User Account

All Pages

What allocation to the sp 500 maximizes the sharpe ratio

Assignment Help Finance Basics
Reference no: EM132770340

Question:

Assume the expected return of the S&P 500 is 8% and the expected return for bonds is 5%. The T-Bill rate is 2%. The standard deviation of the S&P 500 is 25% while the standard deviation of bonds is 10%. The correlation between the S&P 500 and bonds is 0.50.

1) What allocation to the S&P 500 maximizes the Sharpe ratio?

2) Compare this Sharpe ratio to a 100% allocation to the S&P 500?

3) Redo Question with an expected return for the S&P of 10%. Describe the economic implications of this change in the S&P 500's expected return.

4) Redo Question with a correlation between the S&P 500 and bonds of -0.50. Describe the economic implications of this change in the correlation.

5) What is the global minimum variance portfolio in Question 4)?

Reference no: EM132770340

Questions Cloud

What is the value of irdina preferred stock : What is the value of Irdina's preferred stock? b. As an investor, should you purchase this stock? Why?
What are the main data preprocessing steps : Why are the original/raw data not readily usable by analytics tasks? What are the main data preprocessing steps? List and explain their importance in analytics.
How do prepare a differential analysis : Oficina Bonita Company manufactures office furniture. An unfinished desk is produced. Prepare a differential analysis. Round your answers to two decimal places.
Determine the cost of goods sold for keeton company : Determine the cost of goods sold for Keeton Company. Work in process inventory, beginning 29,000. Work in process inventory, ending 18,000
What allocation to the sp 500 maximizes the sharpe ratio : Assume the expected return of the S&P 500 is 8% and the expected return for bonds is 5%. The T-Bill rate is 2%. The standard deviation of the S&P 500 is 25% whi
Why do we need an automated tool for sql injection : Write an essay discussing sqlmap, an automated tool for sql injection and database takeover in 500 words or more. Why do we need an automated tool.
Implications of the efficient market hypothesis : What are the implications of the efficient market hypothesis?
What are the projected total operating assets : Assuming no change in operations from this year to next year, what are the projected total operating assets? Do not round intermediate calculations.
Implicit interest rates for project : Should the equipment be bought or rented based on NPV? What are the implicit interest rates for this project?

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!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

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