Purchase Solution

Expected return and standard deviation of portfolios

Not what you're looking for?

Ask Custom Question

Security A Security B
Pa Ra Pb Rb
0.1 -10% 0.1 -30%
0.2 5% 0.2 0
0.4 15% 0.4 20
0.2 25 % 0.2 40
0.1 40% 0.1 70

ra=? rb= 20.0%
standard deviation=? standard deviation= 25.7%

a. The expected return for security rb= 20% and standard deviation- 25.7%. Find expected return and standard deviation for security A
b. find the value of wa that produces the minimum risk portfolio. Assume pab= -0.5 for parts b and c

c. Construct a table giving expected returns and standard deviations for portfolios with wa= 1.00, 0.75, 0.50, 0.25, 0.0 and the minimum risk value of A.

D. Graph the feasible set of portfolios and identify the efficient frontier of the feasible set.

-------
Can you please provide the answers on an excel sheet using the formulas that are needed to answer these questions.

-----------

Purchase this Solution
Solution Summary

Answers questions dealing with expected return and standard deviation for security and portfolio, minimum risk portfolio, efficient frontier of the feasible set etc.

Purchase this Solution
Free BrainMass Quizzes
Lean your Process

This quiz will help you understand the basic concepts of Lean.

Change and Resistance within Organizations

This quiz intended to help students understand change and resistance in organizations

Marketing Research and Forecasting

The following quiz will assess your ability to identify steps in the marketing research process. Understanding this information will provide fundamental knowledge related to marketing research.

Social Media: Pinterest

This quiz introduces basic concepts of Pinterest social media

Operations Management

This quiz tests a student's knowledge about Operations Management

View More Free Quizzes
Related BrainMass Solutions

  • Optimal risky portfolio

    0.9 and 0.1; Expected return = 0.24; Standard Dev.= 0.45 You are informed that one of these portfolios is "optimal risky portfolio".

  • Markowitz Efficient Frontier

    (See either of the attached files for the graph) The solution answers which portfolio is not on Markowitz Efficient Frontier, given expected return and standard deviation of return.

  • Expected Return and Standard Deviation of Returns on Stocks

    of Variance This solution shows the steps for determining the expected return and standard deviation of the return on a pair of stocks and portfolios.

  • Expected return and standard deviation of securities

    The solution calculates the expected return and standard deviation of securities, covariances and correlations between the pairs of securities and the expected return and standard deviation of portfolios with different combinations of securities given

  • Investing in Market Based Portfolio

    Expected Return of Portfolio A = 11% Expected Return of Portfolio B = 14% Beta of Portfolio A = 0.8 Beta of Portfolio B = 1.5 Risk free rate = 6% Return on Market = 12% Standard deviation of portfolio A=10% Standard deviation of portfolio B=31%

  • Average Return, Std Deviation, Coefficient, Co-variance

    2) Using Excel, Determine the correlation coefficient and the covariance between each pair of stocks. 3) Using Excel, Determine the expected return, and the standard deviation of returns of equally weighted portfolios consisting of two stocks (AB, BC

  • Portfolio Return and Standard Deviation in Stocks

    Portfolio BC has a lower coefficient of variation than stock B; therefore investment in BC is better than investment in B alone. Calculates expected return and standard deviation for individual stocks and two-stock portfolios.

  • Standard Deviation and Return on Portfolios

    153992 Standard Deviation, Return on Portfolios Security F has an expected return of 12 percent and a standard deviation of 9 percent per year. Security G has an expected return of 18 percent and a standard deviation of 25 percent per year. A.

  • Portfolios

    (D) Directional movement between the return of two securities Answer: D 8. The SML relates: (A) Expected return to standard deviation. (B) Expected return of securities to expected return of portfolios.

View More Related Solutions