected return is 14%, standard deviation is 22%. If risk-free rate is 6%, then what would be slope of the best CAL? A) 0.64B) 0.14C) 0.08D) 0.33E) 0.36Suppose the risk-free rate is 6 percent and the market portfolio has an expected return of 12 percent. The market portfolio has a standard deviation of 7 percent. Portfolio Z has a correlation coefficient with the market of 0.35 and standard deviation of 6 percent. According to the capital asset pricing model, what is the expected return on portfolio Z a. 12.6 percent b. 7.8 percent c. 9.87 percent d. 12.05 percentWhat is the standard deviation of an efficient portfolio with a 21.4-percent expected rate of return, given that RF is 6.4 percent, ERMis 9.4 percent, and OM is 25.4 percent? O 47.24 percent O 254.00 percent O 127.00 percent O 117.00 percent
- The average return on the Market is 12% while the market risk premium is 7%. What is the require rate of return of the portfolio? (In percentage)The risk-free rate is 2%, the market risk premium is 8.00%, and portfolio A has a beta of 2. What is the required rate of return on this portfolio?The optimal risky portfolio has an expected return of 15% and a standard deviation of 10%. The risk-free rate is 1%. What is the fraction of wealth that should be invested in the optimal risky portfolio (with the rest in the risk-free asset) for a risk-averse investor with a risk aversion coefficient A equal to 1.7? O 83.33% 88.24% 78.95% 75%
- If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume the risk-free rate is 5%. A) Expected Portfolio Return. 18% 18% A Market (8) Expected Standard Portfolio Return Deviation 219 168 A Market C) Expected Portfolio Return 218 168 A Market D) Portfolio A Market Beta 1.1 1.0 Expected Return 27.14 18% 118 198 Beta 1.1 1.0 Beta 1.7 1.0A portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market rate of return is 13.5%, the standard deviation is 20%, and the market's Treynor measure is 0.10. What is the value of the Treynor measure of this portfolio? What is the information ratio of this portfolio? O a. 2%, 0.103 O b. 5%, -0.167 O c. 5%, 0.167 O d. 2%, -0.103 Next pageConsider the following two portfolios. Portfolio A has an expected return of 9%, a standard deviation of returns is 32%, and a beta of 1.5. Portfolio B has an expected return of 7.5%. The risk-free rate is 3%. Assuming the CAPM holds, and Portfolio A and B are fairly priced, then Portfolio B has a beta of? a. 0.61 ○ b. 0.98 ○ c. 1.13 ○ d. 1.09 ○ e. 1.18
- An investment has probabilities 0.15, 0.34, 0.44, 0.67, 0.2 and 0.15 of giving returns equal to 50%, 39%, -4%, 20%, -25%, and 42%. What are the expected returns and the standard deviations of returns?Consider a portfolio exhibiting an expected return of 6% in an economy where the riskless interest rate is 1%, the expected return on the market portfolio is 10% and the standard deviation of the return to the market portfolio is 5%. Assuming that the portfolio is efficient, determine: • its beta • the standard deviation of its return • its correlation with the market returnA portfolio has a total return of 4.5%, a standard deviation of 40%, and a beta of 0.5. The market rate of return is 12%, the standard deviation is 20%, and the market's Treynor measure is 0.10. What is the value of the Treynor measure of this portfolio? What is the information ratio of this portfolio? O a. 5%, -0.065 O b. 5%, 0.065 O c. 9%, 0.167 O d. 5%, -0.167