Maximize the sharpe ratio

Assignment Help Finance Basics
Reference no: EM133074795

An investor has $1000 invested into a combination of the risk-free asset and a risky portfolio that consists of two stocks: Xcel Energy (XEL) and Halliburton (HAL). The complete portfolio is such that $340 is being lent at the risk-free rate while the remaining funds are put toward the risky portfolio.

Xcel Energy's stock is much less volatile than Halliburton's. The standard deviation of returns is 22% for XEL and 42% for HAL, while the correlation between them is 15%.

Assuming that the risky portfolio weights that maximize the Sharpe ratio are 0.6 for XEL and 0.4 for HAL, calculate the standard deviation of the complete portfolio.

Enter your answer rounded to four decimal places (E.g., 0.2105). The program will accept answers within 0.0005 of the correct answer.

Reference no: EM133074795

Questions Cloud

Determine the average number of years : Your team works at a financial advisory firm and is asked to work with a client, Ms Christie, who has retired and has 400K in liquid assets.
How must rebecca treat the income and expenses : Rebecca is a doctor with an AGI of $133,000 before consideration of income or loss from her dog breeding business. How must Rebecca treat the income and expense
What is the excel formula : What is the excel formula for this? and the excel formula for the individual portfolio duration per bond.
Estimate the three-month sofr futures price quote : Estimate the three-month SOFR futures price quote for a contract maturing in six months.
Maximize the sharpe ratio : An investor has $1000 invested into a combination of the risk-free asset and a risky portfolio that consists of two stocks: Xcel Energy (XEL) and Halliburton (H
CTF3202 Logical Analysis and Problem Solving Assignment : CTF3202 Logical Analysis and Problem Solving Assignment Help and Solution, University of Leeds - Assessment Writing Service
Find internal rate of return : Independent Project B - IRR to be calculated. The lending rate is 10%. How is the IRR (internal rate of return calculated on this project
What is the loss reported in the income statement : What is the loss reported in the income statement for 2020 under the fair value model? What is the loss reported in the income statement for 2020
Critical forces for organizational change and performance : Katzenbach (1995) wrote that "Real change leaders are the linchpins connecting three critical forces for organizational change and performance

Reviews

Write a Review

Finance Basics Questions & Answers

  Financial reporting and analysis

Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..

  A report on financial accounting

This report is specific for a core understanding for Financial Accounting and its relevant factors.

  Describe the types of financial ratios

Describe the types of financial ratios and other financial performance measures that are used during venture's successful life cycle.

  Differences between sole proprietorship and corporation

Briefly describe the major differences between a sole proprietorship and a corporation

  Prepare a cash budget statement

Calculate the expected value of the apartment in 20 years' time. What is the mortgage loan repayment at the beginning of each month

  What are the implied interest rates

What are the implied interest rates in Europe and the U.S.?

  State pricing theory and no-arbitrage pricing theory

State pricing theory and no-arbitrage pricing theory

  Small business administration

Identify the likely stage for each venture and describe the type of financing each venture is likely to be seeking and identify potential sources for that financing.

  Effect of financial leverage

The Effect of Financial Leverage and working capital management

  Evaluate the basis for the payment to the lender

Evaluate the basis for the payment to the lender and basis for the payment to the company-counterparty.

  Importance of opps, ipps, mpfs and dmepos

Research and discuss the differences and importance of : OPPS, IPPS, MPFS and DMEPOS.

  Time value of money

Time Value of Money project

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd