Purchase Solution

Expected Return and Standard Deviation of Portfolio Caclulations

Not what you're looking for?

Ask Custom Question

3. Consider two securities with expected return of 16% and 20% and standard deviation of 25% and 40%, respectively.
a. If the returns of the two assets are perfectly correlated, create a portfolio with an expected return of 24%. Find the standard deviation of that portfolio.
b. Create a portfolio with a standard deviation of 30%. Compute that portfolio's expected return.
c. With the perfectly positive correlation, create a risk-less portfolio and find the risk free rate.
d. If the two assets are perfectly negative correlated, find the minimum variance portfolio and its expected return.
e. If the two assets are perfectly negatively correlated, find a portfolio with a standard deviation of 15% and compute its return. Verify that is on the efficient frontier.
f. If the correlation between the two assets is zero, create a portfolio with a 19% return and compute the portfolio standard deviation.
g. If the return of the two assets is zero, find the minimum variance portfolio and its expected return.

Purchase this Solution
Solution Summary

The solution
a) create a portfolio with an expected return of 24% if the returns of the two assets are perfectly correlated and finds the standard deviation of that portfolio.
b) creates a portfolio with a standard deviation of 30% and compute that portfolio's expected return.
c) With the perfectly positive correlation, creates a risk-less portfolio and find the risk free rate.
d) Finds the minimum variance portfolio and its expected return if the two assets are perfectly negative correlated.
e) Find a portfolio with a standard deviation of 15% and computes its return if the two assets are perfectly negatively correlated.
f) Create a portfolio with a 19% return and computes the portfolio standard deviation if the correlation between the two assets is zero.
g) Finds the minimum variance portfolio and its expected return, if the return of the two assets is zero.

Purchase this Solution
Free BrainMass Quizzes
Motivation

This tests some key elements of major motivation theories.

Managing the Older Worker

This quiz will let you know some of the basics of dealing with older workers. This is increasingly important for managers and human resource workers as many countries are facing an increase in older people in the workforce

Organizational Leadership Quiz

This quiz prepares a person to do well when it comes to studying organizational leadership in their studies.

Balance Sheet

The Fundamental Classified Balance Sheet. What to know to make it easy.

Employee Orientation

Test your knowledge of employee orientation with this fun and informative quiz. This quiz is meant for beginner and advanced students as well as professionals already working in the HR field.

View More Free Quizzes
Related BrainMass Solutions

  • Finding the Standard Deviation of a Portfolio Using Beta

    One investor creates a portfolio on the efficient frontier with an expected return of 10% and another creates a portfolio on the efficient frontier with an expected return of 20%. What is the standard deviation of the return of the two portfolios?

  • Percival Hygiene Portfolio Combinations Risk and Return

    The expected return of this portfolio is 10.00% and the standard deviation of return of this portfolio is 8.00% (see calculations below) This portfolio gives a higher return and lower risk (standard deviation) than the bond portfolio

  • Important information about Expected Return and Standard Deviation of a Portfolio

    237796 Important information about Expected Return and Standard Deviation of a Portfolio Stock A has an expected return of 12% and a standard deviation of 40%.

  • Expected return and standard deviation for a portfolio

    Calculate the expected return and expected standard deviation of a two stock portfolio when r1,2 = - .60 and w1 = .75. b. Calculate the expected returns and expected standard deviations of a two stock portfolio when r1,2 = .80 and w1 = .60.

  • Expected return and standard deviation

    12.563%-0.175)^2X0.35) Standard deviation = 2.90% The solution explains how to calculate the expected return and standard deviation for individual securities and for a portfolio

  • Portfolio Weights, Expected Returns, and Standard Deviation

    This portfolio will also have a greater expected return. What are the portfolio weights and expected return of this portfolio? #5. Examining the opportunity set, notice there is a portfolio that has the lowest standard deviation.

  • Stock/portfolio problem

    Your portfolio has a beta equal to 1.6 and its expected return is 15%. B. Your portfolio has a standard deviation of 30% and its expected return is 15%. C. Your portfolio has a standard deviation less than 30% and its beta is greater than 1.6.

  • Expected return, standard deviation of stocks/portfolio

    : expected rate of return would a security earn = 11.1 % The solution calculate the expected return and standard deviation of a portfolio and expected return of a stock using capital-asset-pricing model (CAPM).

  • Finance: Portfolio return and risk.

    393456 Finance: Portfolio return and risk. Problem 13. Security A offers an expected return of 15 percent with a standard deviation of 7 percent. Security B offers an expected return of 9 percent with a standard deviation of 4 percent.

View More Related Solutions