EBK INVESTMENTS
11th Edition
ISBN: 9781259357480
Author: Bodie
Publisher: MCGRAW HILL BOOK COMPANY
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Chapter 6, Problem 14PS
Summary Introduction
To calculate:Theinvestment proportions of the client’s overall portfolio which includes the position in T-bills also.
Introduction:
Investment proportion: It states the proportion in which proper diversification of the investment should take. This is done to reduce the risk factor. An ideal investment proportion would take place when every aspect of total return over a time period is considered and this happens only when there is are combinations of investments.
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Students have asked these similar questions
Suppose we have the following information:
Securit Amount Invested Expected Return Beta Stock
A RM1 ,OOO 8% 0.80
Stock B RM2,OOO 12% 0.95
Stock C RM3,OOO 15% 1.10
Stock D RM4,OOO 18%
a) Compute the expected return on this portfolio.
b) Calculate the beta of the portfolio.
c) Does this portfolio have more or less systematic risk than an average asset? Explain.
What is the Sharpe ratio (S) of your risky portfolio and your client’s overall portfolio?
, assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%.
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio
Y
Z
Market
Risk-free
Rp
13.5%
бр
35.00%
12.5
30.00
7.1
20.00
10.6
4.4
25.00
0
Вр
1.55
1.20
0.80
1.00
0
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.70. What percentage of Portfolio Y's return is driven
by the market?
Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.
× Answer is complete but not entirely correct.
R-squared
0.9785
Chapter 6 Solutions
EBK INVESTMENTS
Ch. 6.A - Prob. 1PCh. 6.A - Prob. 2PCh. 6 - Prob. 1PSCh. 6 - Prob. 2PSCh. 6 - Prob. 3PSCh. 6 - Prob. 4PSCh. 6 - Prob. 5PSCh. 6 - Prob. 6PSCh. 6 - Prob. 7PSCh. 6 - Prob. 8PS
Ch. 6 - Prob. 9PSCh. 6 - Prob. 10PSCh. 6 - Prob. 11PSCh. 6 - Prob. 12PSCh. 6 - Prob. 13PSCh. 6 - Prob. 14PSCh. 6 - Prob. 15PSCh. 6 - Prob. 16PSCh. 6 - Prob. 17PSCh. 6 - Prob. 18PSCh. 6 - Prob. 19PSCh. 6 - Prob. 20PSCh. 6 - Prob. 21PSCh. 6 - Prob. 22PSCh. 6 - Prob. 23PSCh. 6 - Prob. 24PSCh. 6 - Prob. 25PSCh. 6 - Prob. 26PSCh. 6 - Prob. 27PSCh. 6 - Prob. 28PSCh. 6 - Prob. 29PSCh. 6 - Prob. 1CPCh. 6 - Prob. 2CPCh. 6 - Prob. 3CPCh. 6 - Prob. 4CPCh. 6 - Prob. 5CPCh. 6 - Prob. 6CPCh. 6 - Prob. 7CPCh. 6 - Prob. 8CPCh. 6 - Prob. 9CP
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